VGIT Options History — January 2024

In January 2024, VGIT traded between $58.77 and $59.41. ATM implied volatility averaged 6.5%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.5% (HV 20d: 5.0%). Max pain ranged from $56.00 to $59.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 4.15.

Notable Days

  • 2024-01-05: Highest Volume — 72 contracts
  • 2024-01-29: Largest IV spike — 9.0% change
  • 2024-01-03: Highest IV Rank — 10.5%
  • 2024-01-05: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.03$58.77$59.41$59.14$59.36
Max Pain$57.38$56.00$59.00$57.00$59.00
ATM IV6.5%6.0%7.0%6.9%6.6%
Expected Move1.9%1.7%2.3%2.0%1.9%
HV 20d5.0%4.0%6.3%6.3%4.5%
HV 60d6.1%5.9%6.5%6.5%6.0%
IV Rank7.8%5.6%10.5%9.9%8.2%
IV Percentile27.9%13.1%47.2%42.1%33.3%
Term Structure-0.2%-0.6%0.6%0.6%-0.0%
VWIV9.5%6.0%31.3%31.3%8.0%
Skew 25d-0.1%-2.0%1.5%-2.0%-1.1%
Skew 10d-0.2%-3.2%8.2%-0.8%-1.1%
Call IV 25d6.9%4.9%8.5%8.5%7.9%
Put IV 25d6.8%5.0%7.6%6.6%6.8%
Bid-Ask Spread %122.72108.64134.53113.65134.53
Gamma HHI0.350.190.610.270.32
Net GEX143.5K94.0K235.0K134.8K148.9K
Net DEX-769.5K-1.1M-349.1K-998.3K-607.7K
Net VEX-1.7K-2.0K-1.4K-1.8K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.0071.000.000.00
Total Volume1207213
Total OI837.7623641,1431,046450

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$59.14$57.006.9%2.0%6.3%9.9%31.3%-2.0%0.6%134.8K-998.3K-1.8K0.00113.65N/AN/A10411635
2024-01-03$59.23$57.007.0%2.0%6.0%10.5%7.5%-1.0%0.2%141.4K-1.0M-1.8K0.17110.36N/AN/A122411635
2024-01-04$59.02$56.006.5%2.0%6.1%8.2%0.0%-0.3%-0.0%131.4K-948.6K-1.7K0.00125.17N/AN/A10415635
2024-01-05$58.89$56.006.4%2.3%6.1%7.4%7.7%-0.7%-0.3%128.4K-897.1K-1.7K71.00125.50N/AN/A171416635
2024-01-08$59.02$56.006.4%1.9%6.2%7.5%0.0%-0.4%0.0%151.5K-961.2K-1.6K0.00125.25N/AN/A100416687
2024-01-09$59.03$56.006.2%1.9%5.7%6.8%0.0%0.5%-0.1%153.7K-972.8K-1.6K0.00125.90N/AN/A00426687
2024-01-10$58.98$56.006.6%1.9%5.7%8.4%0.0%-0.2%-0.1%156.1K-962.4K-1.6K0.00126.66N/AN/A30426687
2024-01-11$59.25$56.006.8%2.0%5.9%9.5%0.0%0.5%-0.6%164.7K-1.0M-1.6K0.00125.02N/AN/A00425687
2024-01-12$59.41$56.006.5%1.9%4.5%8.2%8.2%-1.5%-0.2%171.7K-1.1M-1.6K0.00127.67N/AN/A100425687
2024-01-16$59.13$56.006.6%1.9%4.3%8.5%0.0%0.1%-0.2%180.4K-983.6K-1.4K0.00125.68N/AN/A100435687
2024-01-17$58.91$58.006.6%1.9%4.5%8.6%0.0%-0.5%-0.1%182.4K-931.7K-1.5K0.00129.00N/AN/A120445688
2024-01-18$58.84$58.006.4%1.8%4.5%7.4%0.0%-0.5%-0.3%235.0K-848.8K-1.5K0.00130.32N/AN/A10454688
2024-01-19$58.80$58.006.4%1.8%4.5%7.8%0.0%-0.2%-0.4%94.0K-785.2K-1.5K0.50132.64N/AN/A189455688
2024-01-22$58.95$58.006.1%1.7%4.3%6.1%7.0%0.6%-0.3%95.1K-349.1K-1.6K0.04111.68N/AN/A271187177
2024-01-23$58.88$58.006.0%1.7%4.3%5.6%6.0%1.5%-0.1%112.3K-385.7K-1.8K0.33117.10N/AN/A31213178
2024-01-24$58.77$58.006.0%1.7%4.3%5.6%6.0%0.9%0.1%103.8K-358.3K-1.7K0.10108.64N/AN/A212214179
2024-01-25$58.95$59.006.5%1.9%4.4%8.0%6.5%0.1%-0.3%118.9K-475.9K-2.0K0.40115.77N/AN/A52234181
2024-01-26$58.89$59.006.1%1.7%4.0%6.2%0.0%-0.4%-0.3%128.7K-466.3K-1.9K0.00114.59N/AN/A20239183
2024-01-29$59.09$59.006.7%1.9%4.2%8.7%6.7%1.2%-0.5%136.8K-516.2K-1.9K6.33118.77N/AN/A319241183
2024-01-30$59.06$59.006.4%1.8%4.2%7.5%0.0%1.2%-0.3%144.5K-522.6K-1.9K0.00133.30N/AN/A20246202
2024-01-31$59.36$59.006.6%1.9%4.5%8.2%8.0%-1.1%-0.0%148.9K-607.7K-2.0K0.00134.53N/AN/A30248202