VGIT Options History — July 2024

In July 2024, VGIT traded between $57.78 and $59.34. ATM implied volatility averaged 5.7%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 0.7% (HV 20d: 5.0%). Max pain ranged from $56.00 to $59.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 3.53.

Notable Days

  • 2024-07-11: Highest Volume — 95 contracts
  • 2024-07-11: Largest IV spike — 87.6% change
  • 2024-07-11: Highest IV Rank — 21.4%
  • 2024-07-11: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.66$57.78$59.34$57.78$59.34
Max Pain$56.82$56.00$59.00$58.00$59.00
ATM IV5.7%4.5%10.0%5.6%5.2%
Expected Move1.7%1.5%2.9%1.6%1.5%
HV 20d5.0%3.3%5.9%5.6%3.4%
HV 60d4.6%4.4%5.2%5.1%4.4%
IV Rank4.3%0.0%21.4%3.5%2.5%
IV Percentile19.4%0.0%96.8%13.9%4.8%
Term Structure-0.1%-0.6%1.0%-0.0%0.8%
VWIV5.8%5.2%6.3%5.5%6.3%
Skew 25d1.0%-1.1%8.8%0.1%4.2%
Skew 10d1.3%-2.0%8.1%0.2%6.6%
Call IV 25d5.3%3.7%7.4%5.6%3.7%
Put IV 25d6.3%4.4%16.2%5.8%7.9%
Bid-Ask Spread %148.57135.28162.27135.28154.96
Gamma HHI0.300.160.490.240.25
Net GEX93.2K18.1K184.7K43.7K99.2K
Net DEX-259.7K-446.3K-39.4K-86.9K-345.7K
Net VEX-2.2K-3.1K-1.8K-2.1K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.530.0046.000.090.00
Total Volume16.091095046
Total OI655524770658617

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$57.78$58.005.6%1.6%5.6%3.5%0.0%0.1%-0.0%43.7K-86.9K-2.1K0.00135.28N/AN/A00419239
2024-07-02$57.94$58.005.5%1.6%5.7%3.3%5.5%0.7%-0.1%66.5K-135.6K-2.1K0.09137.70N/AN/A222419239
2024-07-03$58.16$58.005.9%1.7%5.7%4.6%5.9%1.3%-0.4%79.4K-191.8K-2.1K0.00139.14N/AN/A30413241
2024-07-05$58.44$56.004.5%1.6%5.9%0.0%0.0%0.1%-0.3%110.1K-288.3K-2.1K0.00141.45N/AN/A20414241
2024-07-08$58.44$56.004.8%1.6%5.9%1.1%0.0%-0.2%-0.3%108.2K-291.0K-2.0K0.00143.66N/AN/A00416241
2024-07-09$58.39$56.004.9%1.6%5.2%1.3%0.0%0.1%-0.3%83.5K-268.1K-2.1K0.00144.68N/AN/A02416241
2024-07-10$58.42$56.005.3%1.5%5.2%3.1%0.0%-0.1%-0.3%113.4K-272.4K-1.9K0.00144.28N/AN/A100416243
2024-07-11$58.72$56.0010.0%2.9%5.3%21.4%0.0%8.8%1.0%78.5K-446.3K-3.1K0.00162.27N/AN/A950426243
2024-07-12$58.83$56.005.1%1.5%5.2%2.2%0.0%-0.4%0.1%136.8K-415.3K-2.0K0.20152.19N/AN/A51521243
2024-07-15$58.75$56.005.4%1.6%5.0%3.5%0.0%1.0%-0.1%144.9K-376.7K-2.0K0.10148.55N/AN/A101525244
2024-07-16$58.89$56.005.1%1.5%5.1%2.1%0.0%0.8%0.1%166.8K-439.7K-1.9K0.00143.89N/AN/A10525245
2024-07-17$58.92$56.005.1%1.5%4.9%2.4%0.0%0.1%0.2%184.7K-441.9K-1.9K0.00159.25N/AN/A50524245
2024-07-18$58.81$56.005.2%1.5%4.8%2.6%5.2%-0.5%-0.0%102.8K-393.1K-1.9K0.00150.14N/AN/A30520245
2024-07-19$58.70$56.005.7%1.6%4.9%4.6%0.0%0.6%-0.5%101.5K-351.5K-1.8K15.67148.99N/AN/A347523245
2024-07-22$58.66$56.005.6%1.6%4.9%4.3%5.7%0.4%-0.5%18.1K-39.4K-2.2K0.00147.44N/AN/A290300224
2024-07-23$58.72$56.005.4%1.6%4.9%3.5%5.9%-1.1%-0.1%59.9K-107.9K-2.4K0.00152.19N/AN/A20329224
2024-07-24$58.72$56.006.3%1.8%4.9%6.8%0.0%0.5%-0.6%56.9K-110.3K-2.4K0.00144.98N/AN/A10331224
2024-07-25$58.75$56.006.4%1.8%4.6%7.4%6.3%0.6%-0.5%56.8K-106.3K-2.4K1.00147.67N/AN/A11332224
2024-07-26$58.95$59.005.7%1.6%4.7%4.5%0.0%-0.3%0.0%73.9K-178.6K-2.4K0.50159.04N/AN/A42333225
2024-07-29$59.00$59.006.0%1.7%4.6%5.6%0.0%1.1%-0.3%80.7K-212.5K-2.4K46.00156.07N/AN/A146337227
2024-07-30$59.09$59.005.8%1.7%3.3%5.0%0.0%4.9%-0.1%83.4K-214.5K-2.6K0.00154.74N/AN/A90338273
2024-07-31$59.34$59.005.2%1.5%3.4%2.5%0.0%4.2%0.8%99.2K-345.7K-2.6K0.00154.96N/AN/A046344273