VGIT Options History — July 2023 In July 2023, VGIT traded between $57.86 and $59.03. ATM implied volatility averaged 6.4%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.0% (HV 20d: 6.3%). Max pain ranged from $59.00 to $59.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.60.
Notable Days 2023-07-10 : Highest Volume — 122 contracts2023-07-26 : Largest IV drop — 14.1% change2023-07-05 : Highest IV Rank — 4.3%2023-07-05 : Largest Expected Move — 2.2%Monthly Statistics Metric Avg Min Max Open Close Price $58.50 $57.86 $59.03 $58.38 $58.42 Max Pain $59.00 $59.00 $59.00 $59.00 $59.00 ATM IV 6.4% 5.6% 7.7% 7.3% 6.4% Expected Move 1.8% 1.6% 2.2% 2.1% 1.8% HV 20d 6.3% 5.7% 7.0% 5.7% 6.2% HV 60d 6.5% 5.8% 6.8% 6.5% 5.8% IV Rank 1.5% 0.0% 4.3% 3.5% 1.8% IV Percentile 10.3% 0.0% 34.9% 28.6% 10.7% Term Structure 0.8% -0.6% 1.8% 0.4% 0.3% VWIV 6.4% 5.9% 7.4% 7.4% 5.9% Skew 25d -0.0% -1.2% 0.8% 0.2% -0.8% Skew 10d 0.0% -1.1% 1.5% 0.2% -0.4% Call IV 25d 6.8% 5.5% 8.2% 7.5% 7.6% Put IV 25d 6.7% 5.7% 7.8% 7.7% 6.8% Bid-Ask Spread % 115.22 88.85 125.64 118.98 124.45 Gamma HHI 0.36 0.26 0.57 0.33 0.41 Net GEX -18.3K -93.0K 37.2K -28.5K -32.8K Net DEX 112.1K -72.8K 534.8K 163.3K 61.1K Net VEX -1.9K -2.3K -1.5K -2.1K -2.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.60 0.00 22.00 22.00 0.00 Total Volume 19.4 0 122 46 0 Total OI 662.4 334 831 749 455
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 2023-07-03 $58.38 $59.00 7.3% 2.1% 5.7% 3.5% 0.0% 0.2% 0.4% -28.5K 163.3K -2.1K 22.00 118.98 N/A N/A 2 44 512 237 2023-07-05 $58.16 $59.00 7.7% 2.2% 5.8% 4.3% 0.0% -0.5% 0.3% -69.0K 389.1K -2.3K 0.00 113.70 N/A N/A 0 2 514 279 2023-07-06 $57.86 $59.00 6.8% 2.0% 6.0% 2.4% 7.4% 0.0% 1.8% -93.0K 534.8K -2.1K 0.04 109.89 N/A N/A 45 2 514 279 2023-07-07 $57.88 $59.00 6.5% 2.0% 5.9% 1.6% 0.0% 0.1% 1.7% -44.9K 472.8K -2.2K 0.00 113.63 N/A N/A 0 0 551 280 2023-07-10 $58.14 $59.00 7.1% 2.0% 5.9% 3.1% 6.8% 0.4% 1.6% -17.3K 286.0K -2.1K 2.05 114.72 N/A N/A 40 82 551 263 2023-07-11 $58.19 $59.00 6.8% 1.9% 5.9% 2.3% 0.0% 0.1% 1.7% -51.0K 266.7K -1.8K 0.00 116.56 N/A N/A 0 0 511 238 2023-07-12 $58.64 $59.00 5.9% 1.7% 6.6% 0.5% 6.2% -0.2% 1.6% -821 70.5K -1.8K 1.00 122.73 N/A N/A 1 1 511 239 2023-07-13 $59.03 $59.00 5.8% 1.7% 6.8% 0.1% 0.0% 0.8% 1.5% 28.9K -69.6K -1.6K 0.00 119.00 N/A N/A 2 0 512 239 2023-07-14 $58.78 $59.00 5.9% 1.7% 7.0% 0.4% 0.0% 0.3% 1.2% 9.3K 10.5K -1.7K 0.00 118.95 N/A N/A 0 0 514 239 2023-07-17 $58.86 $59.00 6.0% 1.7% 6.6% 0.7% 0.0% -0.1% 1.2% 22.9K -6.3K -1.6K 0.00 120.47 N/A N/A 7 0 514 239 2023-07-18 $58.89 $59.00 6.0% 1.7% 6.5% 0.5% 0.0% 0.0% 1.2% 29.8K -39.5K -1.6K 0.00 88.85 N/A N/A 0 0 521 239 2023-07-19 $58.98 $59.00 5.6% 1.6% 6.4% 0.0% 5.9% -0.1% 1.3% 37.2K -72.8K -1.5K 0.55 119.51 N/A N/A 11 6 521 239 2023-07-20 $58.72 $59.00 6.0% 1.7% 6.6% 0.9% 6.0% 0.5% -0.2% -12.1K 10.4K -1.8K 0.36 125.64 N/A N/A 14 5 532 244 2023-07-21 $58.70 $59.00 5.7% 1.6% 6.5% 0.2% 0.0% 0.3% 0.0% -8.3K 6.2K -1.7K 0.00 90.29 N/A N/A 0 1 543 249 2023-07-24 $58.55 $59.00 6.3% 1.8% 6.5% 1.6% 6.1% 0.1% -0.0% -52.3K 52.9K -1.7K 0.00 123.01 N/A N/A 58 0 126 208 2023-07-25 $58.50 $59.00 6.9% 2.0% 6.4% 2.8% 6.9% 0.4% -0.6% -14.1K -9.2K -2.1K 5.00 123.40 N/A N/A 1 5 184 208 2023-07-26 $58.64 $59.00 5.9% 1.7% 6.4% 0.6% 5.9% 0.6% 0.1% -5.2K -58.4K -2.1K 0.00 124.82 N/A N/A 0 5 185 208 2023-07-27 $58.27 $59.00 6.5% 1.9% 6.6% 2.0% 0.0% -1.2% 0.1% -32.1K 99.1K -2.1K 0.20 117.79 N/A N/A 40 8 186 215 2023-07-28 $58.41 $59.00 6.0% 1.7% 6.2% 0.9% 0.0% -0.8% 0.4% -32.3K 74.5K -2.2K 0.00 98.12 N/A N/A 6 0 226 223 2023-07-31 $58.42 $59.00 6.4% 1.8% 6.2% 1.8% 0.0% -0.8% 0.3% -32.8K 61.1K -2.2K 0.00 124.45 N/A N/A 0 0 231 224
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