VGIT Options History — December 2023

In December 2023, VGIT traded between $58.14 and $59.50. ATM implied volatility averaged 8.9%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.2% (HV 20d: 6.7%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2023-12-11: Highest Volume — 773 contracts
2023-12-13: Largest IV spike — 72.9% change
2023-12-13: Highest IV Rank — 30.3%
2023-12-13: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.89	$58.14	$59.50	$58.36	$59.34
Max Pain	$56.95	$56.00	$57.00	$56.00	$57.00
ATM IV	8.9%	5.3%	18.7%	8.3%	7.0%
Expected Move	2.3%	1.5%	5.4%	2.4%	2.0%
HV 20d	6.7%	6.3%	7.2%	7.2%	6.3%
HV 60d	6.6%	6.2%	6.9%	6.2%	6.5%
IV Rank	11.4%	2.6%	30.3%	7.8%	10.1%
IV Percentile	61.4%	0.8%	98.4%	67.5%	43.7%
Term Structure	0.4%	-3.3%	8.0%	-0.5%	0.4%
VWIV	10.3%	3.5%	25.7%	8.8%	25.7%
Skew 25d	0.5%	-2.3%	28.5%	-2.3%	0.1%
Skew 10d	-1.6%	-7.0%	23.9%	-7.0%	1.0%
Call IV 25d	8.6%	6.6%	12.7%	10.1%	6.6%
Put IV 25d	9.1%	6.0%	41.2%	7.8%	6.7%
Bid-Ask Spread %	117.72	97.63	143.82	97.63	111.37
Gamma HHI	0.20	0.16	0.28	0.17	0.24
Net GEX	149.3K	58.7K	408.1K	106.7K	141.3K
Net DEX	-1.1M	-2.1M	-838.6K	-932.5K	-1.1M
Net VEX	-3.3K	-7.1K	-2.0K	-4.0K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.00	14.00	0.07	0.08
Total Volume	50.3	0	773	16	14
Total OI	1,181.35	1,016	1,514	1,158	1,044

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
2023-12-01	$58.36	$56.00	8.3%	2.4%	7.2%	7.8%	0.0%	-2.3%	-0.5%	106.7K	-932.5K	-4.0K	0.07	97.63	N/A	N/A	15	1	523	635
2023-12-04	$58.14	$57.00	8.8%	2.2%	7.1%	8.9%	0.0%	-0.9%	0.1%	93.3K	-838.6K	-3.8K	0.00	116.65	N/A	N/A	15	0	523	636
2023-12-05	$58.41	$57.00	9.4%	2.2%	6.9%	10.2%	8.8%	-0.7%	0.0%	108.4K	-981.3K	-3.9K	0.00	112.75	N/A	N/A	11	0	527	636
2023-12-06	$58.53	$57.00	10.9%	2.4%	6.9%	13.4%	8.5%	-1.5%	-0.2%	125.4K	-1.1M	-3.8K	1.15	114.85	N/A	N/A	13	15	538	636
2023-12-07	$58.55	$57.00	10.8%	2.4%	6.9%	13.1%	8.5%	-1.0%	-0.5%	119.7K	-1.0M	-3.9K	0.00	111.82	N/A	N/A	14	0	551	651
2023-12-08	$58.20	$57.00	8.7%	2.1%	6.8%	8.6%	9.1%	-1.1%	0.5%	124.9K	-907.3K	-3.7K	0.00	119.34	N/A	N/A	5	0	559	651
2023-12-11	$58.20	$57.00	11.0%	2.2%	6.8%	13.5%	0.0%	-0.9%	0.1%	111.0K	-862.8K	-3.9K	0.00	118.09	N/A	N/A	773	0	554	651
2023-12-12	$58.28	$57.00	10.8%	2.1%	6.8%	13.2%	7.2%	-1.1%	0.3%	204.1K	-1.0M	-3.3K	0.33	118.29	N/A	N/A	6	2	857	651
2023-12-13	$58.94	$57.00	18.7%	5.4%	6.8%	30.3%	22.0%	28.5%	8.0%	58.7K	-1.6M	-7.1K	0.03	142.74	N/A	N/A	31	1	863	651
2023-12-14	$59.28	$57.00	12.2%	3.5%	6.6%	16.2%	15.7%	3.2%	-3.3%	320.8K	-1.7M	-6.3K	0.00	143.82	N/A	N/A	12	0	848	650
2023-12-15	$59.22	$57.00	7.5%	2.2%	6.5%	12.5%	6.9%	-1.7%	0.1%	408.1K	-2.1M	-2.8K	0.06	123.92	N/A	N/A	36	2	852	650
2023-12-18	$59.13	$57.00	5.3%	1.5%	6.5%	2.6%	3.5%	-1.8%	0.3%	118.6K	-952.5K	-2.5K	14.00	129.82	N/A	N/A	1	14	398	618
2023-12-19	$59.17	$57.00	6.8%	1.9%	6.5%	9.1%	7.1%	-0.8%	0.2%	118.1K	-961.9K	-2.5K	0.40	113.62	N/A	N/A	5	2	399	632
2023-12-20	$59.42	$57.00	6.9%	2.0%	6.6%	9.9%	0.0%	-2.3%	0.4%	132.2K	-1.1M	-2.4K	0.00	115.39	N/A	N/A	2	0	404	632
2023-12-21	$59.38	$57.00	7.1%	2.0%	6.6%	10.9%	7.2%	-1.9%	-0.0%	127.8K	-1.0M	-2.4K	0.00	111.35	N/A	N/A	12	0	406	632
2023-12-22	$59.22	$57.00	6.5%	1.8%	6.6%	7.8%	6.5%	-1.9%	0.7%	133.6K	-1.1M	-2.2K	0.00	112.34	N/A	N/A	2	0	409	632
2023-12-26	$59.22	$57.00	6.8%	2.0%	6.5%	9.5%	0.0%	-0.4%	0.3%	138.8K	-1.1M	-2.1K	0.00	116.78	N/A	N/A	0	0	410	632
2023-12-27	$59.50	$57.00	7.2%	2.1%	6.5%	11.1%	7.2%	-0.9%	0.4%	151.1K	-1.2M	-2.1K	0.00	111.92	N/A	N/A	0	2	410	632
2023-12-28	$59.39	$57.00	6.9%	2.0%	6.5%	9.8%	0.0%	-1.1%	0.7%	143.2K	-1.1M	-2.1K	0.00	111.97	N/A	N/A	0	0	410	634
2023-12-29	$59.34	$57.00	7.0%	2.0%	6.3%	10.1%	25.7%	0.1%	0.4%	141.3K	-1.1M	-2.0K	0.08	111.37	N/A	N/A	13	1	410	634