VGIT Options History — November 2023

In November 2023, VGIT traded between $56.80 and $58.30. ATM implied volatility averaged 6.9%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 0.3% (HV 20d: 6.6%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.11.

Notable Days

  • 2023-11-30: Highest Volume — 163 contracts
  • 2023-11-08: Largest IV drop — 11.0% change
  • 2023-11-29: Highest IV Rank — 6.3%
  • 2023-11-29: Largest Expected Move — 2.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.49$56.80$58.30$56.80$58.05
Max Pain$56.05$56.00$57.00$57.00$56.00
ATM IV6.9%6.3%7.6%6.3%7.4%
Expected Move2.0%1.8%2.2%1.8%2.1%
HV 20d6.6%6.1%7.0%6.3%7.0%
HV 60d5.9%5.4%6.2%5.4%6.1%
IV Rank4.6%3.5%6.3%3.5%5.9%
IV Percentile36.0%20.6%56.0%20.6%51.2%
Term Structure0.1%-0.5%0.7%0.3%-0.4%
VWIV7.8%6.3%9.8%6.3%6.5%
Skew 25d-1.4%-10.6%0.7%-0.6%-3.5%
Skew 10d-1.8%-3.0%0.9%-0.5%0.9%
Call IV 25d8.5%6.6%17.4%6.6%9.6%
Put IV 25d7.1%5.9%8.7%5.9%6.1%
Bid-Ask Spread %111.7889.87130.91124.31103.92
Gamma HHI0.300.200.440.440.22
Net GEX-1.6K-123.2K102.3K-123.2K93.1K
Net DEX-336.6K-848.3K267.7K267.7K-724.8K
Net VEX-5.7K-7.1K-3.6K-6.9K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.110.0019.500.061.01
Total Volume28.048016338163
Total OI1,022.199221,133949995

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$56.80$57.006.3%1.8%6.3%3.5%6.3%-0.6%0.3%-123.2K267.7K-6.9K0.06124.31N/AN/A362434515
2023-11-02$56.97$56.006.6%1.9%6.3%4.1%7.4%-0.5%0.4%-79.8K56.4K-7.1K0.07121.39N/AN/A574470515
2023-11-03$57.34$56.006.3%1.9%6.5%3.5%8.5%0.7%0.7%576-372.4K-6.6K0.04111.88N/AN/A261495516
2023-11-06$57.09$56.006.7%1.9%6.1%4.3%6.8%-0.6%0.6%-49.7K-133.6K-7.1K11.5089.87N/AN/A223515515
2023-11-07$57.28$56.007.4%1.9%6.2%5.7%7.2%-0.9%0.4%-15.8K-309.3K-6.7K0.00121.03N/AN/A011517531
2023-11-08$57.38$56.006.6%1.9%6.2%3.9%0.0%-1.9%0.4%-4.2K-360.5K-6.6K0.00126.08N/AN/A00517542
2023-11-09$57.00$56.006.5%1.9%6.4%3.9%9.6%-0.2%0.4%-69.9K-24.6K-7.1K0.02124.95N/AN/A611517542
2023-11-10$57.03$56.006.5%1.9%6.3%3.9%9.8%0.2%0.4%-86.2K-20.5K-6.8K0.38107.20N/AN/A218578542
2023-11-13$57.03$56.006.8%2.0%6.1%4.5%0.0%-0.4%0.3%-75.4K-33.0K-6.7K0.00116.54N/AN/A00599534
2023-11-14$57.67$56.006.9%2.0%6.7%4.6%0.0%-1.2%0.2%62.1K-578.4K-6.0K0.00105.97N/AN/A910600529
2023-11-15$57.36$56.006.8%1.9%7.0%4.5%0.0%-1.5%0.3%-19.0K-255.8K-5.6K0.00107.02N/AN/A00570529
2023-11-16$57.66$56.006.9%2.0%7.0%4.6%0.0%-0.9%0.2%27.2K-429.9K-5.6K1.00104.09N/AN/A11570529
2023-11-17$57.63$56.006.9%2.0%7.0%4.8%0.0%-1.6%0.2%20.8K-406.7K-5.5K0.00103.73N/AN/A05569530
2023-11-20$57.69$56.006.8%1.9%7.0%4.4%9.2%-1.5%0.4%21.4K-445.8K-4.8K7.00102.37N/AN/A214425497
2023-11-21$57.75$56.006.8%1.9%7.0%4.5%0.0%-0.7%-0.0%28.5K-483.5K-4.8K0.00100.64N/AN/A00427511
2023-11-22$57.72$56.006.9%2.0%6.7%4.6%0.0%-1.4%-0.1%22.0K-467.4K-4.6K0.00100.42N/AN/A02427511
2023-11-24$57.55$56.007.1%2.0%6.6%5.2%7.0%-0.2%-0.2%-424-309.3K-5.0K0.00107.78N/AN/A30427513
2023-11-27$57.81$56.007.1%2.0%6.8%5.1%0.0%-0.4%-0.4%41.2K-506.7K-4.3K19.50127.59N/AN/A239430513
2023-11-28$58.09$56.007.5%2.1%6.8%5.9%6.5%-10.6%-0.5%71.3K-682.1K-4.0K3.00130.91N/AN/A13432552
2023-11-29$58.30$56.007.6%2.2%6.8%6.3%0.0%-2.2%-0.5%102.3K-848.3K-3.6K0.00109.71N/AN/A90433553
2023-11-30$58.05$56.007.4%2.1%7.0%5.9%0.0%-3.5%-0.4%93.1K-724.8K-3.8K1.01103.92N/AN/A8182442553