VGIT Options History — May 2023

In May 2023, VGIT traded between $58.97 and $60.69. ATM implied volatility averaged 8.8%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.2% (HV 20d: 7.6%). Max pain ranged from $57.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2023-05-17: Highest Volume — 47 contracts
  • 2023-05-05: Largest IV drop — 15.7% change
  • 2023-05-25: Highest IV Rank — 10.7%
  • 2023-05-25: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.87$58.97$60.69$59.69$59.56
Max Pain$59.36$57.00$60.00$57.00$59.00
ATM IV8.8%7.8%10.0%8.9%9.0%
Expected Move2.5%2.2%2.9%2.6%2.6%
HV 20d7.6%5.9%8.1%7.2%5.9%
HV 60d8.6%8.5%8.7%8.6%8.6%
IV Rank8.1%6.0%10.7%8.5%8.7%
IV Percentile64.7%41.7%84.9%70.6%70.6%
Term Structure-0.7%-1.2%-0.2%-0.8%-0.8%
VWIV9.4%8.0%15.3%9.0%8.8%
Skew 25d-0.6%-2.2%1.8%-1.3%-0.1%
Skew 10d-1.4%-4.6%3.6%0.8%-0.3%
Call IV 25d9.4%8.0%10.7%10.3%8.0%
Put IV 25d8.8%7.5%12.5%9.0%7.9%
Bid-Ask Spread %111.90102.57121.95105.20121.95
Gamma HHI0.230.180.300.200.24
Net GEX103.9K20.0K181.0K104.4K57.8K
Net DEX-420.3K-895.2K39.4K-487.4K-146.3K
Net VEX-2.6K-3.2K-2.2K-2.6K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.006.800.251.70
Total Volume17.4550472527
Total OI9467431,130930771

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$59.69$57.008.9%2.6%7.2%8.5%9.0%-1.3%-0.8%104.4K-487.4K-2.6K0.25105.20N/AN/A205784146
2023-05-02$60.25$57.009.1%2.6%7.9%8.9%0.0%-2.2%-0.8%137.9K-684.4K-2.8K0.00108.03N/AN/A120804151
2023-05-03$60.53$57.009.5%2.7%7.8%9.7%0.0%-1.5%-1.0%161.8K-800.4K-2.9K0.00111.87N/AN/A00814151
2023-05-04$60.69$59.009.9%2.6%7.8%10.6%8.8%-0.7%-0.7%171.7K-895.2K-3.2K0.00102.57N/AN/A120814151
2023-05-05$60.36$59.008.3%2.4%8.1%7.2%15.3%-0.8%-0.5%151.8K-711.3K-2.7K0.00111.05N/AN/A10816151
2023-05-08$60.09$59.009.0%2.4%7.8%8.7%8.6%-1.0%-0.3%132.2K-608.5K-2.5K0.12108.30N/AN/A415817151
2023-05-09$60.08$60.008.2%2.4%7.8%6.9%0.0%-1.2%-0.2%130.8K-578.8K-2.4K0.50110.50N/AN/A21852156
2023-05-10$60.39$60.008.4%2.4%8.0%7.4%8.6%-0.0%-0.8%159.1K-715.5K-2.5K0.00110.41N/AN/A350854157
2023-05-11$60.53$60.008.8%2.5%8.0%8.1%8.7%-0.4%-0.4%181.0K-815.4K-2.8K1.00109.72N/AN/A1717889157
2023-05-12$60.28$60.007.9%2.3%8.0%6.3%8.3%-0.5%-0.3%172.3K-652.1K-2.6K4.20110.57N/AN/A521891174
2023-05-15$60.22$60.007.8%2.2%7.8%6.0%0.0%-0.8%-0.3%157.1K-576.5K-2.7K0.00113.41N/AN/A20896194
2023-05-16$60.05$60.008.2%2.3%7.9%6.8%9.8%-1.0%-0.5%147.6K-492.4K-2.7K0.00110.61N/AN/A110898194
2023-05-17$59.89$60.007.8%2.2%7.9%6.0%8.6%-1.1%-0.3%157.8K-425.5K-2.6K0.00116.19N/AN/A470936194
2023-05-18$59.61$60.008.1%2.3%8.0%6.7%8.0%-1.0%-0.6%60.0K-297.0K-2.4K0.14117.17N/AN/A71926194
2023-05-19$59.41$60.008.6%2.5%8.0%7.8%8.7%-0.7%-1.0%45.2K-222.3K-2.4K1.42110.76N/AN/A1217933194
2023-05-22$59.39$60.009.0%2.6%7.9%8.6%10.5%-0.3%-1.0%25.0K-39.0K-2.5K0.00110.26N/AN/A60600143
2023-05-23$59.44$60.008.9%2.6%7.2%8.5%9.5%-1.9%-0.8%26.3K-40.7K-2.4K0.00117.05N/AN/A40605143
2023-05-24$59.34$60.009.6%2.7%7.1%9.9%0.0%-0.2%-1.2%31.7K-60.6K-2.6K0.00111.41N/AN/A00618143
2023-05-25$58.97$60.0010.0%2.9%7.2%10.7%0.0%1.8%-1.2%20.0K39.4K-2.7K6.80116.94N/AN/A534638143
2023-05-26$58.97$60.009.1%2.6%6.9%8.8%9.1%-0.1%-0.9%23.4K16.3K-2.6K4.00120.31N/AN/A14643143
2023-05-30$59.30$59.008.8%2.5%6.7%8.1%0.0%1.8%-0.8%31.9K-52.5K-2.3K0.00107.53N/AN/A012644139
2023-05-31$59.56$59.009.0%2.6%5.9%8.7%8.8%-0.1%-0.8%57.8K-146.3K-2.2K1.70121.95N/AN/A1017644127