VGSH Option Chain

The Vanguard Short-Term Treasury ETF (VGSH) option chain shows the call options quotes to the left side of the table and the put options quotes on the right side. The bid is where the current market is indicating a desire to buy at the specified price, while the ask is where the market is indicating a desire to sell at the specified price.

Delta is a value that represents the ratio between change in price of the underlying asset, and the change in price of the derivative (an option). For call options, delta is usually positive, meaning if the price of the underlying stock goes up, the price of the call option will go up. For put options, it is typically negative.
A delta of 0.75 means that if the underlying stock price goes up $1, then the price of the option will go up $0.75. Correspondingly, a delta of -0.75 means the option price would go down $0.75 if the the stock price goes up $1.
On Market Chameleon's Vanguard Short-Term Treasury ETF (VGSH) option chain, the delta of each call option is in the left-most column of the table above. The delta of each put option is in the right-most column of the table.

Under the table that says Select Expiration above, you will see a list of expiration dates for Vanguard Short-Term Treasury ETF (VGSH). Each expiration has the current options trading volume listed to the right side of the table.
You can also see the current options trading volume for each individual option by looking at the option chain table above. Call volume is towards the left-hand side, while put volume is towards the right-hand side.

As a feature of Market Chameleon's option chain, you can view the list of option trades for each individual Vanguard Short-Term Treasury ETF (VGSH) option by clicking on the corresponding volume number in the table above. It will bring up a display with the time and sales listed. On this display, you can see trade details, like time of the trade, price, condition, the trade's implied volatility, and the exchange on which the trade was executed. Click here to watch an instructional video on option time and sales.

The time and sales display also shows summary statistics for all the trades of that particular option. You can see total options volume, the number of individual trades, the total notional value of the trades, open interest, the high price and low price that the option traded, and the range of the implied volatility for the day's trades. Click here to watch a helpful video on option time and sales statistics.

In the Vanguard Short-Term Treasury ETF option chain, we provide a column that calculates a theoretical option price for each Vanguard Short-Term Treasury ETF (VGSH) option, based on a specified option pricing model. You can compare the market's current prices against a series of benchmarks, to see if the current price is overvalued or undervalued. To change the benchmark, click on the box above the option chain titled Theoretical Value. You are able to run theoretical values for the following parameters:

1. the stock's historical volatility for the last 20 days
2. the stock's historical volatility for the last year
3. your own custom volatility assumption
4. historical median implied volatility for options that have had the same number of days to go before expiration and are a similar distance from the at-the-money spot
5. an option price calculated using the results of a historical stock return distribution

In the Vanguard Short-Term Treasury ETF (VGSH) option chain above, you will see one column to the furthermost left-hand side and one column to the furthermost right-hand side that have a drop down icon. If you click on these drop downs, you can change the view to see different option greeks, including:

1. Delta
2. Open Interest
3. Gamma
4. Vega
5. Theta
6. Rho
7. Implied Volatility change from the option's previous close
8. Market price change from the option's previous close

Market Chameleon provides a an options profit calculator that displays a payout diagram for Vanguard Short-Term Treasury ETF (VGSH) various scenarios based on the direction of the stock price. This enables you to see potential profit or loss of an individual option or option spread. In the VGSH Option Chain, you can select the option by clicking on the bid price (to simulate selling the option) or ask price (to simulate buying the option). A display will appear with several more inputs to test your theoretical option trade. Click "Load Strategy" to generate a profit and loss diagram.

The option chain has an implied volatility rank for each Vanguard Short-Term Treasury ETF (VGSH) option, based on historical IV observations. For each option, historical IV values are compiled to match the same number of days til expiration and how far away the strike is from the spot price. The option's IV percent rank shows you the comparison between the current IV and those historical results. Click here to watch an instructional video on IV % Rank.

You can find historical Vanguard Short-Term Treasury ETF (VGSH) option prices by clicking on the date-selection drop down at the top left of the Vanguard Short-Term Treasury ETF option chain. A calendar widget will appear, enabling you to select a historical date. There, you can see the option chain as it was on the close of that particular trading day.

At the top of the option chain, you will see toggles for "Backtest" on either the call side (to the left) or the put side (to the right). Clicking on that toggle will display a new set of columns related to the backtest -- including historical win rate and average return. Clicking on the win rate will bring up a backtest display for that particular option. On the display, you can change parameters and compare VGSH option backtest results for 3 separate hedging techniques:

1. being long the option and holding until expiration (un-hedged)
2. hedging the delta at the time of the trade and holding until expiration
3. re-hedging the delta at the end of each day from trade until expiration (a method of trading gamma)