VTWG Options History — November 2020

In November 2020, VTWG traded between $164.21 and $192.50. ATM implied volatility averaged 30.0%. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.6% (HV 20d: 25.4%). Max pain ranged from $169.00 to $169.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days.

Notable Days

  • 2020-11-10: Largest IV drop — 31.8% change
  • 2020-11-02: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$182.30$164.21$192.50$164.21$191.16
Max Pain$169.00$169.00$169.00$169.00$169.00
ATM IV30.0%21.5%41.5%41.5%31.8%
Expected Move8.1%6.2%11.9%11.9%9.1%
HV 20d25.4%18.0%29.6%29.6%18.0%
Term Structure-2.1%-7.6%3.8%-4.6%-7.1%
Skew 25d3.3%-4.4%10.2%3.7%0.5%
Skew 10d4.0%-3.3%10.6%7.2%2.1%
Call IV 25d28.6%19.2%43.4%37.4%33.9%
Put IV 25d31.9%21.9%43.8%41.0%34.4%
Bid-Ask Spread %144.49137.12164.95154.54140.76
Gamma HHI0.510.500.520.500.52
Net GEX-2.3K-6.0K0-4.3K0
Net DEX14.2K057.5K57.5K0
Net VEX-29-850-850
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI4.50660

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$164.21$169.0041.5%11.9%0.0%0.0%0.0%3.7%-4.6%-4.3K57.5K-850.00154.54N/AN/A0006
2020-11-03$170.08$169.0037.5%10.7%0.0%0.0%0.0%0.4%-7.6%-6.0K48.3K-830.00159.90N/AN/A0006
2020-11-04$172.77$169.0039.6%11.3%0.0%0.0%0.0%1.7%-7.3%-4.2K39.4K-820.00164.95N/AN/A0006
2020-11-05$177.30$0.0035.1%7.6%0.0%0.0%0.0%5.5%-2.2%-4.1K25.5K-680.00142.96N/AN/A0006
2020-11-06$177.00$0.0035.4%7.9%0.0%0.0%0.0%4.4%-1.5%-4.3K25.1K-630.00140.04N/AN/A0006
2020-11-09$179.84$0.0040.1%7.6%0.0%0.0%0.0%-4.4%-6.8%-3.7K19.2K-480.00137.31N/AN/A0006
2020-11-10$180.11$0.0027.4%6.4%29.6%0.0%0.0%0.1%2.2%-3.5K7.8K-240.00138.65N/AN/A0006
2020-11-11$181.27$0.0026.3%7.5%28.6%0.0%0.0%5.9%-1.6%-3.3K15.0K-380.00145.05N/AN/A0006
2020-11-12$179.47$0.0026.0%7.5%28.2%0.0%0.0%1.7%-1.1%-3.8K18.0K-390.00146.50N/AN/A0006
2020-11-13$183.06$0.0021.9%6.3%28.1%0.0%0.0%1.0%3.8%-1.9K4.6K-130.00137.12N/AN/A0006
2020-11-16$184.62$0.0027.3%7.8%27.4%0.0%0.0%6.2%-1.9%-2.3K8.2K-160.00138.35N/AN/A0006
2020-11-17$186.25$0.0024.6%7.0%26.7%0.0%0.0%4.8%0.3%-1.7K4.7K-90.00143.78N/AN/A0006
2020-11-18$184.65$0.0027.9%8.0%26.3%0.0%0.0%0.0%-7.6%-2.2K7.1K-100.00140.00N/AN/A0006
2020-11-19$185.51$0.0027.9%8.0%26.0%0.0%0.0%5.8%1.5%-1.5K3.6K-40.00145.60N/AN/A0006
2020-11-20$186.54$0.0025.6%7.3%26.0%0.0%0.0%2.9%-0.0%0000.00144.70N/AN/A0006
2020-11-23$189.10$0.0021.5%6.2%24.2%0.0%0.0%4.9%1.9%0000.00144.47N/AN/A0000
2020-11-24$190.17$0.0026.6%7.6%24.2%0.0%0.0%10.2%-2.7%0000.00139.84N/AN/A0000
2020-11-25$190.36$0.0026.6%7.6%21.2%0.0%0.0%4.2%0.1%0000.00142.62N/AN/A0000
2020-11-27$192.50$0.0028.6%8.2%21.2%0.0%0.0%6.3%-0.3%0000.00142.74N/AN/A0000
2020-11-30$191.16$0.0031.8%9.1%18.0%0.0%0.0%0.5%-7.1%0000.00140.76N/AN/A0000