VGIT Options History — September 2022

In September 2022, VGIT traded between $57.76 and $60.32. ATM implied volatility averaged 8.2%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.5% (HV 20d: 5.8%). Max pain ranged from $60.00 to $61.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2022-09-30: Highest Volume — 523 contracts
  • 2022-09-14: Largest IV drop — 33.1% change
  • 2022-09-28: Highest IV Rank — 31.0%
  • 2022-09-28: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.23$57.76$60.32$60.05$58.26
Max Pain$60.10$60.00$61.00$61.00$60.00
ATM IV8.2%6.7%10.3%7.1%9.0%
Expected Move2.3%1.9%3.0%2.0%2.6%
HV 20d5.8%4.9%8.6%5.3%8.5%
HV 60d6.9%6.4%7.7%7.5%7.1%
IV Rank21.0%13.6%31.0%17.2%24.6%
IV Percentile82.6%62.3%96.0%74.2%91.7%
Term Structure-0.4%-2.1%0.1%-0.1%-0.6%
VWIV9.4%7.7%11.1%10.6%10.7%
Skew 25d0.7%-0.4%3.2%0.6%1.0%
Skew 10d0.6%-2.7%3.1%0.1%-2.2%
Call IV 25d7.8%6.3%9.4%6.3%9.2%
Put IV 25d8.6%6.9%11.4%6.9%10.2%
Bid-Ask Spread %115.34106.77128.73117.67108.12
Gamma HHI0.470.230.900.290.67
Net GEX-63.3K-208.3K1.8K-24.7K-158.0K
Net DEX221.9K65.1K742.2K105.6K243.6K
Net VEX-1.3K-3.3K-639-875-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0021.200.001.63
Total Volume146.71405230523
Total OI253.143128625134625

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$60.05$61.007.1%2.0%5.3%17.2%0.0%0.6%-0.1%-24.7K105.6K-8750.00117.67N/AN/A006767
2022-09-02$60.32$61.007.2%2.1%4.9%17.4%0.0%0.4%-0.3%-23.7K65.1K-8830.00128.73N/AN/A106767
2022-09-06$59.88$60.007.8%2.0%5.1%20.5%10.6%0.1%-0.3%-24.0K121.2K-8430.41118.77N/AN/A44186867
2022-09-07$60.14$60.008.1%2.1%5.5%20.3%8.1%0.2%-0.1%-25.7K93.9K-8500.41110.85N/AN/A44186868
2022-09-08$60.03$60.007.3%1.9%5.4%16.5%0.0%0.4%0.1%-28.2K113.5K-8010.00108.64N/AN/A006868
2022-09-09$59.92$60.006.7%1.9%5.3%13.6%0.0%0.1%-0.2%-27.7K133.2K-7720.00106.77N/AN/A106868
2022-09-12$59.88$60.008.8%2.0%5.3%23.6%0.0%-0.4%-0.1%-28.4K144.5K-7360.00108.66N/AN/A006868
2022-09-13$59.55$60.0010.3%2.0%5.3%31.0%9.4%0.8%0.1%-30.8K192.9K-6770.43118.96N/AN/A42186868
2022-09-14$59.51$60.006.9%2.0%5.3%14.0%7.7%0.5%-0.1%-31.9K177.2K-6870.00119.52N/AN/A206868
2022-09-15$59.45$60.007.4%2.1%5.1%16.7%0.0%0.5%-0.3%-31.2K203.1K-6390.00115.44N/AN/A206968
2022-09-16$59.46$60.007.6%2.2%5.0%17.9%10.2%0.6%-0.1%-29.4K179.7K-6850.41118.30N/AN/A44187168
2022-09-19$59.30$60.008.0%2.3%4.9%19.2%0.0%0.4%-0.2%-22.0K141.2K-6590.00115.06N/AN/A307157
2022-09-20$59.07$60.008.3%2.4%5.0%20.9%7.9%0.5%-0.9%-19.9K154.8K-6430.24121.30N/AN/A42107457
2022-09-21$59.10$60.007.3%2.1%5.0%15.8%7.9%0.8%-0.3%-8.0K132.9K-8970.05121.16N/AN/A44210067
2022-09-22$58.61$60.007.6%2.2%5.6%17.5%10.1%0.5%-0.2%1.8K195.9K-79721.20112.37N/AN/A1531811667
2022-09-23$58.55$60.008.2%2.3%5.2%20.2%8.0%0.8%-0.1%-155.1K411.8K-2.2K0.00115.28N/AN/A60123365
2022-09-26$57.92$60.009.5%2.7%6.1%26.8%10.2%0.9%-0.4%-208.3K671.0K-2.3K3.43112.44N/AN/A95326123365
2022-09-27$57.76$60.009.8%2.8%6.1%28.4%10.5%2.1%-1.1%-204.7K742.2K-2.5K2.73114.00N/AN/A120327134367
2022-09-28$58.62$60.0010.3%3.0%8.6%31.0%11.1%3.2%-2.1%-112.6K205.6K-2.8K2.02110.08N/AN/A161326169368
2022-09-29$58.46$60.009.6%2.7%8.6%27.2%9.8%1.8%-0.9%-136.6K231.7K-2.8K1.76119.95N/AN/A185326205368
2022-09-30$58.26$60.009.0%2.6%8.5%24.6%10.7%1.0%-0.6%-158.0K243.6K-3.3K1.63108.12N/AN/A199324257368