VGIT Options History — September 2024 In September 2024, VGIT traded between $60.00 and $60.80. ATM implied volatility averaged 6.3%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 3.0% (HV 20d: 3.3%). Max pain ranged from $58.00 to $60.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 42.14.
Notable Days 2024-09-06 : Highest Volume — 611 contracts2024-09-11 : Largest IV drop — 20.4% change2024-09-03 : Highest IV Rank — 11.9%2024-09-03 : Largest Expected Move — 2.2%Monthly Statistics Metric Avg Min Max Open Close Price $60.53 $60.00 $60.80 $60.00 $60.39 Max Pain $58.25 $58.00 $60.00 $60.00 $59.00 ATM IV 6.3% 5.2% 7.6% 7.6% 6.2% Expected Move 1.8% 1.5% 2.2% 2.2% 1.8% HV 20d 3.3% 2.6% 4.4% 4.4% 3.1% HV 60d 4.7% 4.3% 5.1% 5.1% 4.3% IV Rank 7.0% 2.7% 11.9% 11.9% 6.6% IV Percentile 44.3% 5.6% 88.9% 88.9% 38.5% Term Structure 0.1% -0.9% 0.6% -0.9% 0.1% VWIV 6.2% 5.4% 7.5% 7.5% 6.3% Skew 25d -0.2% -1.5% 7.2% -1.5% -0.8% Skew 10d 0.4% -1.6% 14.9% -1.0% -0.9% Call IV 25d 6.6% 5.5% 8.5% 8.5% 7.2% Put IV 25d 6.4% 5.3% 14.2% 7.0% 6.4% Bid-Ask Spread % 130.70 123.49 138.54 133.73 134.03 Gamma HHI 0.52 0.30 0.89 0.30 0.38 Net GEX -291.0K -2.0M 384.3K 239.0K 355.9K Net DEX -98.9K -1.4M 1.6M -1.1M -1.2M Net VEX -4.2K -6.2K -3.1K -3.6K -3.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 42.14 0.00 393.00 0.17 1.43 Total Volume 116.3 0 611 7 119 Total OI 1,020.7 630 1,480 630 766
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-09-03 $60.00 $60.00 7.6% 2.2% 4.4% 11.9% 7.5% -1.5% -0.9% 239.0K -1.1M -3.6K 0.17 133.73 N/A N/A 6 1 493 137 2024-09-04 $60.27 $60.00 7.2% 2.1% 4.0% 10.3% 0.0% -0.5% -0.6% 249.1K -1.2M -3.6K 0.00 130.19 N/A N/A 0 1 499 138 2024-09-05 $60.36 $58.00 7.5% 1.8% 3.9% 11.6% 0.0% -1.5% 0.2% 249.8K -1.3M -3.6K 0.00 123.49 N/A N/A 0 0 499 139 2024-09-06 $60.47 $58.00 7.1% 1.8% 3.8% 10.1% 6.0% -1.2% 0.1% 258.9K -1.3M -3.5K 75.38 125.93 N/A N/A 8 603 499 139 2024-09-09 $60.52 $58.00 7.4% 1.8% 3.7% 11.4% 0.0% -1.3% 0.1% -759.5K 1.1M -5.6K 2.78 127.28 N/A N/A 9 25 496 741 2024-09-10 $60.70 $58.00 7.3% 1.8% 3.8% 10.7% 6.4% -1.3% 0.1% -953.1K 935.9K -5.5K 36.50 126.07 N/A N/A 6 219 490 766 2024-09-11 $60.66 $58.00 5.8% 1.7% 3.7% 4.9% 0.0% -0.6% 0.3% -2.0M 1.6M -6.2K 393.00 127.44 N/A N/A 1 393 496 984 2024-09-12 $60.59 $58.00 5.8% 1.7% 3.7% 4.8% 5.7% -1.0% 0.4% -280.9K 1.0M -5.5K 1.00 132.00 N/A N/A 1 1 496 821 2024-09-13 $60.72 $58.00 5.8% 1.7% 3.1% 5.1% 5.9% -0.4% 0.2% -1.5M 1.1M -5.2K 0.00 131.94 N/A N/A 28 0 496 822 2024-09-16 $60.80 $58.00 6.2% 1.8% 3.1% 6.5% 6.2% -0.8% -0.1% -1.7M 933.2K -4.7K 3.57 127.96 N/A N/A 14 50 517 822 2024-09-17 $60.73 $58.00 6.0% 1.7% 3.2% 5.9% 6.0% 7.2% 0.2% -956.6K 1.3M -4.7K 201.50 133.06 N/A N/A 2 403 531 872 2024-09-18 $60.61 $58.00 5.7% 1.6% 3.2% 4.8% 6.4% 0.6% 0.5% -206.3K 1.1M -4.4K 0.83 131.15 N/A N/A 60 50 532 860 2024-09-19 $60.55 $58.00 5.6% 1.6% 3.2% 4.2% 5.4% -0.2% 0.5% -174.8K 797.4K -4.1K 0.02 134.63 N/A N/A 129 3 584 810 2024-09-20 $60.59 $58.00 5.6% 1.6% 2.9% 4.1% 0.0% -0.2% 0.3% -236.4K 860.9K -3.2K 0.15 132.81 N/A N/A 40 6 568 801 2024-09-23 $60.55 $58.00 6.2% 1.8% 2.7% 6.4% 6.2% -0.1% -0.2% 285.9K -1.3M -3.3K 0.00 132.66 N/A N/A 29 0 536 143 2024-09-24 $60.61 $58.00 5.9% 1.7% 2.6% 5.3% 5.9% 0.0% 0.2% 269.0K -1.3M -3.1K 0.00 127.26 N/A N/A 100 0 522 143 2024-09-25 $60.47 $58.00 5.2% 1.5% 2.8% 2.7% 6.4% -0.9% 0.6% 375.3K -1.3M -3.5K 0.00 131.71 N/A N/A 12 0 601 143 2024-09-26 $60.39 $58.00 5.8% 1.7% 2.9% 4.8% 0.0% -0.4% -0.2% 373.3K -1.3M -3.5K 0.00 138.54 N/A N/A 0 0 613 143 2024-09-27 $60.56 $58.00 6.4% 1.8% 3.0% 7.2% 6.1% 0.8% -0.2% 384.3K -1.4M -3.6K 0.00 132.16 N/A N/A 7 0 613 143 2024-09-30 $60.39 $59.00 6.2% 1.8% 3.1% 6.6% 6.3% -0.8% 0.1% 355.9K -1.2M -3.4K 1.43 134.03 N/A N/A 49 70 613 153
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