VGIT Options History — March 2023

In March 2023, VGIT traded between $57.70 and $60.39. ATM implied volatility averaged 10.3%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.4% (HV 20d: 8.8%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 3.87.

Notable Days

  • 2023-03-31: Highest Volume — 121 contracts
  • 2023-03-13: Largest IV spike — 61.7% change
  • 2023-03-13: Highest IV Rank — 29.3%
  • 2023-03-15: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.18$57.70$60.39$57.84$59.95
Max Pain$56.70$56.00$58.00$58.00$57.00
ATM IV10.3%8.2%18.5%8.7%9.1%
Expected Move2.7%2.2%3.4%2.5%2.6%
HV 20d8.8%4.9%11.7%6.0%11.2%
HV 60d7.3%6.0%8.4%6.2%8.4%
IV Rank11.4%7.0%29.3%7.9%9.0%
IV Percentile82.5%59.9%98.0%71.0%76.6%
Term Structure-0.4%-1.8%0.4%-1.2%-0.8%
VWIV9.9%8.1%13.8%9.6%8.8%
Skew 25d-0.6%-2.6%1.0%-0.4%-1.1%
Skew 10d-1.0%-5.8%7.7%-0.3%-4.6%
Call IV 25d10.1%7.8%12.7%9.8%10.0%
Put IV 25d9.5%8.1%11.4%9.5%8.9%
Bid-Ask Spread %105.3295.52117.76117.58101.58
Gamma HHI0.210.170.240.170.23
Net GEX114.7K43.7K205.0K56.4K113.3K
Net DEX-624.1K-1.1M-171.4K-214.6K-792.8K
Net VEX-3.0K-3.8K-2.1K-2.3K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.870.0055.000.000.00
Total Volume24.91301211121
Total OI808.609664984750770

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$57.84$58.008.7%2.5%6.0%7.9%9.6%-0.4%-1.2%56.4K-214.6K-2.3K0.00117.58N/AN/A10573177
2023-03-02$57.70$58.008.2%2.4%5.5%7.0%0.0%0.2%-0.3%43.7K-171.4K-2.2K0.00110.24N/AN/A30574175
2023-03-03$57.94$58.008.7%2.5%5.9%8.0%0.0%0.7%-0.5%66.7K-241.8K-2.2K15.17117.76N/AN/A691577175
2023-03-06$57.91$56.009.3%2.2%5.3%9.3%9.4%0.1%-0.3%58.3K-229.1K-2.2K55.00109.94N/AN/A155582266
2023-03-07$57.84$56.009.3%2.3%4.9%9.4%0.0%0.4%-0.2%59.3K-217.9K-2.3K0.00103.14N/AN/A00583321
2023-03-08$57.80$56.0010.2%2.3%4.9%11.2%0.0%1.0%-0.2%50.0K-195.7K-2.1K0.00107.01N/AN/A00583321
2023-03-09$58.11$56.0010.7%2.4%5.3%12.3%8.4%0.0%-0.4%84.7K-298.8K-2.5K0.0098.54N/AN/A02583321
2023-03-10$58.88$56.0011.4%2.5%7.3%14.0%0.0%-0.1%-0.4%137.6K-543.2K-2.7K0.00109.11N/AN/A10583323
2023-03-13$59.59$56.0018.5%3.1%8.3%29.3%0.0%0.1%-1.2%152.6K-825.9K-3.4K0.0098.34N/AN/A150584323
2023-03-14$59.25$56.0013.6%2.8%8.6%18.5%10.0%0.3%-0.7%175.8K-719.7K-3.2K0.00108.38N/AN/A190590323
2023-03-15$59.89$56.0011.8%3.4%9.3%14.7%11.5%-1.3%-1.8%182.5K-1.0M-3.8K0.2995.52N/AN/A4914604323
2023-03-16$59.45$56.009.0%2.6%9.7%8.8%9.0%0.4%0.0%186.6K-739.2K-3.1K5.00104.10N/AN/A15643335
2023-03-17$60.14$56.0010.7%3.1%10.4%12.3%10.2%-1.6%-0.3%205.0K-1.1M-3.7K1.67107.04N/AN/A35644340
2023-03-20$59.86$57.0010.7%3.1%10.6%12.4%10.4%-1.1%-0.2%111.9K-760.4K-3.5K0.14101.51N/AN/A223444220
2023-03-21$59.39$57.008.3%2.4%10.7%7.0%9.6%-0.8%0.4%102.0K-555.7K-2.7K0.00110.76N/AN/A30449223
2023-03-22$59.92$57.008.9%2.5%11.0%8.4%9.2%-0.7%0.3%122.3K-772.0K-3.2K0.00107.25N/AN/A130452223
2023-03-23$60.39$57.0010.0%2.9%11.3%10.9%11.1%-1.3%0.1%125.8K-915.4K-3.3K0.00102.32N/AN/A100463223
2023-03-24$60.36$57.0010.4%3.0%11.1%11.7%10.5%-1.6%-0.6%130.1K-930.1K-3.5K0.00102.41N/AN/A350469223
2023-03-27$59.83$57.0010.3%3.0%11.7%11.6%11.2%-1.5%-0.5%125.3K-831.1K-3.6K0.00101.20N/AN/A480494223
2023-03-28$59.75$57.0010.1%2.9%11.7%11.0%13.8%-1.3%-0.3%121.9K-795.1K-3.7K0.00103.04N/AN/A280521223
2023-03-29$59.64$57.009.3%2.7%11.3%9.4%8.2%-2.6%0.1%112.5K-749.6K-3.0K0.13102.88N/AN/A81549223
2023-03-30$59.72$57.009.0%2.6%11.2%8.6%8.1%-2.5%0.1%113.2K-764.0K-2.8K0.00102.73N/AN/A100556224
2023-03-31$59.95$57.009.1%2.6%11.2%9.0%8.8%-1.1%-0.8%113.3K-792.8K-2.9K0.00101.58N/AN/A1210546224