VGIT Options History — November 2022

In November 2022, VGIT traded between $57.26 and $59.03. ATM implied volatility averaged 8.0%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 0.9% (HV 20d: 7.2%). Max pain ranged from $58.00 to $59.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2022-11-17: Highest Volume — 198 contracts
  • 2022-11-09: Largest IV drop — 21.7% change
  • 2022-11-08: Highest IV Rank — 25.2%
  • 2022-11-01: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.28$57.26$59.03$57.60$59.03
Max Pain$58.10$58.00$59.00$59.00$58.00
ATM IV8.0%6.8%9.3%9.1%7.8%
Expected Move2.3%2.0%2.6%2.6%2.2%
HV 20d7.2%5.7%8.3%6.2%7.3%
HV 60d7.3%6.6%7.7%6.7%7.5%
IV Rank18.8%12.7%25.2%24.1%17.7%
IV Percentile70.8%47.6%91.3%88.5%63.5%
Term Structure-0.4%-0.8%0.0%-0.8%-0.4%
VWIV8.2%6.9%12.7%12.7%8.8%
Skew 25d-0.1%-1.1%0.6%-0.6%-0.2%
Skew 10d1.3%-3.5%13.5%-1.7%13.5%
Call IV 25d8.7%7.1%10.1%10.0%9.5%
Put IV 25d8.6%7.6%9.3%9.3%9.3%
Bid-Ask Spread %120.13113.94128.27120.00123.78
Gamma HHI0.500.200.930.880.25
Net GEX-356.3K-1.5M122.4K-882.9K122.4K
Net DEX35.9K-671.4K1.5M1.2M-671.4K
Net VEX-3.7K-6.5K-2.4K-6.5K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.002.000.282.00
Total Volume118.71401981130
Total OI977.0952871,3851,273305

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$57.60$59.009.1%2.6%6.2%24.1%12.7%-0.6%-0.8%-882.9K1.2M-6.5K0.28120.00N/AN/A88252401,033
2022-11-02$57.56$59.008.6%2.5%5.8%21.8%9.5%-1.1%-0.5%-985.7K1.3M-6.4K0.35120.74N/AN/A88312411,031
2022-11-03$57.37$58.008.1%2.2%5.8%19.0%7.1%0.3%-0.1%-1.2M1.4M-6.4K0.30116.84N/AN/A88262411,034
2022-11-04$57.43$58.007.8%2.2%5.7%17.7%7.9%0.2%-0.0%-1.2M1.3M-6.1K0.29117.58N/AN/A91262411,032
2022-11-07$57.26$58.007.6%2.1%5.7%16.9%7.1%0.3%0.0%-1.5M1.5M-5.6K0.31117.15N/AN/A83262451,032
2022-11-08$57.48$58.009.3%2.1%5.9%25.2%7.0%-0.3%-0.2%-1.2M1.2M-5.4K0.29119.35N/AN/A90262481,032
2022-11-09$57.63$58.007.3%2.1%5.9%15.0%7.8%-0.2%-0.4%-1.1M986.1K-4.9K0.31119.09N/AN/A91282551,032
2022-11-10$58.57$58.006.8%2.0%8.2%12.7%6.9%-0.0%-0.3%-112.1K-438.8K-2.8K0.20118.11N/AN/A153302571,034
2022-11-11$58.50$58.006.9%2.0%8.1%13.2%6.9%0.5%-0.4%-166.3K-392.9K-3.0K0.20113.94N/AN/A152303221,034
2022-11-14$58.39$58.007.4%2.1%8.2%15.7%7.2%0.4%-0.3%84.3K-529.8K-2.4K0.20120.15N/AN/A149303231,034
2022-11-15$58.67$58.007.8%2.2%8.3%17.9%7.8%-0.3%-0.3%40.4K-573.1K-2.5K0.18121.62N/AN/A165303371,034
2022-11-16$58.95$58.007.9%2.3%7.9%18.4%8.0%0.2%-0.6%112.9K-667.2K-2.7K0.19120.39N/AN/A161303411,032
2022-11-17$58.67$58.008.1%2.3%7.9%19.2%8.2%-0.2%-0.5%83.8K-601.2K-2.6K0.18118.11N/AN/A168303421,032
2022-11-18$58.50$58.008.0%2.3%7.9%18.6%8.1%-0.6%-0.5%-159.2K-452.6K-2.7K0.18118.84N/AN/A168303531,032
2022-11-21$58.49$58.008.1%2.3%7.9%19.3%8.8%-0.3%-0.3%95.2K-581.4K-2.6K0.24118.59N/AN/A942327017
2022-11-22$58.63$58.008.2%2.3%7.7%19.6%9.0%-0.7%-0.1%98.9K-612.9K-2.6K0.24119.41N/AN/A942327417
2022-11-23$58.80$58.008.4%2.4%7.7%20.6%8.9%-0.4%-0.4%103.0K-645.8K-2.6K0.23122.04N/AN/A992327517
2022-11-25$58.78$58.008.7%2.5%7.5%22.4%0.0%-0.2%-0.8%106.7K-657.2K-2.7K0.00123.31N/AN/A0028017
2022-11-28$58.88$58.008.0%2.3%7.4%18.8%8.8%0.6%-0.4%113.4K-664.9K-2.6K0.00125.40N/AN/A1028417
2022-11-29$58.73$58.008.5%2.4%7.3%21.4%0.0%-0.0%-0.7%112.0K-635.7K-2.5K2.00128.27N/AN/A1228517
2022-11-30$59.03$58.007.8%2.2%7.3%17.7%0.0%-0.2%-0.4%122.4K-671.4K-2.5K0.00123.78N/AN/A0028619