VGIT Options History — June 2023

In June 2023, VGIT traded between $58.59 and $59.53. ATM implied volatility averaged 7.9%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 2.2% (HV 20d: 5.7%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2023-06-22: Highest Volume — 98 contracts
  • 2023-06-13: Largest IV spike — 171.8% change
  • 2023-06-13: Highest IV Rank — 46.6%
  • 2023-06-13: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.97$58.59$59.53$59.53$58.66
Max Pain$59.05$59.00$60.00$59.00$59.00
ATM IV7.9%5.7%26.9%8.3%6.8%
Expected Move2.0%1.6%3.2%2.4%2.0%
HV 20d5.7%5.3%6.1%5.6%5.9%
HV 60d7.2%6.4%8.7%8.6%6.4%
IV Rank4.7%0.0%46.6%6.2%2.4%
IV Percentile24.3%0.0%99.6%52.0%16.7%
Term Structure0.7%-1.0%1.5%-1.0%0.4%
VWIV7.2%6.4%8.4%8.4%7.1%
Skew 25d-0.3%-1.9%0.6%-1.4%0.1%
Skew 10d-0.6%-3.0%1.2%-3.0%0.7%
Call IV 25d7.4%6.4%10.0%10.0%6.6%
Put IV 25d7.2%5.7%8.6%8.6%6.8%
Bid-Ask Spread %115.26101.78125.32112.53125.32
Gamma HHI0.310.250.440.250.33
Net GEX2.5K-71.5K75.4K75.4K-16.8K
Net DEX-11.5K-217.9K145.5K-217.9K107.6K
Net VEX-1.8K-2.3K-1.6K-2.0K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.009.000.080.00
Total Volume15.7140981333
Total OI730.19541795754747

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$59.53$59.008.3%2.4%5.6%6.2%8.4%-1.4%-1.0%75.4K-217.9K-2.0K0.08112.53N/AN/A121644110
2023-06-02$59.14$60.007.2%2.1%5.8%3.5%0.0%-1.9%0.6%27.7K-69.0K-1.7K0.00106.48N/AN/A00644110
2023-06-05$59.17$59.007.5%2.0%5.6%4.2%0.0%-0.1%0.5%23.1K-68.7K-1.7K0.00113.67N/AN/A00644110
2023-06-06$59.14$59.007.6%2.1%5.4%4.3%7.2%-0.3%0.5%11.5K-40.4K-1.6K9.00107.45N/AN/A19644110
2023-06-07$58.88$59.008.3%2.0%5.6%6.0%0.0%-0.3%0.7%-12.6K36.6K-1.6K0.00112.82N/AN/A10645115
2023-06-08$59.14$59.007.9%2.1%5.5%5.1%8.4%-0.2%0.7%-534-18.6K-1.6K0.00116.77N/AN/A80646115
2023-06-09$59.00$59.007.9%2.0%5.3%4.9%7.1%0.4%0.7%-13.6K9.9K-1.6K0.00103.50N/AN/A240659115
2023-06-12$59.05$59.009.9%2.1%5.3%8.8%7.3%-0.1%0.4%-12.7K-23.4K-1.6K0.25115.91N/AN/A41658115
2023-06-13$58.75$59.0026.9%3.2%5.5%46.6%0.0%-0.1%0.8%-14.4K70.0K-1.7K0.00111.13N/AN/A05662116
2023-06-14$58.72$59.006.6%1.9%5.4%1.3%0.0%-0.3%1.3%-49.7K102.6K-1.6K0.00113.27N/AN/A02662121
2023-06-15$59.09$59.006.1%1.7%6.0%0.3%0.0%0.3%0.7%-71.5K3.7K-1.6K0.00118.53N/AN/A010662123
2023-06-16$58.88$59.006.3%1.8%5.9%0.8%6.6%0.6%0.7%-39251.9K-1.7K5.00115.94N/AN/A210662133
2023-06-20$59.00$59.006.0%1.7%5.9%0.0%6.4%-0.0%1.3%-12.7K-163-1.7K0.02101.78N/AN/A641433108
2023-06-21$59.00$59.005.9%1.7%5.9%0.0%6.7%0.6%1.3%47.2K-138.5K-2.1K0.00118.21N/AN/A10493109
2023-06-22$58.78$59.005.7%1.6%6.0%0.0%6.6%-0.6%1.5%35.1K-42.5K-2.0K0.00122.59N/AN/A098494109
2023-06-23$58.94$59.006.1%1.8%6.1%0.8%0.0%-0.3%1.0%19.0K-42.4K-2.2K0.00117.38N/AN/A30494204
2023-06-26$59.03$59.006.3%1.8%5.7%1.2%7.5%0.5%0.9%20.2K-63.6K-2.3K0.00120.73N/AN/A60492232
2023-06-27$58.84$59.005.9%1.7%5.8%0.5%0.0%-1.1%1.0%2.7K20.6K-2.1K0.00120.69N/AN/A03490232
2023-06-28$59.03$59.005.8%1.7%5.6%0.2%7.1%-1.5%1.2%17.9K-65.4K-2.1K0.00121.92N/AN/A310490235
2023-06-29$58.59$59.006.4%1.8%5.9%1.6%0.0%0.3%0.4%-23.1K145.5K-2.1K0.00123.73N/AN/A00512235
2023-06-30$58.66$59.006.8%2.0%5.9%2.4%0.0%0.1%0.4%-16.8K107.6K-2.0K0.00125.32N/AN/A033512235