VGIT Options History — August 2023

In August 2023, VGIT traded between $57.50 and $58.45. ATM implied volatility averaged 6.3%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.6% (HV 20d: 5.7%). Max pain ranged from $58.00 to $59.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.47.

Notable Days

  • 2023-08-21: Highest Volume — 245 contracts
  • 2023-08-11: Largest IV spike — 95.0% change
  • 2023-08-11: Highest IV Rank — 11.6%
  • 2023-08-11: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.97$57.50$58.45$58.14$58.28
Max Pain$58.52$58.00$59.00$59.00$58.00
ATM IV6.3%5.2%10.5%6.3%5.7%
Expected Move1.8%1.5%3.0%1.8%1.6%
HV 20d5.7%5.2%6.6%6.2%5.5%
HV 60d5.9%5.7%6.0%5.8%5.8%
IV Rank2.3%0.0%11.6%1.6%1.1%
IV Percentile13.0%0.0%89.7%9.9%2.0%
Term Structure0.2%-9.4%2.5%-0.5%1.1%
VWIV6.2%4.1%8.1%6.1%5.3%
Skew 25d1.0%-1.5%12.9%-0.4%10.2%
Skew 10d2.5%-2.0%22.5%-0.6%22.5%
Call IV 25d6.4%4.3%8.1%6.9%4.3%
Put IV 25d7.4%5.4%21.0%6.5%14.5%
Bid-Ask Spread %122.3490.91138.25114.19138.25
Gamma HHI0.350.220.630.440.30
Net GEX-21.8K-112.3K80.5K-47.0K80.5K
Net DEX-30.9K-264.1K130.0K130.0K-264.1K
Net VEX-2.1K-2.5K-1.8K-2.1K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.004.571.500.00
Total Volume22.8260245101
Total OI545.522395660455660

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$58.14$59.006.3%1.8%6.2%1.6%6.1%-0.4%-0.5%-47.0K130.0K-2.1K1.50114.19N/AN/A46231224
2023-08-02$58.13$58.006.3%1.8%6.0%1.6%0.0%-1.5%-0.3%-21.6K5.5K-2.0K0.08117.23N/AN/A121235198
2023-08-03$57.89$58.006.5%1.8%5.9%1.9%0.0%0.3%0.8%-44.5K72.6K-1.9K0.00120.05N/AN/A100235199
2023-08-04$58.36$58.005.2%1.8%6.6%0.0%0.0%0.1%0.5%10.0K-130.4K-2.1K0.00103.32N/AN/A20243199
2023-08-07$58.28$58.007.1%1.8%6.4%4.3%6.2%0.1%0.4%-1.7K-105.4K-2.0K0.0093.60N/AN/A09245199
2023-08-08$58.45$59.006.5%1.7%6.5%2.8%6.1%-1.1%1.1%17.1K-153.1K-2.0K0.03124.99N/AN/A291245208
2023-08-09$58.45$59.005.9%1.7%5.9%1.7%5.9%0.2%0.0%8.2K-127.4K-2.0K0.00127.81N/AN/A310269207
2023-08-10$58.20$59.005.4%1.5%5.5%0.5%0.0%-0.7%1.0%-40.5K-33.0K-2.0K0.00121.47N/AN/A670283207
2023-08-11$57.94$59.0010.5%3.0%5.5%11.6%0.0%-1.3%-9.4%-103.7K53.8K-1.9K0.00125.74N/AN/A10350207
2023-08-14$57.84$59.005.8%1.6%5.4%1.2%4.1%-0.0%1.2%-111.9K100.5K-1.8K0.43122.31N/AN/A73351207
2023-08-15$57.81$59.005.8%1.7%5.4%1.4%7.5%-0.3%1.0%-112.3K68.2K-1.8K0.0091.28N/AN/A140358205
2023-08-16$57.67$59.006.0%1.7%5.4%1.7%0.0%-0.4%0.7%-13.8K65.8K-2.0K0.0090.91N/AN/A150372205
2023-08-17$57.64$59.006.0%1.7%5.2%1.8%0.0%0.9%1.0%-14.9K77.6K-2.1K0.00124.50N/AN/A00387213
2023-08-18$57.77$59.005.9%1.7%5.3%1.6%0.0%-0.6%1.0%-9.3K35.4K-2.0K0.00124.06N/AN/A05387213
2023-08-21$57.53$59.006.3%1.8%5.4%2.5%6.7%0.9%0.5%9.8K-8.2K-1.8K4.57130.99N/AN/A4420131184
2023-08-22$57.50$59.005.8%1.7%5.4%1.4%8.1%0.5%2.5%-61.7K74.2K-2.5K0.00132.83N/AN/A50337283
2023-08-23$57.86$58.006.0%1.7%5.9%1.7%5.9%-1.2%1.0%-30.1K-59.7K-2.5K0.00133.91N/AN/A100342283
2023-08-24$57.77$58.006.0%1.7%5.5%1.7%0.0%2.1%0.9%-35.4K-26.3K-2.5K0.00132.57N/AN/A100350283
2023-08-25$57.70$58.006.7%1.9%5.4%3.2%0.0%0.2%-0.1%-32.4K-10.4K-2.4K2.00135.52N/AN/A36353283
2023-08-28$57.83$58.005.4%1.6%5.5%0.5%0.0%0.5%1.0%-28.1K-77.1K-2.3K0.00134.08N/AN/A10354278
2023-08-29$58.14$58.008.5%2.4%5.6%7.2%0.0%12.9%-1.1%56.4K-210.4K-2.2K0.00136.62N/AN/A00354278
2023-08-30$58.13$58.005.3%1.5%5.6%0.3%5.3%1.6%1.2%25.4K-188.0K-2.2K0.23137.69N/AN/A225354278
2023-08-31$58.28$58.005.7%1.6%5.5%1.1%0.0%10.2%1.1%80.5K-264.1K-2.4K0.00138.25N/AN/A10377283