VTWG Options History — October 2021

In October 2021, VTWG traded between $212.94 and $223.84. ATM implied volatility averaged 18.8%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.9% (HV 20d: 19.7%). Max pain ranged from $215.00 to $215.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2021-10-20: Highest Volume — 137 contracts
  • 2021-10-27: Largest IV spike — 69.9% change
  • 2021-10-12: Highest IV Rank — 39.3%
  • 2021-10-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$218.44$212.94$223.84$217.15$223.84
Max Pain$215.00$215.00$215.00$215.00$215.00
ATM IV18.8%12.2%29.2%26.3%13.2%
Expected Move5.1%3.5%7.6%7.6%3.8%
HV 20d19.7%14.4%22.5%21.1%15.2%
HV 60d19.9%18.5%21.6%21.6%18.7%
IV Rank13.8%0.0%39.3%32.2%2.7%
IV Percentile20.9%0.0%82.5%67.8%0.4%
Term Structure3.2%-2.5%10.8%3.0%3.5%
Skew 25d5.6%-0.5%12.3%8.9%1.5%
Skew 10d7.1%-0.7%13.0%12.5%2.7%
Call IV 25d14.0%11.1%20.8%20.8%14.8%
Put IV 25d19.6%15.0%29.7%29.7%16.3%
Bid-Ask Spread %127.37109.40138.41133.89138.41
Gamma HHI0.180.160.200.160.20
Net GEX79.9K52.0K114.0K64.0K114.0K
Net DEX-525.7K-814.1K-257.8K-548.1K-738.0K
Net VEX-5.9K-7.0K-5.3K-7.0K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.200.210.200.21
Total Volume51.61901370135
Total OI194.714194199199194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$217.15$215.0026.3%7.6%21.1%32.2%0.0%8.9%3.0%64.0K-548.1K-7.0K0.00133.89N/AN/A0015544
2021-10-04$213.14$0.0023.4%7.1%21.9%24.7%0.0%12.3%-0.5%63.0K-515.7K-6.8K0.00109.40N/AN/A0015540
2021-10-05$214.56$0.0020.9%5.6%22.1%18.7%0.0%8.9%4.7%57.8K-307.5K-6.0K0.00113.98N/AN/A0015540
2021-10-06$212.94$0.0021.3%6.7%21.7%19.5%0.0%11.7%-2.5%52.0K-261.8K-5.8K0.00110.82N/AN/A0015540
2021-10-07$216.71$0.0020.4%5.4%22.5%17.4%0.0%9.6%3.9%66.2K-392.6K-6.0K0.00119.04N/AN/A0015540
2021-10-08$214.44$0.0024.3%5.2%22.3%27.1%0.0%4.7%2.7%61.9K-366.6K-5.6K0.00120.48N/AN/A0015540
2021-10-11$213.65$0.0026.5%5.3%22.3%32.5%0.0%7.8%2.3%52.3K-257.8K-5.3K0.00119.35N/AN/A0015540
2021-10-12$214.34$0.0029.2%5.3%22.0%39.3%0.0%7.8%2.1%56.9K-279.2K-5.4K0.00121.51N/AN/A0015540
2021-10-13$215.94$0.0018.2%5.2%21.8%11.6%0.0%9.7%2.0%61.7K-314.7K-5.5K0.00124.29N/AN/A0015540
2021-10-14$219.26$0.0015.6%4.5%22.5%5.1%0.0%6.5%3.0%81.7K-484.7K-5.9K0.00128.55N/AN/A0015540
2021-10-15$219.50$0.0017.4%5.0%22.5%9.7%0.0%4.7%1.4%83.3K-578.9K-6.0K0.00126.47N/AN/A0015540
2021-10-18$218.91$0.0014.9%4.3%19.7%3.4%0.0%2.0%2.7%79.7K-507.0K-5.6K0.00135.75N/AN/A0015539
2021-10-19$220.04$0.0014.8%4.3%19.4%3.3%0.0%4.7%4.5%88.0K-577.0K-5.9K0.00131.09N/AN/A0015539
2021-10-20$220.70$0.0014.6%4.2%18.5%2.6%0.0%2.0%3.0%90.7K-599.2K-5.9K0.20133.77N/AN/A1142315539
2021-10-21$222.16$0.0016.2%4.6%17.8%6.7%0.0%2.7%10.8%98.8K-743.8K-6.2K0.20135.11N/AN/A1142315539
2021-10-22$221.22$0.0014.1%4.0%17.8%1.3%0.0%1.7%3.6%96.1K-650.6K-5.8K0.21136.05N/AN/A1122315539
2021-10-25$223.41$0.0015.4%4.4%18.0%4.7%0.0%4.9%8.8%107.1K-814.1K-6.2K0.21135.40N/AN/A1122315539
2021-10-26$222.57$0.0012.2%3.5%14.4%0.0%0.0%1.1%3.7%106.9K-723.2K-5.6K0.21136.82N/AN/A1122315539
2021-10-27$219.74$0.0020.6%5.9%15.0%20.6%0.0%-0.5%-1.4%95.6K-645.3K-5.6K0.21132.50N/AN/A1122315539
2021-10-28$222.95$0.0015.1%4.3%15.6%7.1%0.0%4.5%6.9%101.1K-733.2K-5.8K0.21132.09N/AN/A1122315539
2021-10-29$223.84$0.0013.2%3.8%15.2%2.7%0.0%1.5%3.5%114.0K-738.0K-5.5K0.21138.41N/AN/A1122315539