VGIT Options History — May 2024

In May 2024, VGIT traded between $57.20 and $58.11. ATM implied volatility averaged 6.0%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.8% (HV 20d: 4.2%). Max pain ranged from $55.00 to $56.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2024-05-03: Highest Volume — 64 contracts
  • 2024-05-15: Largest IV drop — 43.7% change
  • 2024-05-14: Highest IV Rank — 19.3%
  • 2024-05-02: Largest Expected Move — 2.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.72$57.20$58.11$57.20$57.77
Max Pain$55.86$55.00$56.00$55.00$56.00
ATM IV6.0%4.8%9.6%6.0%5.4%
Expected Move1.6%1.4%2.1%1.7%1.5%
HV 20d4.2%3.6%5.9%5.7%3.8%
HV 60d4.8%4.7%5.1%5.0%4.8%
IV Rank5.1%0.4%19.3%4.9%2.6%
IV Percentile25.4%0.4%95.6%20.6%6.7%
Term Structure-0.1%-1.3%1.1%1.1%-0.2%
VWIV6.4%5.8%7.0%5.8%7.0%
Skew 25d-1.2%-11.1%0.3%-0.9%-0.8%
Skew 10d-0.4%-3.4%2.4%-1.6%1.6%
Call IV 25d6.9%4.7%18.4%7.5%5.8%
Put IV 25d5.7%4.0%7.3%6.6%4.9%
Bid-Ask Spread %141.66130.67151.36142.22148.60
Gamma HHI0.240.210.350.210.27
Net GEX66.1K15.2K135.2K49.9K59.2K
Net DEX-209.6K-385.5K-51.9K-124.8K-133.6K
Net VEX-1.9K-2.1K-1.5K-1.9K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.002.370.000.00
Total Volume11.364064050
Total OI424.227364469392460

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$57.20$55.006.0%1.7%5.7%4.9%0.0%-0.9%1.1%49.9K-124.8K-1.9K0.00142.22N/AN/A00265127
2024-05-02$57.41$55.007.3%2.1%5.8%10.0%0.0%-11.1%-1.3%52.6K-154.7K-2.0K0.00150.62N/AN/A50265127
2024-05-03$57.64$55.005.2%1.5%5.9%1.8%0.0%-1.1%-0.4%62.1K-221.0K-2.0K2.37144.39N/AN/A1945265127
2024-05-06$57.67$56.006.5%1.7%5.8%6.9%0.0%-0.6%-0.1%63.1K-236.5K-2.1K0.00132.13N/AN/A50277172
2024-05-07$57.73$56.006.3%1.7%5.7%6.3%0.0%-0.3%-0.2%67.5K-252.8K-2.1K0.00131.33N/AN/A80277172
2024-05-08$57.66$56.005.7%1.7%4.2%3.7%0.0%-0.4%-0.2%68.0K-251.4K-2.1K0.00133.76N/AN/A00285172
2024-05-09$57.78$56.006.9%1.6%4.2%8.5%0.0%-0.3%-0.0%73.7K-273.4K-2.1K0.00131.37N/AN/A10285172
2024-05-10$57.64$56.006.6%1.7%4.2%7.5%5.8%-0.6%-0.1%66.2K-228.7K-2.1K0.00133.79N/AN/A50284172
2024-05-13$57.70$56.008.9%1.8%3.8%16.4%7.0%-0.5%-0.5%73.5K-254.3K-2.1K0.00130.67N/AN/A10289172
2024-05-14$57.83$56.009.6%1.8%3.7%19.3%0.0%-0.3%-0.2%81.3K-289.1K-2.1K0.00132.29N/AN/A10290172
2024-05-15$58.11$56.005.4%1.6%3.7%2.8%0.0%-0.7%0.0%111.4K-385.5K-2.0K0.00135.34N/AN/A80291172
2024-05-16$58.03$56.005.5%1.6%3.6%2.9%0.0%-1.3%0.2%135.2K-364.8K-1.9K0.00138.60N/AN/A00297172
2024-05-17$57.92$56.005.0%1.4%3.7%1.1%0.0%-1.2%0.2%89.8K-317.5K-2.0K0.00147.21N/AN/A00297172
2024-05-20$57.86$56.005.1%1.5%3.7%1.4%0.0%-0.3%0.2%59.4K-182.6K-1.9K1.00148.62N/AN/A22211154
2024-05-21$57.95$56.005.0%1.4%3.7%0.9%0.0%0.2%0.1%70.7K-211.0K-1.8K0.00149.40N/AN/A20209155
2024-05-22$57.89$56.004.9%1.4%3.7%0.5%0.0%-0.1%0.1%69.8K-190.8K-1.7K0.00150.87N/AN/A00211155
2024-05-23$57.75$56.005.4%1.5%3.6%2.6%0.0%-5.2%-0.3%51.1K-144.9K-1.7K0.00146.41N/AN/A00211155
2024-05-24$57.78$56.004.8%1.4%3.6%0.4%0.0%-1.1%0.3%63.2K-149.0K-1.6K0.02151.36N/AN/A591211155
2024-05-28$57.59$56.005.7%1.6%3.8%3.7%0.0%0.3%-0.6%37.2K-102.0K-1.6K0.00142.67N/AN/A00270156
2024-05-29$57.42$56.005.6%1.6%3.8%3.3%0.0%-0.5%-0.3%15.2K-51.9K-1.6K0.00148.23N/AN/A00270156
2024-05-30$57.59$56.005.9%1.7%3.9%4.5%0.0%0.2%-0.9%33.1K-91.4K-1.5K0.00146.74N/AN/A360270156
2024-05-31$57.77$56.005.4%1.5%3.8%2.6%0.0%-0.8%-0.2%59.2K-133.6K-1.5K0.00148.60N/AN/A500304156