VGIT Options History — June 2024

In June 2024, VGIT traded between $57.77 and $58.53. ATM implied volatility averaged 5.8%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.1% (HV 20d: 4.6%). Max pain ranged from $56.00 to $58.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2024-06-26: Highest Volume — 96 contracts
  • 2024-06-12: Largest IV drop — 22.3% change
  • 2024-06-11: Highest IV Rank — 8.0%
  • 2024-06-05: Largest Expected Move — 1.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.25$57.77$58.53$57.86$58.25
Max Pain$57.63$56.00$58.00$56.00$58.00
ATM IV5.8%5.2%6.7%5.4%5.3%
Expected Move1.6%1.5%1.8%1.6%1.5%
HV 20d4.6%3.6%5.1%3.6%4.8%
HV 60d5.0%4.8%5.1%4.8%4.9%
IV Rank4.2%2.0%8.0%2.8%2.5%
IV Percentile21.5%3.2%65.5%9.1%6.7%
Term Structure-0.0%-0.4%0.4%-0.1%0.4%
VWIV7.7%5.5%20.5%5.8%7.0%
Skew 25d-0.3%-1.4%0.4%0.0%-0.9%
Skew 10d0.0%-1.5%1.3%0.0%-0.8%
Call IV 25d6.1%5.1%7.7%5.8%6.6%
Put IV 25d5.8%5.1%6.7%5.8%5.7%
Bid-Ask Spread %135.89130.19154.55154.55137.26
Gamma HHI0.250.220.320.240.27
Net GEX118.6K77.8K171.6K92.8K77.8K
Net DEX-360.0K-518.8K-201.8K-227.4K-201.8K
Net VEX-1.9K-2.2K-1.7K-1.7K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.009.500.009.50
Total Volume16.526096784
Total OI532.895467585496585

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$57.86$56.005.4%1.6%3.6%2.8%0.0%0.0%-0.1%92.8K-227.4K-1.7K0.00154.55N/AN/A70340156
2024-06-04$58.09$56.005.8%1.7%3.9%4.4%5.8%-1.4%0.0%103.8K-309.8K-1.9K0.00153.75N/AN/A180347156
2024-06-05$58.22$56.006.2%1.8%3.9%6.0%0.0%-0.9%-0.3%125.2K-387.6K-2.0K0.00142.48N/AN/A100365156
2024-06-06$58.25$58.006.5%1.7%3.9%7.0%5.7%-0.4%-0.4%131.8K-405.8K-2.0K0.00132.63N/AN/A01375156
2024-06-07$57.83$58.005.6%1.5%4.7%3.5%6.2%-0.1%0.3%108.7K-250.3K-1.9K0.00130.67N/AN/A40375157
2024-06-10$57.77$58.006.2%1.6%4.6%5.8%0.0%-0.4%0.1%100.3K-217.0K-1.8K0.00130.51N/AN/A120373157
2024-06-11$57.95$58.006.7%1.7%4.7%8.0%6.0%0.4%-0.3%121.6K-299.4K-1.9K0.00130.19N/AN/A110381157
2024-06-12$58.20$57.005.2%1.5%4.9%2.0%20.5%-0.5%0.1%171.6K-450.7K-1.9K0.00131.94N/AN/A60392157
2024-06-13$58.45$58.005.2%1.5%4.8%2.0%0.0%0.3%0.3%132.6K-476.5K-2.1K0.00133.29N/AN/A00393157
2024-06-14$58.53$58.005.9%1.7%4.8%4.6%5.5%-0.0%-0.0%145.0K-518.8K-2.0K0.00134.40N/AN/A06393157
2024-06-17$58.33$58.005.5%1.6%4.9%3.1%0.0%-0.5%-0.0%139.2K-441.4K-1.9K0.00132.21N/AN/A00393162
2024-06-18$58.52$58.005.8%1.7%5.0%4.1%5.9%0.3%0.1%124.8K-460.0K-1.9K0.00132.97N/AN/A60393162
2024-06-20$58.42$58.005.7%1.6%5.1%3.8%0.0%-0.1%0.0%125.0K-456.5K-2.0K1.00132.78N/AN/A11398162
2024-06-21$58.45$58.005.5%1.6%5.0%3.1%0.0%-0.4%0.4%131.4K-457.1K-1.9K0.53134.84N/AN/A1910399163
2024-06-24$58.45$58.005.8%1.7%4.9%4.3%0.0%-0.1%-0.1%114.9K-361.4K-1.8K0.00131.21N/AN/A00349118
2024-06-25$58.50$58.006.1%1.7%4.9%5.4%6.5%0.1%-0.4%115.6K-371.1K-1.7K0.00134.47N/AN/A220349118
2024-06-26$58.27$58.005.5%1.6%5.0%3.1%0.0%-0.7%0.0%109.1K-309.7K-1.7K0.88135.79N/AN/A5145371118
2024-06-27$58.36$58.005.6%1.6%4.8%3.5%0.0%-0.5%0.0%83.1K-238.3K-2.2K0.00136.05N/AN/A00422163
2024-06-28$58.25$58.005.3%1.5%4.8%2.5%7.0%-0.9%0.4%77.8K-201.8K-2.1K9.50137.26N/AN/A876422163