VGIT Options History — August 2024

In August 2024, VGIT traded between $59.45 and $60.20. ATM implied volatility averaged 7.6%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 1.9% (HV 20d: 5.6%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2024-08-26: Highest Volume — 67 contracts
  • 2024-08-30: Largest IV spike — 117.9% change
  • 2024-08-30: Highest IV Rank — 40.3%
  • 2024-08-30: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.92$59.45$60.20$59.45$59.95
Max Pain$59.23$59.00$60.00$59.00$60.00
ATM IV7.6%6.1%14.8%6.8%14.8%
Expected Move2.0%1.7%4.3%2.0%4.3%
HV 20d5.6%3.3%6.2%3.3%4.4%
HV 60d5.1%4.4%5.2%4.4%5.1%
IV Rank11.9%6.0%40.3%9.0%40.3%
IV Percentile70.1%36.9%99.2%74.6%99.2%
Term Structure-0.6%-5.8%0.1%-0.9%-5.8%
VWIV7.2%5.3%12.4%6.4%12.4%
Skew 25d-0.3%-1.9%10.9%0.5%10.9%
Skew 10d-0.5%-3.7%1.3%0.5%0.2%
Call IV 25d7.3%6.0%8.5%6.8%8.4%
Put IV 25d6.9%5.6%19.4%7.3%19.4%
Bid-Ask Spread %134.76121.64173.84139.80173.84
Gamma HHI0.280.200.370.250.20
Net GEX148.0K108.6K237.3K116.3K120.8K
Net DEX-762.6K-1.1M-506.9K-506.9K-1.0M
Net VEX-3.1K-5.1K-2.2K-2.3K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.003.330.000.11
Total Volume18.273067920
Total OI614.727517676573632

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$59.45$59.006.8%2.0%3.3%9.0%6.4%0.5%-0.9%116.3K-506.9K-2.3K0.00139.80N/AN/A90344229
2024-08-02$60.16$59.007.1%2.0%4.9%9.9%8.2%-1.6%-0.6%108.6K-713.0K-2.2K0.29132.48N/AN/A216352229
2024-08-05$60.20$59.008.4%2.0%4.9%15.2%7.8%-1.1%-0.3%109.7K-777.2K-2.3K0.00121.64N/AN/A170368234
2024-08-06$59.80$59.008.0%1.9%5.6%13.5%0.0%-1.3%-0.4%130.5K-704.8K-2.6K0.00126.30N/AN/A00382234
2024-08-07$59.66$59.008.3%1.9%5.8%14.9%6.8%-1.3%-0.3%132.4K-643.0K-2.6K0.00125.11N/AN/A01382234
2024-08-08$59.53$59.008.9%2.0%5.7%17.3%7.5%-1.6%-0.4%135.1K-586.0K-2.6K0.00136.35N/AN/A120382235
2024-08-09$59.66$59.007.6%1.9%5.7%12.2%7.2%-1.0%-0.4%147.3K-636.4K-2.6K0.00129.98N/AN/A100389235
2024-08-12$59.80$59.009.5%1.9%5.7%19.4%6.7%-0.8%-0.2%151.9K-714.5K-2.5K0.20129.85N/AN/A51399235
2024-08-13$59.98$59.009.7%1.9%5.7%20.1%0.0%-0.6%-0.4%151.9K-809.2K-2.5K0.00129.94N/AN/A100404236
2024-08-14$60.03$59.006.3%1.8%5.7%6.9%5.3%0.1%-0.3%154.1K-814.1K-2.3K0.50131.46N/AN/A84397236
2024-08-15$59.72$59.006.4%1.8%6.0%7.2%6.2%0.2%-0.0%134.9K-632.7K-2.5K3.33137.24N/AN/A310402239
2024-08-16$59.80$59.006.3%1.8%5.9%7.1%6.7%-0.6%0.1%127.7K-625.3K-2.6K0.21132.48N/AN/A5211405248
2024-08-19$59.86$59.006.3%1.8%5.9%7.0%7.1%-1.0%0.1%110.9K-618.1K-3.0K0.80133.42N/AN/A54344173
2024-08-20$60.03$59.006.3%1.8%5.9%6.8%6.3%0.3%-0.0%115.6K-672.9K-3.0K0.14125.37N/AN/A71348177
2024-08-21$60.16$59.006.6%1.9%5.9%8.2%6.8%-1.1%-0.3%146.5K-809.4K-3.8K0.00132.52N/AN/A90430178
2024-08-22$59.95$59.006.3%1.8%6.2%6.9%6.4%0.5%0.0%140.6K-715.3K-3.8K0.00130.59N/AN/A290436178
2024-08-23$60.17$59.006.1%1.7%6.2%6.0%7.4%-0.9%-0.2%157.3K-807.5K-3.8K0.00142.85N/AN/A360436179
2024-08-26$60.13$60.006.5%1.9%6.2%7.6%6.7%-1.6%-0.2%187.1K-893.0K-4.0K0.06144.52N/AN/A634464179
2024-08-27$60.13$60.006.7%1.9%6.2%8.4%0.0%-1.8%-0.4%205.6K-1.0M-4.1K0.00136.46N/AN/A044495181
2024-08-28$60.11$60.006.8%2.0%6.1%9.0%0.0%-1.4%-0.7%234.3K-1.1M-3.7K0.00138.75N/AN/A00495137
2024-08-29$60.05$60.006.8%2.0%6.1%8.9%0.0%-1.9%-0.6%237.3K-1.0M-3.7K0.00133.68N/AN/A00495137
2024-08-30$59.95$60.0014.8%4.3%4.4%40.3%12.4%10.9%-5.8%120.8K-1.0M-5.1K0.11173.84N/AN/A182495137