VGIT Options History — October 2023

In October 2023, VGIT traded between $56.16 and $57.11. ATM implied volatility averaged 6.9%, 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 0.8% (HV 20d: 6.1%). Max pain ranged from $57.00 to $58.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.12.

Notable Days

  • 2023-10-05: Highest Volume — 258 contracts
  • 2023-10-03: Largest IV spike — 23.9% change
  • 2023-10-09: Highest IV Rank — 6.2%
  • 2023-10-03: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.64$56.16$57.11$56.72$56.56
Max Pain$57.14$57.00$58.00$58.00$57.00
ATM IV6.9%6.1%7.6%6.1%7.2%
Expected Move2.0%1.7%2.2%1.7%2.1%
HV 20d6.1%4.3%7.1%4.3%6.3%
HV 60d5.5%5.1%5.7%5.4%5.4%
IV Rank4.7%3.0%6.2%3.0%5.4%
IV Percentile33.0%17.9%42.9%17.9%42.9%
Term Structure0.3%-0.7%1.1%0.3%0.1%
VWIV7.3%6.2%9.1%9.1%7.2%
Skew 25d-0.2%-1.6%1.0%-0.9%-0.1%
Skew 10d-0.6%-3.2%1.6%-1.0%-0.8%
Call IV 25d7.3%6.3%8.3%6.3%7.3%
Put IV 25d7.1%5.5%8.1%5.5%7.2%
Bid-Ask Spread %113.2472.12128.87109.96117.75
Gamma HHI0.550.140.720.180.59
Net GEX-167.7K-248.3K8.4K-12.4K-213.2K
Net DEX679.1K98.0K1.1M125.6K710.2K
Net VEX-5.3K-6.8K-1.3K-1.3K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.0016.000.880.03
Total Volume44.31802586433
Total OI915.3185271,174527888

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$56.72$58.006.1%1.7%4.3%3.0%0.0%-0.9%0.3%-12.4K125.6K-1.3K0.88109.96N/AN/A3430310217
2023-10-03$56.42$58.007.6%2.2%4.5%6.1%0.0%0.7%-0.3%-2.2K155.5K-1.4K5.5072.12N/AN/A211319221
2023-10-04$56.69$58.007.0%2.0%4.9%4.9%0.0%1.0%-0.7%8.4K98.0K-1.4K0.00104.72N/AN/A0150321211
2023-10-05$56.80$57.006.9%1.9%4.8%4.6%0.0%-0.1%0.6%-60.7K313.8K-3.0K0.00128.80N/AN/A0258321358
2023-10-06$56.61$57.006.8%1.9%4.9%4.4%0.0%-1.4%0.3%-195.7K823.8K-5.7K0.00118.38N/AN/A03321611
2023-10-09$57.09$57.007.6%2.1%5.9%6.2%9.1%-0.4%0.4%-156.9K624.2K-5.5K0.11103.48N/AN/A12514321611
2023-10-10$57.00$57.007.1%2.0%5.9%5.1%7.7%-0.6%0.4%-167.2K616.4K-5.5K0.00120.65N/AN/A220448618
2023-10-11$57.11$57.006.9%2.0%6.0%4.8%9.0%-0.1%0.3%-140.7K581.9K-5.6K0.10127.17N/AN/A101470618
2023-10-12$56.83$57.006.6%1.9%6.2%4.0%6.7%-0.3%0.4%-171.0K715.8K-5.7K0.43126.60N/AN/A73471619
2023-10-13$57.00$57.006.5%1.9%6.3%3.9%0.0%-0.4%0.8%-166.0K617.9K-5.5K0.0076.54N/AN/A00468622
2023-10-16$56.80$57.006.6%1.9%6.4%4.0%0.0%-0.5%1.1%-177.7K737.3K-5.6K8.00116.30N/AN/A18468622
2023-10-17$56.41$57.006.6%1.9%6.7%4.0%7.1%-1.6%0.6%-219.3K990.3K-5.8K0.73115.11N/AN/A4130469630
2023-10-18$56.27$57.006.9%2.0%6.7%4.7%6.9%-0.6%0.4%-219.3K944.6K-6.2K16.00128.87N/AN/A232510616
2023-10-19$56.16$57.006.8%1.9%6.6%4.5%6.7%0.8%0.3%-248.3K1.1M-6.5K1.07128.41N/AN/A1516511647
2023-10-20$56.39$57.007.1%2.0%6.8%5.2%0.0%-0.3%0.1%-216.5K970.8K-6.7K0.00108.88N/AN/A10511663
2023-10-23$56.55$57.007.0%2.0%6.8%5.0%6.2%0.1%0.5%-227.6K832.7K-6.4K0.02110.91N/AN/A481289524
2023-10-24$56.56$57.006.7%1.9%6.8%4.2%6.5%0.3%0.6%-221.8K760.3K-6.6K0.50117.63N/AN/A42331525
2023-10-25$56.30$57.007.0%2.0%6.9%4.9%0.0%-1.1%0.3%-221.2K951.9K-6.8K0.00114.11N/AN/A10335526
2023-10-26$56.61$57.007.0%2.0%7.1%5.0%7.2%0.8%0.4%-214.3K759.1K-6.6K0.00114.11N/AN/A010336526
2023-10-27$56.69$57.007.1%2.0%7.1%5.2%0.0%0.8%0.2%-214.3K719.2K-6.6K0.00117.21N/AN/A01336531
2023-10-30$56.58$57.007.0%2.0%6.6%5.0%0.0%0.5%0.5%-231.5K776.5K-6.5K0.47113.52N/AN/A4019336531
2023-10-31$56.56$57.007.2%2.1%6.3%5.4%0.0%-0.1%0.1%-213.2K710.2K-6.5K0.03117.75N/AN/A321374514