VTWG Options History — December 2020

In December 2020, VTWG traded between $191.50 and $215.19. ATM implied volatility averaged 25.6%. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 11.0% (HV 20d: 14.6%). Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-12-04: Highest Volume — 4 contracts
  • 2020-12-28: Largest IV spike — 51.4% change
  • 2020-12-02: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$204.12$191.50$215.19$191.94$209.01
ATM IV25.6%18.0%36.7%25.9%25.9%
Expected Move6.9%5.1%8.8%7.4%7.4%
HV 20d14.6%13.1%17.9%17.9%17.6%
HV 60d20.4%20.1%20.8%20.2%20.5%
Term Structure0.6%-12.0%7.6%-1.0%-1.3%
Skew 25d3.3%-3.4%13.2%0.8%4.6%
Skew 10d5.2%-1.1%12.3%1.6%6.8%
Call IV 25d22.1%15.8%34.2%23.8%20.9%
Put IV 25d25.5%18.6%36.8%24.6%25.5%
Bid-Ask Spread %135.83126.00145.53139.22133.02
Gamma HHI0.850.711.001.000.75
Net GEX1.5K02.2K02.0K
Net DEX-50.7K-79.0K00-72.5K
Net VEX-191-25500-246
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.4090400
Total OI3.7270505

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$191.94$0.0025.9%7.4%17.9%0.0%0.0%0.8%-1.0%0000.00139.22N/AN/A0000
2020-12-02$191.50$0.0030.7%8.8%15.0%0.0%0.0%2.6%-2.7%0000.00145.53N/AN/A0000
2020-12-03$192.06$0.0031.9%7.4%14.6%0.0%0.0%3.8%-0.4%0000.00144.35N/AN/A0000
2020-12-04$196.04$0.0032.5%7.0%13.7%0.0%0.0%4.5%0.6%0000.00143.04N/AN/A4000
2020-12-07$196.81$0.0036.7%7.0%13.4%0.0%0.0%3.5%1.7%1.8K-42.0K-2260.00145.52N/AN/A0040
2020-12-08$200.00$0.0029.3%6.0%13.5%0.0%0.0%3.3%3.9%1.9K-43.3K-2220.00139.78N/AN/A0040
2020-12-09$197.81$0.0023.8%6.8%14.6%0.0%0.0%-3.4%2.6%1.7K-46.5K-2230.00140.37N/AN/A0040
2020-12-10$200.69$0.0023.2%6.6%15.0%0.0%0.0%4.6%1.7%2.0K-43.8K-2200.00134.28N/AN/A0040
2020-12-11$200.00$0.0021.6%6.2%14.3%0.0%0.0%2.7%4.2%1.8K-45.3K-2240.00138.57N/AN/A0040
2020-12-14$202.29$0.0023.4%6.7%13.5%0.0%0.0%2.0%2.4%1.7K-48.2K-2230.00139.26N/AN/A0040
2020-12-15$205.58$0.0018.0%5.1%14.0%0.0%0.0%-1.0%7.6%1.8K-50.3K-2190.00138.07N/AN/A0040
2020-12-16$206.17$0.0021.8%6.2%14.0%0.0%0.0%8.3%4.6%1.7K-52.2K-2200.00134.55N/AN/A1040
2020-12-17$208.21$0.0023.8%6.8%13.1%0.0%0.0%3.0%5.2%2.1K-69.6K-2530.00135.18N/AN/A0050
2020-12-18$209.26$0.0019.3%5.5%13.1%0.0%0.0%2.4%4.8%1.9K-72.1K-2550.00127.44N/AN/A0050
2020-12-21$209.71$0.0025.0%7.2%13.1%0.0%0.0%1.3%-0.0%2.1K-71.2K-2470.00132.01N/AN/A0050
2020-12-22$214.07$0.0021.7%6.2%13.9%0.0%0.0%-0.6%2.7%2.1K-76.9K-2360.00128.66N/AN/A0050
2020-12-23$215.19$0.0025.2%7.2%13.9%0.0%0.0%3.2%0.6%1.8K-78.9K-2400.00127.64N/AN/A0050
2020-12-24$213.87$0.0018.7%5.4%14.5%0.0%0.0%4.7%2.8%1.7K-78.5K-2410.00126.00N/AN/A0050
2020-12-28$212.76$0.0028.3%8.1%14.8%0.0%0.0%7.8%-6.7%1.7K-79.0K-2300.00126.86N/AN/A4050
2020-12-29$207.89$0.0028.6%8.2%17.4%0.0%0.0%13.2%-12.0%2.1K-72.0K-2440.00133.78N/AN/A0050
2020-12-30$209.83$0.0028.4%8.1%17.5%0.0%0.0%2.1%-8.2%2.2K-72.6K-2410.00135.08N/AN/A0050
2020-12-31$209.01$0.0025.9%7.4%17.6%0.0%0.0%4.6%-1.3%2.0K-72.5K-2460.00133.02N/AN/A0050