VGIT Options History — February 2023 In February 2023, VGIT traded between $58.14 and $60.09. ATM implied volatility averaged 7.5%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 1.5% (HV 20d: 6.0%). Max pain ranged from $57.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.04.
Notable Days 2023-02-06 : Highest Volume — 99 contracts2023-02-06 : Largest IV spike — 23.1% change2023-02-06 : Highest IV Rank — 7.8%2023-02-28 : Largest Expected Move — 2.4%Monthly Statistics Metric Avg Min Max Open Close Price $58.84 $58.14 $60.09 $60.08 $58.28 Max Pain $57.68 $57.00 $60.00 $59.00 $58.00 ATM IV 7.5% 6.2% 8.6% 6.2% 8.5% Expected Move 2.1% 1.7% 2.4% 1.8% 2.4% HV 20d 6.0% 5.1% 7.1% 6.5% 5.8% HV 60d 6.4% 6.1% 7.0% 6.7% 6.2% IV Rank 5.5% 2.5% 7.8% 2.5% 7.5% IV Percentile 46.9% 9.5% 69.0% 9.5% 67.5% Term Structure -0.2% -0.8% 0.4% 0.2% -0.8% VWIV 7.8% 6.1% 10.1% 6.2% 8.8% Skew 25d 0.6% -1.5% 1.8% -1.5% 1.8% Skew 10d 0.7% -2.3% 5.6% -0.3% 5.6% Call IV 25d 7.5% 6.5% 8.7% 7.9% 8.6% Put IV 25d 8.1% 5.9% 10.3% 6.5% 10.3% Bid-Ask Spread % 112.82 103.19 120.73 113.25 112.30 Gamma HHI 0.19 0.16 0.22 0.18 0.17 Net GEX 103.7K 56.3K 170.9K 161.7K 79.2K Net DEX -448.7K -897.2K -230.6K -835.2K -309.6K Net VEX -2.8K -3.5K -2.3K -2.8K -2.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.00 7.67 0.78 0.00 Total Volume 19.105 0 99 16 4 Total OI 840.158 698 980 698 746
Daily Data (19 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 2023-02-01 $60.08 $59.00 6.2% 1.8% 6.5% 2.5% 6.2% -1.5% 0.2% 161.7K -835.2K -2.8K 0.78 113.25 N/A N/A 9 7 677 21 2023-02-02 $60.09 $60.00 7.0% 1.8% 6.3% 4.2% 6.1% 0.4% 0.1% 170.9K -897.2K -3.5K 0.00 117.07 N/A N/A 5 0 686 28 2023-02-03 $59.58 $60.00 7.0% 1.7% 7.1% 4.3% 7.2% -0.6% -0.1% 152.4K -684.1K -2.6K 0.40 120.73 N/A N/A 30 12 691 28 2023-02-06 $59.16 $57.00 8.6% 2.0% 6.8% 7.8% 8.7% 0.2% -0.2% 123.8K -560.1K -2.5K 0.05 115.42 N/A N/A 94 5 717 40 2023-02-07 $59.11 $57.00 8.2% 2.0% 6.8% 7.0% 0.0% 0.4% -0.1% 117.1K -538.1K -2.7K 0.00 108.89 N/A N/A 0 0 794 127 2023-02-08 $59.20 $57.00 7.1% 2.0% 6.8% 4.6% 7.0% 1.4% -0.1% 105.1K -484.4K -3.1K 0.00 119.21 N/A N/A 5 0 794 157 2023-02-09 $59.05 $57.00 7.0% 2.0% 6.7% 4.4% 0.0% 0.7% 0.2% 101.8K -432.3K -3.1K 0.00 105.85 N/A N/A 0 0 798 157 2023-02-10 $58.86 $57.00 7.2% 2.1% 6.2% 4.7% 7.0% -0.1% 0.0% 89.8K -391.9K -2.9K 1.58 107.30 N/A N/A 19 30 798 157 2023-02-13 $58.91 $57.00 7.9% 2.3% 6.2% 6.2% 0.0% 0.1% -0.4% 106.0K -437.8K -2.9K 0.00 105.46 N/A N/A 5 0 816 157 2023-02-14 $58.70 $57.00 7.5% 2.2% 6.2% 5.4% 0.0% 0.7% 0.1% 91.6K -361.1K -2.9K 0.00 103.19 N/A N/A 43 0 821 157 2023-02-15 $58.59 $57.00 6.9% 2.0% 5.1% 4.1% 0.0% -0.7% 0.2% 106.7K -384.9K -2.7K 0.00 116.46 N/A N/A 0 0 828 152 2023-02-16 $58.52 $57.00 7.3% 2.1% 5.1% 4.9% 7.4% 1.6% -0.1% 104.5K -382.3K -2.8K 0.00 116.26 N/A N/A 1 0 829 150 2023-02-17 $58.63 $57.00 7.0% 2.0% 5.1% 4.3% 10.1% -0.1% 0.4% 110.7K -404.6K -2.8K 7.67 116.76 N/A N/A 3 23 830 150 2023-02-21 $58.22 $57.00 8.0% 2.3% 5.5% 6.4% 7.7% 0.8% -0.3% 72.5K -295.0K -2.6K 0.08 117.29 N/A N/A 12 1 554 169 2023-02-22 $58.27 $58.00 8.4% 2.4% 5.4% 7.2% 8.2% 1.5% -0.6% 71.5K -301.8K -2.8K 6.00 118.13 N/A N/A 1 6 557 170 2023-02-23 $58.41 $58.00 8.1% 2.3% 5.5% 6.6% 7.0% 1.7% -0.8% 83.9K -326.0K -2.6K 0.00 111.62 N/A N/A 1 0 558 176 2023-02-24 $58.14 $58.00 7.6% 2.2% 5.6% 5.6% 0.0% 1.3% -0.5% 56.3K -230.6K -2.4K 0.00 108.48 N/A N/A 37 0 558 176 2023-02-27 $58.25 $58.00 8.1% 2.3% 5.7% 6.6% 9.8% 1.1% -0.7% 64.4K -268.3K -2.3K 0.11 109.88 N/A N/A 9 1 563 176 2023-02-28 $58.28 $58.00 8.5% 2.4% 5.8% 7.5% 8.8% 1.8% -0.8% 79.2K -309.6K -2.7K 0.00 112.30 N/A N/A 4 0 569 177
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