VGIT Options History — October 2024

In October 2024, VGIT traded between $58.80 and $60.39. ATM implied volatility averaged 6.8%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 2.9% (HV 20d: 3.8%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.52.

Notable Days

  • 2024-10-14: Highest Volume — 175 contracts
  • 2024-10-18: Largest IV spike — 26.3% change
  • 2024-10-31: Highest IV Rank — 16.0%
  • 2024-10-31: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.36$58.80$60.39$60.39$58.80
Max Pain$59.26$59.00$60.00$59.00$59.00
ATM IV6.8%5.0%8.6%6.2%8.6%
Expected Move2.0%1.4%2.5%1.8%2.5%
HV 20d3.8%2.8%4.3%3.1%4.0%
HV 60d4.5%3.7%4.8%4.3%3.7%
IV Rank8.7%1.9%16.0%6.7%16.0%
IV Percentile58.6%2.8%92.9%38.9%92.9%
Term Structure-0.7%-1.9%0.2%0.2%-1.9%
VWIV6.7%5.1%8.1%6.9%5.1%
Skew 25d0.2%-2.0%5.7%-0.4%2.1%
Skew 10d-0.1%-1.9%3.0%0.0%1.4%
Call IV 25d6.6%5.1%8.7%7.0%6.8%
Put IV 25d6.8%3.8%12.3%6.5%8.8%
Bid-Ask Spread %112.0590.55142.43133.4099.02
Gamma HHI0.380.230.600.420.38
Net GEX289.6K129.6K463.0K363.2K129.6K
Net DEX-498.8K-1.2M34.4K-1.2M34.4K
Net VEX-4.5K-5.6K-3.5K-4.5K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.004.000.000.00
Total Volume37.913017512
Total OI992.3488421,228857860

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$60.39$59.006.2%1.8%3.1%6.7%6.9%-0.4%0.2%363.2K-1.2M-4.5K0.00133.40N/AN/A10634223
2024-10-02$60.28$59.006.5%1.9%2.8%7.7%6.2%0.9%-0.1%349.2K-1.1M-4.4K0.01134.16N/AN/A1681633223
2024-10-03$60.09$60.005.8%1.8%2.9%5.1%0.0%-0.1%-0.6%401.6K-1.0M-5.6K0.12128.61N/AN/A253789224
2024-10-04$59.59$60.005.1%1.8%4.0%2.2%6.4%-0.6%-0.4%276.3K-511.3K-4.6K2.00128.53N/AN/A36776224
2024-10-07$59.45$60.006.0%1.8%4.0%5.7%6.6%-1.3%-0.5%236.6K-415.8K-4.3K0.00135.49N/AN/A70777220
2024-10-08$59.45$60.006.4%1.9%3.8%7.4%0.0%-1.0%-0.6%232.3K-406.6K-4.2K0.00140.00N/AN/A00778220
2024-10-09$59.34$60.006.5%1.9%3.8%7.8%6.3%0.0%-0.6%236.5K-402.8K-4.3K4.00142.43N/AN/A312778220
2024-10-10$59.36$60.006.3%1.8%3.8%6.8%6.7%1.1%-0.3%236.6K-420.8K-4.5K0.00137.23N/AN/A042780232
2024-10-11$59.41$59.006.2%1.8%3.7%6.7%6.2%0.1%-0.2%248.8K-441.7K-4.4K0.0096.94N/AN/A50780263
2024-10-14$59.30$59.006.6%1.9%3.6%8.1%6.3%-0.5%-0.2%194.9K-272.5K-3.8K0.0094.26N/AN/A1750781263
2024-10-15$59.50$59.006.9%2.0%3.9%9.2%6.6%0.5%-1.1%418.9K-944.9K-5.2K0.52111.54N/AN/A2714935255
2024-10-16$59.55$59.006.3%1.8%4.0%6.9%6.1%0.9%-0.3%459.3K-1.0M-5.5K0.20104.55N/AN/A51959266
2024-10-17$59.39$59.005.0%1.4%4.0%1.9%6.3%-2.0%-0.4%429.9K-826.4K-5.1K0.00117.23N/AN/A80959267
2024-10-18$59.47$59.006.3%1.8%4.1%7.0%0.0%0.1%-0.3%463.0K-870.4K-4.9K0.50105.36N/AN/A21962266
2024-10-21$59.17$59.007.0%2.0%4.3%9.7%7.1%-1.7%-0.6%252.8K-303.4K-4.5K0.0292.39N/AN/A1283639203
2024-10-22$59.13$59.007.0%2.0%4.2%9.5%0.0%1.1%-0.6%368.1K-401.1K-5.1K0.0091.42N/AN/A00764207
2024-10-23$59.00$59.007.6%2.2%4.2%12.1%7.6%5.7%-1.2%304.1K-309.0K-4.6K0.0098.75N/AN/A470764207
2024-10-24$59.06$59.007.3%2.1%4.3%11.0%0.0%0.5%-0.9%330.9K-365.2K-4.8K0.0092.56N/AN/A00772207
2024-10-25$58.98$59.007.5%2.2%4.1%11.7%7.6%-0.3%-1.0%298.8K-269.2K-4.4K0.0790.55N/AN/A15310772207
2024-10-28$58.89$59.007.8%2.2%4.0%12.9%7.8%-0.4%-1.4%148.0K-18.9K-3.6K2.00102.59N/AN/A12625217
2024-10-29$58.91$59.008.0%2.3%4.0%13.7%8.1%-0.4%-1.5%147.0K-19.1K-3.6K0.00101.16N/AN/A70625218
2024-10-30$58.83$59.008.3%2.4%4.0%14.8%0.0%-0.2%-1.8%135.2K9.8K-3.5K0.0098.97N/AN/A010632218
2024-10-31$58.80$59.008.6%2.5%4.0%16.0%5.1%2.1%-1.9%129.6K34.4K-3.6K0.0099.02N/AN/A20632228