VGIT Options History — July 2022

In July 2022, VGIT traded between $60.78 and $62.21. ATM implied volatility averaged 7.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded below realized volatility by 0.3% (HV 20d: 7.8%). Max pain ranged from $61.00 to $61.63. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2022-07-06: Highest Volume — 142 contracts
2022-07-21: Largest IV spike — 77.6% change
2022-07-21: Highest IV Rank — 44.5%
2022-07-21: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.36	$60.78	$62.21	$61.56	$62.21
Max Pain	$61.03	$61.00	$61.63	$61.63	$61.00
ATM IV	7.6%	5.9%	11.0%	7.8%	6.0%
Expected Move	2.0%	1.7%	3.1%	2.2%	1.7%
HV 20d	7.8%	6.6%	9.8%	9.3%	6.7%
HV 60d	7.3%	7.1%	7.4%	7.2%	7.4%
IV Rank	24.5%	14.9%	44.5%	25.6%	15.5%
IV Percentile	76.6%	54.8%	98.0%	86.1%	54.8%
Term Structure	-0.5%	-5.5%	0.5%	-0.4%	-0.2%
VWIV	7.6%	6.5%	12.7%	7.8%	7.6%
Skew 25d	0.2%	-2.4%	4.5%	0.4%	1.1%
Skew 10d	0.5%	-3.6%	9.0%	0.1%	2.1%
Call IV 25d	8.3%	5.0%	24.2%	9.0%	6.8%
Put IV 25d	8.5%	6.0%	21.9%	9.3%	7.9%
Bid-Ask Spread %	116.16	102.60	133.56	112.25	127.97
Gamma HHI	0.25	0.15	0.38	0.21	0.36
Net GEX	5.3K	-3.7K	20.1K	-3.7K	20.1K
Net DEX	-73.1K	-177.8K	16.9K	-71.0K	-177.8K
Net VEX	-937	-1.2K	-743	-947	-743
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.16	1.11	1.11	0.24
Total Volume	95.05	51	142	129	68
Total OI	140.75	103	182	159	112

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-07-01	$61.56	$61.63	7.8%	2.2%	9.3%	25.6%	7.8%	0.4%	-0.4%	-3.7K	-71.0K	-947	1.11	112.25	N/A	N/A	61	68	61	98
2022-07-05	$61.71	$61.00	8.8%	2.2%	9.3%	31.5%	7.7%	-0.3%	-0.4%	-2.3K	-93.0K	-878	0.94	102.60	N/A	N/A	71	67	61	98
2022-07-06	$61.28	$61.00	8.7%	2.1%	9.5%	31.1%	7.6%	-0.6%	-0.6%	1.2K	-53.5K	-959	0.95	107.17	N/A	N/A	73	69	73	98
2022-07-07	$61.03	$61.00	8.7%	2.1%	9.6%	31.0%	7.4%	-0.7%	-0.5%	-2.4K	-10.3K	-988	0.88	108.65	N/A	N/A	73	64	76	98
2022-07-08	$60.79	$61.00	8.0%	2.0%	9.7%	26.9%	7.2%	-0.2%	-0.5%	-3.1K	16.9K	-958	0.99	105.32	N/A	N/A	68	67	76	98
2022-07-11	$61.02	$61.00	9.5%	2.0%	9.8%	35.6%	7.0%	0.2%	-0.7%	-2.0K	-16.3K	-1.0K	0.96	107.41	N/A	N/A	68	65	79	102
2022-07-12	$61.18	$61.00	10.7%	2.0%	9.3%	43.2%	6.9%	0.3%	-0.3%	-2.6K	-40.9K	-1.0K	0.96	111.73	N/A	N/A	68	65	79	102
2022-07-13	$61.21	$61.00	6.8%	2.0%	7.6%	20.1%	6.9%	0.8%	-0.2%	-2.1K	-32.7K	-986	0.97	110.32	N/A	N/A	67	65	80	102
2022-07-14	$61.09	$61.00	6.5%	1.9%	7.4%	18.3%	6.5%	0.5%	-0.0%	-444	-31.6K	-1.0K	0.97	111.81	N/A	N/A	67	65	80	102
2022-07-15	$61.13	$61.00	6.5%	1.9%	6.9%	18.4%	6.6%	1.0%	-0.2%	2.5K	-46.2K	-943	0.97	118.06	N/A	N/A	67	65	80	102
2022-07-18	$61.06	$61.00	6.2%	1.8%	6.7%	16.4%	6.5%	0.7%	-0.3%	10.0K	-75.0K	-893	0.16	117.85	N/A	N/A	44	7	59	44
2022-07-19	$60.85	$61.00	5.9%	1.7%	6.9%	14.9%	6.5%	0.0%	-0.2%	7.9K	-55.5K	-905	0.16	126.95	N/A	N/A	44	7	59	44
2022-07-20	$60.78	$61.00	6.2%	1.8%	6.8%	16.2%	6.7%	-0.3%	-0.3%	6.8K	-46.1K	-929	0.16	124.35	N/A	N/A	44	7	59	44
2022-07-21	$61.28	$61.00	11.0%	3.1%	6.6%	44.5%	8.2%	4.5%	-5.5%	8.8K	-100.6K	-1.1K	0.16	119.25	N/A	N/A	44	7	59	44
2022-07-22	$61.75	$61.00	6.3%	1.8%	7.0%	17.3%	6.7%	0.0%	-0.5%	16.4K	-130.7K	-826	0.30	111.63	N/A	N/A	44	13	59	44
2022-07-25	$61.63	$61.00	6.6%	1.9%	7.0%	18.8%	6.8%	-0.4%	-0.5%	10.4K	-110.4K	-899	0.30	112.08	N/A	N/A	44	13	60	50
2022-07-26	$61.65	$61.00	8.7%	2.5%	6.9%	31.2%	12.7%	-2.4%	0.5%	6.1K	-94.9K	-1.2K	0.30	128.29	N/A	N/A	44	13	61	50
2022-07-27	$61.80	$61.00	6.5%	1.9%	6.9%	18.4%	7.1%	0.6%	0.3%	16.7K	-119.5K	-887	0.30	133.56	N/A	N/A	44	13	61	50
2022-07-28	$62.21	$61.00	6.2%	1.8%	6.9%	16.2%	11.5%	-1.4%	0.2%	18.1K	-172.2K	-744	0.29	125.98	N/A	N/A	45	13	61	50
2022-07-29	$62.21	$61.00	6.0%	1.7%	6.7%	15.5%	7.6%	1.1%	-0.2%	20.1K	-177.8K	-743	0.24	127.97	N/A	N/A	55	13	62	50