VGIT Options History — October 2022

In October 2022, VGIT traded between $57.11 and $58.83. ATM implied volatility averaged 9.0%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 0.8% (HV 20d: 8.2%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2022-10-21: Highest Volume — 1,579 contracts
  • 2022-10-07: Largest IV spike — 18.8% change
  • 2022-10-07: Highest IV Rank — 29.3%
  • 2022-10-07: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.88$57.11$58.83$58.65$57.72
Max Pain$59.14$59.00$60.00$60.00$59.00
ATM IV9.0%8.3%10.0%9.0%9.4%
Expected Move2.6%2.4%3.0%2.6%2.7%
HV 20d8.2%6.3%9.0%8.7%6.3%
HV 60d7.1%6.7%7.4%7.2%6.7%
IV Rank24.1%20.1%29.3%24.5%26.0%
IV Percentile89.7%80.6%94.8%91.3%92.5%
Term Structure-0.6%-3.9%0.0%-0.5%-0.9%
VWIV9.7%6.9%12.6%12.6%9.7%
Skew 25d0.3%-2.1%1.2%0.6%-1.1%
Skew 10d0.6%-3.8%4.5%3.6%-3.3%
Call IV 25d9.3%8.3%12.1%9.2%10.0%
Put IV 25d9.6%8.4%10.2%9.8%8.9%
Bid-Ask Spread %109.0296.72117.06116.90115.96
Gamma HHI0.680.400.890.530.88
Net GEX-358.2K-910.7K-33.9K-81.4K-910.7K
Net DEX379.0K-188.9K2.0M-51.5K1.2M
Net VEX-4.1K-8.2K-2.4K-3.3K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.258.071.700.28
Total Volume438.7141291,579515129
Total OI796.4295731,2726431,272

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$58.65$60.009.0%2.6%8.7%24.5%12.6%0.6%-0.5%-81.4K-51.5K-3.3K1.70116.90N/AN/A191324274369
2022-10-04$58.83$60.008.5%2.4%8.6%22.0%8.5%0.1%-0.6%-33.9K-188.9K-3.1K1.75108.13N/AN/A186326278369
2022-10-05$58.45$60.008.9%2.6%8.5%24.0%6.9%0.1%-0.3%-81.6K-34.8K-3.1K2.20111.95N/AN/A148326279371
2022-10-06$58.22$59.008.4%2.5%8.6%21.4%8.6%0.5%-0.3%-129.4K133.3K-3.3K2.2099.66N/AN/A148326285371
2022-10-07$57.99$59.0010.0%3.0%8.6%29.3%12.2%-2.1%-3.9%-106.9K115.9K-3.9K2.17108.25N/AN/A150326285371
2022-10-10$57.84$59.008.9%2.5%8.6%23.9%8.8%0.7%-0.4%-207.7K246.1K-3.2K2.17101.43N/AN/A151327299371
2022-10-11$57.91$59.009.4%2.5%8.6%25.6%9.0%0.6%-0.2%-114.9K-42.8K-2.9K2.3096.72N/AN/A142327304269
2022-10-12$58.02$59.009.0%2.6%8.6%23.6%9.2%0.3%-0.4%-100.4K-83.0K-3.0K2.29106.69N/AN/A143327305269
2022-10-13$57.81$59.009.3%2.7%8.7%25.0%9.5%0.9%-0.7%-158.7K-15.0K-3.0K2.12108.45N/AN/A154327306269
2022-10-14$57.64$59.008.9%2.6%8.7%23.3%10.4%0.7%-0.3%-200.7K73.6K-2.9K2.12103.64N/AN/A154327304269
2022-10-17$57.69$59.009.0%2.6%8.7%23.7%10.7%0.8%-0.6%-161.6K-49.9K-2.6K2.12104.33N/AN/A154327304269
2022-10-18$57.80$59.008.3%2.4%8.7%20.1%9.5%0.9%0.0%-98.7K-143.4K-2.4K2.12115.66N/AN/A154327304269
2022-10-19$57.39$59.009.2%2.6%9.0%24.5%9.7%1.2%-0.8%-387.2K100.1K-2.4K1.84113.57N/AN/A178327304269
2022-10-20$57.11$59.009.1%2.6%8.7%24.3%11.6%0.0%-0.2%-719.2K382.7K-2.6K1.80117.06N/AN/A182328319271
2022-10-21$57.37$59.009.2%2.6%8.9%24.6%9.1%0.9%-0.2%-274.1K220.2K-2.4K8.07115.29N/AN/A1741,405319272
2022-10-24$57.34$59.009.3%2.7%8.2%25.4%9.7%0.2%-0.5%-859.8K2.0M-8.2K0.25116.28N/AN/A108272271,033
2022-10-25$57.71$59.009.1%2.6%8.5%24.0%8.8%0.5%-0.8%-778.6K1.4M-7.6K0.25101.52N/AN/A112282341,033
2022-10-26$57.88$59.008.8%2.5%6.5%22.7%8.7%0.2%-0.4%-718.3K1.2M-7.2K0.25104.33N/AN/A113282331,033
2022-10-27$58.15$59.009.2%2.6%6.7%24.6%10.0%-0.3%-0.6%-622.1K677.2K-6.6K0.25112.79N/AN/A113282381,033
2022-10-28$57.93$59.009.0%2.6%6.8%23.6%10.4%0.3%-0.4%-777.0K912.7K-6.7K0.25110.86N/AN/A113282391,033
2022-10-31$57.72$59.009.4%2.7%6.3%26.0%9.7%-1.1%-0.9%-910.7K1.2M-6.6K0.28115.96N/AN/A101282391,033