VGIT Options History — January 2023

In January 2023, VGIT traded between $58.69 and $60.25. ATM implied volatility averaged 10.0%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 3.6% (HV 20d: 6.4%). Max pain ranged from $58.00 to $62.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.01.

Notable Days

2023-01-25: Highest Volume — 199 contracts
2023-01-04: Largest IV spike — 106.7% change
2023-01-04: Highest IV Rank — 41.0%
2023-01-04: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.65	$58.69	$60.25	$58.69	$59.78
Max Pain	$59.59	$58.00	$62.00	$58.00	$59.00
ATM IV	10.0%	6.5%	23.8%	11.5%	6.8%
Expected Move	2.8%	1.9%	6.8%	3.3%	1.9%
HV 20d	6.4%	5.7%	7.0%	5.9%	6.4%
HV 60d	6.7%	6.5%	6.9%	6.5%	6.7%
IV Rank	10.8%	3.3%	41.0%	14.4%	3.8%
IV Percentile	59.6%	21.4%	99.2%	94.8%	27.8%
Term Structure	-0.8%	-8.6%	5.7%	4.1%	-0.7%
VWIV	10.7%	5.7%	25.5%	25.5%	7.7%
Skew 25d	0.5%	-7.4%	14.1%	-7.4%	1.0%
Skew 10d	0.6%	-7.1%	6.8%	-0.9%	1.5%
Call IV 25d	10.2%	5.1%	21.5%	21.5%	6.9%
Put IV 25d	10.7%	6.7%	30.0%	14.0%	7.8%
Bid-Ask Spread %	126.47	101.66	139.99	129.83	125.82
Gamma HHI	0.19	0.16	0.30	0.17	0.18
Net GEX	149.5K	98.9K	210.2K	102.0K	147.2K
Net DEX	-818.4K	-1.1M	-627.5K	-691.3K	-721.9K
Net VEX	-3.7K	-5.2K	-2.7K	-4.3K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.10	0.00	0.00
Total Volume	17.65	0	199	7	0
Total OI	566.55	477	705	492	698

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
2023-01-03	$58.69	$58.00	11.5%	3.3%	5.9%	14.4%	25.5%	-7.4%	4.1%	102.0K	-691.3K	-4.3K	0.00	129.83	N/A	N/A	7	0	453	39
2023-01-04	$58.97	$58.00	23.8%	6.8%	5.8%	41.0%	0.0%	14.1%	-7.6%	98.9K	-853.2K	-5.0K	0.00	139.99	N/A	N/A	0	0	460	39
2023-01-05	$58.89	$0.00	7.3%	4.0%	5.7%	5.1%	0.0%	-5.0%	-4.9%	102.1K	-627.5K	-3.5K	0.00	123.03	N/A	N/A	0	0	460	39
2023-01-06	$59.45	$0.00	6.9%	2.7%	6.3%	4.3%	0.0%	-4.7%	-3.0%	142.1K	-938.2K	-4.8K	0.00	121.48	N/A	N/A	0	0	460	39
2023-01-09	$59.55	$0.00	13.3%	2.2%	6.2%	18.2%	19.3%	6.9%	5.7%	128.7K	-822.6K	-4.4K	0.00	130.12	N/A	N/A	77	0	460	39
2023-01-10	$59.39	$62.00	20.9%	3.2%	6.2%	34.8%	0.0%	1.0%	-1.5%	129.6K	-889.2K	-4.3K	0.00	131.03	N/A	N/A	0	0	535	39
2023-01-11	$59.58	$62.00	8.8%	2.5%	6.2%	8.4%	5.7%	-2.4%	-1.7%	158.4K	-832.1K	-4.4K	0.00	125.40	N/A	N/A	0	2	535	39
2023-01-12	$59.97	$60.00	11.9%	3.4%	6.2%	14.9%	6.5%	4.5%	-8.6%	191.9K	-1.1M	-5.2K	0.00	133.74	N/A	N/A	2	0	535	41
2023-01-13	$59.75	$60.00	10.1%	2.9%	6.3%	11.1%	0.0%	-6.8%	3.3%	190.2K	-922.3K	-4.2K	0.00	129.85	N/A	N/A	0	0	537	41
2023-01-17	$59.72	$60.00	10.2%	2.9%	6.3%	11.3%	0.0%	-0.6%	4.4%	158.5K	-879.0K	-4.4K	0.00	132.89	N/A	N/A	0	0	537	41
2023-01-18	$60.25	$60.00	13.2%	3.8%	7.0%	17.8%	0.0%	7.6%	-4.4%	210.2K	-1.1M	-4.5K	0.00	132.78	N/A	N/A	0	0	537	41
2023-01-19	$60.14	$60.00	6.8%	1.9%	6.8%	3.8%	0.0%	-0.1%	0.4%	209.0K	-925.6K	-3.0K	0.00	101.66	N/A	N/A	0	0	537	41
2023-01-20	$59.91	$60.00	6.6%	1.9%	6.8%	3.4%	6.4%	0.5%	0.4%	202.1K	-839.3K	-2.9K	0.00	125.51	N/A	N/A	15	0	537	41
2023-01-23	$59.75	$59.00	7.5%	2.1%	6.9%	5.3%	7.4%	-0.7%	-0.2%	123.1K	-675.5K	-2.8K	0.10	129.62	N/A	N/A	10	1	457	20
2023-01-24	$59.92	$59.00	6.9%	2.0%	6.9%	4.1%	7.4%	0.4%	-0.2%	134.4K	-713.0K	-2.8K	0.00	119.75	N/A	N/A	1	0	466	21
2023-01-25	$59.97	$59.00	7.1%	2.0%	6.6%	4.4%	7.7%	-0.4%	-0.4%	134.0K	-715.0K	-2.8K	0.00	117.24	N/A	N/A	199	0	467	21
2023-01-26	$59.86	$59.00	6.5%	1.9%	6.3%	3.3%	0.0%	1.4%	-0.3%	134.3K	-706.7K	-2.8K	0.00	126.40	N/A	N/A	14	0	659	21
2023-01-27	$59.78	$59.00	6.7%	1.9%	6.3%	3.7%	0.0%	0.7%	-0.4%	146.9K	-719.5K	-2.8K	0.00	126.80	N/A	N/A	11	0	673	21
2023-01-30	$59.64	$59.00	6.7%	1.9%	6.5%	3.7%	0.0%	0.4%	-0.4%	147.2K	-703.9K	-2.7K	0.00	126.38	N/A	N/A	14	0	684	21
2023-01-31	$59.78	$59.00	6.8%	1.9%	6.4%	3.8%	0.0%	1.0%	-0.7%	147.2K	-721.9K	-2.9K	0.00	125.82	N/A	N/A	0	0	677	21