VGIT Options History — September 2023 In September 2023, VGIT traded between $56.91 and $57.92. ATM implied volatility averaged 6.0%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.3% (HV 20d: 4.7%). Max pain ranged from $58.00 to $58.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 5.65.
Notable Days 2023-09-22 : Highest Volume — 47 contracts2023-09-11 : Largest IV spike — 51.9% change2023-09-12 : Highest IV Rank — 7.8%2023-09-05 : Largest Expected Move — 1.9%Monthly Statistics Metric Avg Min Max Open Close Price $57.46 $56.91 $57.92 $57.92 $57.16 Max Pain $58.00 $58.00 $58.00 $58.00 $58.00 ATM IV 6.0% 4.7% 8.3% 4.7% 5.9% Expected Move 1.7% 1.4% 1.9% 1.4% 1.7% HV 20d 4.7% 3.9% 5.3% 5.1% 4.0% HV 60d 5.6% 5.2% 5.9% 5.9% 5.2% IV Rank 2.8% 0.0% 7.8% 0.0% 2.5% IV Percentile 12.1% 0.0% 54.8% 0.0% 8.7% Term Structure 0.5% -0.2% 1.4% 1.2% 0.3% VWIV 7.5% 5.9% 11.1% 6.7% 8.0% Skew 25d -0.8% -2.4% 1.3% 1.3% -2.2% Skew 10d -1.2% -3.1% 2.2% 2.2% -3.0% Call IV 25d 6.8% 4.6% 7.7% 4.6% 7.6% Put IV 25d 6.0% 4.5% 7.6% 5.9% 5.3% Bid-Ask Spread % 118.22 86.34 128.32 128.32 114.80 Gamma HHI 0.25 0.16 0.33 0.23 0.17 Net GEX -10.7K -45.5K 42.0K 42.0K -7.9K Net DEX 7.0K -182.9K 113.6K -182.9K 51.6K Net VEX -1.7K -2.2K -1.3K -2.2K -1.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 5.65 0.00 46.00 6.40 0.00 Total Volume 8.55 0 47 0 1 Total OI 589.05 505 668 660 526
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 2023-09-01 $57.92 $58.00 4.7% 1.4% 5.1% 0.0% 0.0% 1.3% 1.2% 42.0K -182.9K -2.2K 0.00 128.32 N/A N/A 0 0 377 283 2023-09-05 $57.70 $58.00 6.0% 1.9% 5.3% 2.8% 6.7% -0.4% 0.8% -3.7K -102.0K -2.2K 6.40 120.70 N/A N/A 5 32 377 282 2023-09-06 $57.55 $58.00 6.4% 1.8% 5.2% 3.6% 0.0% -0.2% 0.8% -36.9K -11.6K -2.1K 0.00 115.83 N/A N/A 1 0 377 282 2023-09-07 $57.72 $58.00 6.6% 1.8% 5.3% 4.1% 6.3% -0.4% 1.1% -13.4K -85.3K -2.1K 0.00 117.60 N/A N/A 4 0 377 282 2023-09-08 $57.70 $58.00 5.3% 1.7% 5.2% 1.3% 5.9% -0.3% 1.4% -11.0K -78.4K -2.0K 0.00 124.22 N/A N/A 4 0 377 282 2023-09-11 $57.67 $58.00 8.1% 1.8% 4.9% 7.3% 0.0% -0.5% 0.9% -18.2K -58.3K -2.0K 0.00 124.70 N/A N/A 1 0 381 282 2023-09-12 $57.66 $58.00 8.3% 1.7% 4.9% 7.8% 0.0% -0.7% 1.4% -5.2K -62.5K -1.8K 0.00 125.23 N/A N/A 0 0 381 282 2023-09-13 $57.75 $58.00 6.0% 1.7% 4.9% 2.7% 9.7% -0.3% 1.1% -22.9K -71.4K -1.9K 0.31 123.07 N/A N/A 13 4 381 282 2023-09-14 $57.67 $58.00 5.8% 1.7% 4.9% 2.4% 0.0% -0.4% -0.0% -40.4K 46.0K -1.9K 0.00 128.10 N/A N/A 0 0 382 286 2023-09-15 $57.58 $58.00 5.9% 1.7% 4.9% 2.7% 11.1% -0.8% -0.0% -45.5K 88.8K -1.8K 0.00 127.04 N/A N/A 1 0 382 286 2023-09-18 $57.59 $58.00 5.8% 1.7% 4.8% 2.4% 0.0% -0.1% 0.2% 6.1K -14.1K -1.7K 0.00 86.34 N/A N/A 1 0 298 209 2023-09-19 $57.41 $58.00 6.0% 1.7% 4.7% 2.8% 6.0% -0.3% -0.2% -718 38.4K -1.5K 0.75 112.53 N/A N/A 4 3 299 209 2023-09-20 $57.39 $58.00 5.6% 1.6% 4.7% 2.0% 0.0% -0.2% 0.1% -6.9K 56.6K -1.4K 0.00 114.40 N/A N/A 0 0 302 212 2023-09-21 $57.16 $58.00 5.3% 1.5% 4.3% 1.3% 0.0% -2.3% 0.4% -8.0K 108.0K -1.4K 0.00 116.66 N/A N/A 0 10 302 212 2023-09-22 $57.30 $58.00 5.5% 1.6% 4.4% 1.6% 6.4% -1.3% 0.1% -18.5K 109.6K -1.5K 46.00 115.68 N/A N/A 1 46 302 222 2023-09-25 $57.11 $58.00 5.3% 1.5% 4.5% 1.3% 7.3% -1.7% 0.5% -434 54.2K -1.3K 5.00 111.49 N/A N/A 2 10 302 203 2023-09-26 $57.11 $58.00 5.5% 1.6% 4.4% 1.6% 8.0% -2.1% 0.5% -4.9K 69.4K -1.4K 15.00 115.80 N/A N/A 1 15 303 213 2023-09-27 $56.91 $58.00 5.9% 1.7% 3.9% 2.5% 0.0% -0.1% 0.2% -11.1K 113.6K -1.4K 0.00 124.56 N/A N/A 12 0 304 216 2023-09-28 $57.09 $58.00 6.2% 1.8% 4.2% 3.3% 0.0% -2.4% -0.1% -6.8K 70.1K -1.4K 0.00 117.38 N/A N/A 0 0 310 216 2023-09-29 $57.16 $58.00 5.9% 1.7% 4.0% 2.5% 0.0% -2.2% 0.3% -7.9K 51.6K -1.5K 0.00 114.80 N/A N/A 0 1 310 216
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