VTWG Options History — September 2021

In September 2021, VTWG traded between $213.68 and $226.46. ATM implied volatility averaged 20.3%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.3% (HV 20d: 20.6%). Max pain ranged from $205.00 to $215.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2021-09-23: Highest Volume — 22 contracts
  • 2021-09-20: Largest IV spike — 39.2% change
  • 2021-09-14: Highest IV Rank — 37.5%
  • 2021-09-14: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$220.29$213.68$226.46$224.44$214.73
Max Pain$214.50$205.00$215.00$205.00$215.00
ATM IV20.3%15.4%28.4%17.2%25.6%
Expected Move5.8%4.4%8.2%4.9%7.3%
HV 20d20.6%18.5%21.7%20.2%20.9%
HV 60d20.2%19.5%21.7%19.6%21.6%
IV Rank17.0%4.7%37.5%9.1%30.2%
IV Percentile23.6%0.9%78.3%5.0%59.2%
Term Structure0.8%-10.3%6.7%0.1%-5.2%
VWIV17.4%17.4%17.4%17.4%17.4%
Skew 25d5.5%-0.6%11.6%1.4%1.9%
Skew 10d8.0%-0.5%16.3%-0.5%4.6%
Call IV 25d16.6%11.5%20.8%19.9%18.5%
Put IV 25d22.1%17.4%25.1%21.3%20.4%
Bid-Ask Spread %125.60113.42135.91128.91132.92
Gamma HHI0.200.170.250.220.17
Net GEX68.6K37.8K97.4K86.9K64.3K
Net DEX-651.9K-958.0K-416.9K-847.4K-617.2K
Net VEX-6.1K-7.5K-4.7K-6.4K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.000.830.500.00
Total Volume3.04802230
Total OI185.667144202196199

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$224.44$205.0017.2%4.9%20.2%9.1%17.4%1.4%0.1%86.9K-847.4K-6.4K0.50128.91N/AN/A2113363
2021-09-02$226.46$0.0016.6%5.1%19.8%7.7%0.0%4.6%2.3%97.4K-880.8K-6.7K0.00113.42N/AN/A0013465
2021-09-03$225.57$215.0018.3%5.2%19.9%12.0%0.0%8.5%2.4%88.3K-958.0K-6.9K0.00119.88N/AN/A1013666
2021-09-07$224.17$215.0020.1%5.3%20.0%16.4%0.0%7.9%2.1%81.2K-843.6K-6.6K0.00118.16N/AN/A0013666
2021-09-08$220.92$215.0022.4%6.4%20.7%22.2%0.0%4.5%-1.6%67.0K-686.1K-6.1K0.00116.65N/AN/A0013666
2021-09-09$222.75$215.0018.8%5.4%20.9%13.3%0.0%9.8%1.0%87.5K-745.3K-6.2K0.00116.44N/AN/A0013666
2021-09-10$219.57$215.0021.8%6.2%21.6%20.7%0.0%5.8%-0.6%58.4K-624.0K-5.8K0.00119.46N/AN/A0013666
2021-09-13$219.35$215.0021.7%6.2%21.1%20.5%0.0%9.5%-0.3%61.1K-601.4K-5.7K0.00119.06N/AN/A0013566
2021-09-14$216.95$215.0028.4%8.2%21.1%37.5%0.0%-0.6%-10.3%37.8K-524.5K-5.6K0.00124.98N/AN/A0013566
2021-09-15$219.33$215.0017.6%5.1%20.5%10.4%0.0%4.9%0.6%46.2K-522.1K-5.6K0.00125.46N/AN/A0013566
2021-09-16$220.34$215.0018.5%5.3%20.5%12.5%0.0%7.9%1.2%70.9K-593.3K-5.4K0.00126.93N/AN/A1013566
2021-09-17$220.08$215.0018.6%5.3%19.2%12.7%0.0%8.3%-0.0%63.5K-567.9K-5.5K0.00126.13N/AN/A0013566
2021-09-20$213.68$215.0025.9%7.4%21.7%31.0%0.0%0.5%4.1%55.7K-431.5K-5.0K0.00123.71N/AN/A0912816
2021-09-21$215.97$215.0021.4%6.1%20.3%19.9%0.0%9.7%2.3%58.9K-416.9K-4.7K0.00128.07N/AN/A0012816
2021-09-22$219.71$215.0017.2%4.9%20.9%9.3%0.0%6.5%3.5%62.2K-536.8K-5.5K0.00129.26N/AN/A0012825
2021-09-23$223.04$215.0016.3%4.7%21.5%6.9%0.0%11.6%6.0%68.9K-775.4K-5.8K0.83130.78N/AN/A121012825
2021-09-24$222.15$215.0016.1%4.6%21.0%6.5%0.0%8.2%6.7%74.2K-666.6K-6.0K0.00133.60N/AN/A01312825
2021-09-27$223.78$215.0015.4%4.4%18.5%4.7%0.0%0.6%1.0%86.7K-791.2K-6.8K0.00135.86N/AN/A0014035
2021-09-28$217.33$215.0021.1%6.1%21.2%19.1%0.0%2.2%2.8%65.5K-618.6K-7.1K0.00135.91N/AN/A15014044
2021-09-29$215.68$215.0026.8%7.7%21.3%33.4%0.0%2.5%-1.9%57.0K-440.8K-6.5K0.00132.06N/AN/A0014044
2021-09-30$214.73$215.0025.6%7.3%20.9%30.2%0.0%1.9%-5.2%64.3K-617.2K-7.5K0.00132.92N/AN/A0015544