VTWG Options History — June 2021

In June 2021, VTWG traded between $214.62 and $228.10. ATM implied volatility averaged 18.5%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.9% (HV 20d: 16.7%). Max pain ranged from $194.00 to $225.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2021-06-29: Highest Volume — 103 contracts
  • 2021-06-22: Largest IV drop — 28.9% change
  • 2021-06-02: Highest IV Rank — 16.1%
  • 2021-06-02: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$221.99$214.62$228.10$217.66$227.25
Max Pain$212.60$194.00$225.00$194.00$225.00
ATM IV18.5%13.5%23.6%20.5%16.2%
Expected Move5.2%3.9%6.8%5.9%4.6%
HV 20d16.7%12.5%24.2%24.2%14.1%
HV 60d21.9%19.3%24.8%24.8%19.3%
IV Rank6.1%0.0%16.1%7.3%6.7%
IV Percentile6.2%0.0%26.0%6.5%2.3%
Term Structure1.7%-2.4%7.4%-1.3%2.5%
VWIV14.4%13.2%15.5%13.2%15.5%
Skew 25d3.0%-1.5%7.6%2.6%-0.6%
Skew 10d5.4%-4.7%13.5%4.3%2.9%
Call IV 25d17.2%14.0%20.0%20.0%16.5%
Put IV 25d20.1%15.9%24.3%22.6%15.9%
Bid-Ask Spread %125.06110.64137.13116.98137.13
Gamma HHI0.200.160.280.190.18
Net GEX9.6K-16.8K32.3K12.6K32.3K
Net DEX-229.2K-366.1K39.8K-322.8K-325.8K
Net VEX-2.7K-4.0K-1.1K-1.2K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.004.440.000.72
Total Volume13.545010300
Total OI109.6828014893103

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$217.66$194.0020.5%5.9%24.2%7.3%0.0%2.6%-1.3%12.6K-322.8K-1.2K0.00116.98N/AN/A005637
2021-06-02$215.93$194.0023.6%6.8%22.3%16.1%0.0%5.0%-2.4%12.3K-310.2K-1.2K0.00117.70N/AN/A005637
2021-06-03$214.62$0.0023.1%5.8%22.3%14.6%0.0%5.4%0.6%13.4K-279.3K-1.1K0.00110.64N/AN/A005637
2021-06-04$216.15$0.0022.3%5.8%22.1%12.3%0.0%3.0%0.8%14.8K-290.2K-1.1K0.00117.46N/AN/A005637
2021-06-07$219.79$0.0018.2%5.3%22.1%0.8%0.0%7.6%7.4%17.3K-326.0K-1.1K0.00115.81N/AN/A025637
2021-06-08$222.53$0.0022.4%5.5%19.2%12.6%0.0%5.7%0.5%7.4K-361.9K-1.3K0.00118.09N/AN/A005639
2021-06-09$220.81$0.0019.7%5.6%19.5%4.9%0.0%3.8%-0.3%7.8K-351.5K-1.3K0.00118.38N/AN/A305639
2021-06-10$221.31$0.0018.9%5.4%15.2%2.6%0.0%6.8%3.0%14.8K-365.9K-1.3K4.44123.36N/AN/A9406039
2021-06-11$223.19$0.0017.7%5.1%15.1%0.0%0.0%1.9%0.0%-16.8K-228.6K-2.5K0.00122.65N/AN/A2006079
2021-06-14$223.65$0.0017.7%5.1%13.5%0.0%0.0%2.6%-0.3%-2.5K-183.5K-3.3K0.00125.33N/AN/A006979
2021-06-15$221.64$0.0017.0%4.9%13.9%0.0%0.0%-1.1%6.6%2.6K-116.1K-3.5K0.00120.71N/AN/A006979
2021-06-16$221.56$0.0019.5%5.6%13.9%7.0%0.0%1.1%0.6%-614-74.3K-3.2K0.00128.77N/AN/A006979
2021-06-17$221.57$0.0017.9%5.1%12.5%2.6%0.0%2.7%1.0%-2.1K-82.1K-3.2K0.00130.83N/AN/A006979
2021-06-18$217.47$0.0020.7%5.9%13.8%10.3%0.0%3.6%0.7%-56139.8K-3.2K0.00126.42N/AN/A006979
2021-06-21$221.25$0.0019.0%5.5%14.9%5.7%0.0%5.8%2.9%-5.7K14.8K-3.0K0.00131.07N/AN/A1703842
2021-06-22$222.70$0.0013.5%3.9%14.8%0.0%0.0%2.4%4.3%5.1K-126.1K-3.9K0.00134.59N/AN/A015542
2021-06-23$224.65$0.0015.9%4.5%14.8%5.8%0.0%1.1%2.0%6.4K-165.9K-3.9K0.78126.82N/AN/A55435543
2021-06-24$226.75$0.0016.2%4.7%14.5%6.8%0.0%4.3%4.7%14.5K-190.5K-4.0K0.00122.63N/AN/A005543
2021-06-25$228.10$0.0015.5%4.5%14.5%5.0%13.2%-0.1%1.2%16.9K-268.2K-3.9K0.00134.74N/AN/A505543
2021-06-28$227.96$225.0015.1%4.3%14.5%4.0%0.0%-1.5%0.2%30.9K-366.1K-4.0K0.00135.81N/AN/A006043
2021-06-29$227.33$225.0017.1%4.9%14.6%9.0%15.5%3.4%3.3%30.7K-362.9K-4.0K0.72135.31N/AN/A60436043
2021-06-30$227.25$225.0016.2%4.6%14.1%6.7%0.0%-0.6%2.5%32.3K-325.8K-3.9K0.00137.13N/AN/A006043