VGIT Options History — December 2022

In December 2022, VGIT traded between $58.48 and $59.66. ATM implied volatility averaged 13.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 6.6% (HV 20d: 6.5%). Max pain ranged from $57.00 to $58.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2022-12-15: Highest Volume — 200 contracts
  • 2022-12-13: Largest IV spike — 385.4% change
  • 2022-12-13: Highest IV Rank — 100.0%
  • 2022-12-15: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.18$58.48$59.66$59.41$58.48
Max Pain$57.48$57.00$58.00$58.00$58.00
ATM IV13.1%7.4%51.0%8.2%11.3%
Expected Move3.1%2.1%5.0%2.3%3.2%
HV 20d6.5%5.7%8.0%7.5%5.7%
HV 60d7.4%6.5%7.8%7.5%6.5%
IV Rank23.7%5.8%100.0%19.6%13.8%
IV Percentile88.1%50.4%100.0%72.6%94.0%
Term Structure-0.9%-5.9%5.2%-0.3%-5.9%
VWIV8.3%4.1%13.7%8.3%10.7%
Skew 25d0.6%-6.4%10.3%-0.4%4.2%
Skew 10d-1.5%-10.6%6.8%-0.1%2.6%
Call IV 25d10.1%4.5%20.4%8.4%4.5%
Put IV 25d10.7%5.9%21.1%8.1%8.7%
Bid-Ask Spread %125.2193.31147.10121.6493.31
Gamma HHI0.210.170.270.230.20
Net GEX122.5K97.4K157.7K125.7K97.4K
Net DEX-769.0K-1.1M-517.2K-742.0K-517.2K
Net VEX-3.4K-5.1K-2.4K-2.5K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.0011.000.530.00
Total Volume12.7620200231
Total OI398.286296522296491

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$59.41$58.008.2%2.3%7.5%19.6%8.3%-0.4%-0.3%125.7K-742.0K-2.5K0.53121.64N/AN/A15827719
2022-12-02$59.44$58.008.6%2.5%7.3%21.7%13.7%0.2%-0.8%126.5K-759.1K-2.5K0.00125.64N/AN/A3028223
2022-12-05$59.09$57.009.0%2.2%7.8%23.5%7.7%-0.3%0.1%123.7K-679.6K-2.5K0.50118.59N/AN/A2128323
2022-12-06$59.27$57.009.3%2.2%7.6%25.0%0.0%0.1%0.1%129.2K-735.2K-2.4K0.00113.79N/AN/A0028324
2022-12-07$59.63$57.009.6%2.2%7.8%26.9%7.9%0.4%0.2%129.8K-811.6K-2.5K0.00109.39N/AN/A7028324
2022-12-08$59.41$57.009.6%2.1%8.0%26.8%0.0%-0.3%0.3%133.1K-763.5K-2.5K0.00116.10N/AN/A7028624
2022-12-09$59.22$57.008.2%2.1%6.0%19.9%0.0%-0.2%0.2%140.6K-737.5K-2.5K11.00119.77N/AN/A11129124
2022-12-12$59.11$57.0010.5%2.2%6.0%31.3%7.5%0.1%0.1%136.6K-671.7K-2.5K0.00121.16N/AN/A7029135
2022-12-13$59.50$57.0051.0%3.6%6.3%100.0%0.0%1.3%-5.7%98.9K-817.4K-2.7K0.00143.07N/AN/A1029135
2022-12-14$59.64$57.0017.3%5.0%6.2%27.1%0.0%0.6%-4.3%118.2K-856.9K-2.7K0.00142.22N/AN/A0029035
2022-12-15$59.66$57.0017.3%5.0%6.0%27.2%0.0%-1.4%-2.7%118.7K-856.8K-2.6K0.00143.12N/AN/A200029035
2022-12-16$59.64$57.0013.3%3.8%5.7%18.6%0.0%8.5%-0.1%157.7K-1.1M-5.1K0.00147.10N/AN/A0048735
2022-12-19$59.36$57.0012.4%3.6%5.9%16.6%6.5%-2.1%-3.0%136.1K-850.2K-4.5K0.00138.87N/AN/A0145334
2022-12-20$59.11$58.0012.5%3.6%6.1%16.8%0.0%2.5%-3.2%121.6K-826.4K-4.7K0.00144.36N/AN/A0045335
2022-12-21$59.16$58.0017.0%4.9%6.1%26.5%0.0%2.5%-3.5%121.2K-845.8K-4.7K0.00139.75N/AN/A0045335
2022-12-22$59.14$58.0011.4%3.3%6.0%14.3%0.0%10.3%-1.0%121.6K-863.3K-4.9K0.00137.38N/AN/A0045335
2022-12-23$58.86$58.007.4%2.1%6.3%5.8%0.0%-6.3%5.2%117.3K-732.2K-4.4K0.00124.48N/AN/A0045335
2022-12-27$58.55$58.007.4%2.1%6.5%5.8%0.0%-6.4%3.0%99.2K-621.0K-4.2K0.00115.70N/AN/A0045335
2022-12-28$58.50$58.0011.3%3.2%6.5%14.2%0.0%-0.3%4.3%109.6K-670.8K-4.2K0.00116.72N/AN/A0045335
2022-12-29$58.59$58.0012.5%3.6%6.2%16.6%4.1%0.6%-1.7%110.5K-701.4K-4.3K0.0097.20N/AN/A0345335
2022-12-30$58.48$58.0011.3%3.2%5.7%13.8%10.7%4.2%-5.9%97.4K-517.2K-3.1K0.0093.31N/AN/A0145338