VTWG Options History — March 2021

In March 2021, VTWG traded between $211.22 and $233.42. ATM implied volatility averaged 28.3%. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 6.0% (HV 20d: 34.3%). Max pain ranged from $210.00 to $225.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.61.

Notable Days

  • 2021-03-12: Highest Volume — 42 contracts
  • 2021-03-31: Largest IV spike — 57.8% change
  • 2021-03-29: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$221.63$211.22$233.42$233.42$219.47
Max Pain$213.04$210.00$225.00$225.00$215.00
ATM IV28.3%22.3%40.4%26.8%35.2%
Expected Move7.8%6.4%10.1%7.7%10.1%
HV 20d34.3%28.8%38.1%28.8%35.3%
HV 60d27.7%23.7%30.2%23.7%30.2%
Term Structure-2.3%-18.7%7.0%-1.7%-18.7%
VWIV24.8%15.3%37.0%37.0%16.2%
Skew 25d8.2%-1.2%19.2%3.9%10.9%
Skew 10d7.3%-1.8%16.2%4.7%-0.5%
Call IV 25d22.6%15.2%32.7%27.6%27.8%
Put IV 25d30.8%24.2%38.9%31.4%38.7%
Bid-Ask Spread %122.4098.35135.90113.66133.70
Gamma HHI0.200.100.330.320.13
Net GEX32.7K-21.3K62.9K57.8K14.0K
Net DEX-423.9K-796.8K-127.9K-796.8K-285.0K
Net VEX-2.5K-3.3K-1.8K-2.7K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.007.007.000.00
Total Volume3.73904211
Total OI114.4358214582145

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$233.42$225.0026.8%7.7%28.8%0.0%0.0%3.9%-1.7%57.8K-796.8K-2.7K0.00113.66N/AN/A01739
2021-03-02$228.45$225.0029.2%8.4%28.8%0.0%0.0%12.9%-3.4%54.2K-795.2K-2.7K0.00114.23N/AN/A00739
2021-03-03$222.71$225.0025.6%7.3%29.4%0.0%0.0%-1.2%7.0%44.8K-520.2K-2.5K0.00116.70N/AN/A00739
2021-03-04$212.92$220.0040.4%9.4%33.2%0.0%37.0%8.1%-3.3%29.4K-317.0K-2.1K7.0098.35N/AN/A17739
2021-03-05$215.50$220.0036.0%7.4%32.5%0.0%23.8%14.6%2.4%19.4K-163.2K-1.9K0.00114.77N/AN/A0107416
2021-03-08$214.19$210.0038.9%8.5%31.5%0.0%0.0%7.0%-1.7%27.7K-274.8K-2.3K0.00114.99N/AN/A007418
2021-03-09$221.27$210.0028.3%7.8%32.8%0.0%0.0%15.8%-0.9%30.6K-350.3K-2.2K0.00117.07N/AN/A007418
2021-03-10$223.68$210.0026.6%7.6%32.9%0.0%0.0%8.1%0.1%42.4K-452.5K-2.4K0.00121.64N/AN/A007418
2021-03-11$230.29$210.0024.8%7.1%34.9%0.0%20.9%5.6%-0.7%57.9K-638.1K-2.2K0.00120.44N/AN/A107418
2021-03-12$230.59$210.0026.0%7.4%34.9%0.0%23.9%8.5%-0.1%61.3K-695.1K-2.4K2.50117.67N/AN/A12307518
2021-03-15$231.65$210.0026.1%7.5%35.0%0.0%0.0%10.6%0.1%61.8K-780.3K-3.1K0.00123.35N/AN/A008748
2021-03-16$228.84$210.0026.7%7.6%35.1%0.0%0.0%9.8%-5.1%62.9K-715.7K-3.3K0.00121.45N/AN/A008748
2021-03-17$229.55$210.0024.6%7.1%35.0%0.0%0.0%11.2%-0.6%61.4K-670.9K-2.8K0.00124.51N/AN/A008748
2021-03-18$221.47$210.0028.5%8.2%36.8%0.0%0.0%2.6%-8.2%36.7K-389.8K-2.9K0.00120.89N/AN/A008748
2021-03-19$224.91$210.0024.4%7.0%36.8%0.0%15.3%11.6%-1.4%-21.3K-429.4K-2.2K0.17128.30N/AN/A1228748
2021-03-22$224.92$210.0025.3%7.2%36.1%0.0%0.0%0.6%-1.9%42.3K-440.0K-2.9K0.00135.90N/AN/A008645
2021-03-23$216.93$210.0023.0%6.6%38.0%0.0%0.0%-0.9%1.9%21.0K-260.5K-2.7K0.00131.30N/AN/A008645
2021-03-24$211.27$210.0026.4%7.6%38.1%0.0%36.2%5.5%3.8%16.0K-173.1K-2.8K0.00128.08N/AN/A408645
2021-03-25$214.52$210.0023.3%6.7%36.4%0.0%0.0%19.2%2.1%6.9K-186.3K-2.0K0.00132.40N/AN/A009045
2021-03-26$215.61$210.0026.6%7.6%36.0%0.0%0.0%7.8%-1.0%11.6K-147.6K-2.4K0.00126.56N/AN/A009045
2021-03-29$211.22$210.0035.4%10.1%35.0%0.0%0.0%2.6%-18.0%13.5K-127.9K-2.5K0.00128.93N/AN/A009045
2021-03-30$214.02$210.0022.3%6.4%35.0%0.0%16.2%13.8%-3.4%432-139.6K-1.8K0.00130.33N/AN/A059045
2021-03-31$219.47$215.0035.2%10.1%35.3%0.0%0.0%10.9%-18.7%14.0K-285.0K-1.8K0.00133.70N/AN/A109055