VTWG Options History — November 2021

In November 2021, VTWG traded between $213.96 and $238.21. ATM implied volatility averaged 19.9%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.3% (HV 20d: 17.6%). Max pain ranged from $220.00 to $220.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2021-11-10: Highest Volume — 132 contracts
  • 2021-11-05: Largest IV spike — 37.9% change
  • 2021-11-26: Highest IV Rank — 40.7%
  • 2021-11-26: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$229.33$213.96$238.21$229.76$213.96
Max Pain$220.00$220.00$220.00$220.00$220.00
ATM IV19.9%12.6%28.9%16.7%28.6%
Expected Move5.8%3.8%8.3%4.8%8.2%
HV 20d17.6%14.3%21.4%15.6%18.8%
HV 60d19.3%18.1%20.0%19.5%19.4%
IV Rank18.9%1.1%40.7%11.1%40.0%
IV Percentile30.8%0.4%86.9%9.1%86.5%
Term Structure0.5%-6.9%5.1%-2.8%5.1%
VWIV19.0%13.8%29.8%16.7%29.8%
Skew 25d0.9%-4.0%7.2%7.2%-2.6%
Skew 10d2.9%-3.2%14.0%6.2%-0.7%
Call IV 25d16.7%11.8%24.1%13.5%24.1%
Put IV 25d17.6%13.0%26.5%20.7%21.6%
Bid-Ask Spread %121.50106.00134.48131.10124.87
Gamma HHI0.200.170.230.230.18
Net GEX181.2K50.8K246.2K160.0K50.8K
Net DEX-1.5M-2.4M-353.6K-1.2M-353.6K
Net VEX-5.8K-7.0K-3.7K-5.4K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.210.240.230.21
Total Volume128.81120132121131
Total OI225.286194234194233

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$229.76$0.0016.7%4.8%15.6%11.1%0.0%7.2%-2.8%160.0K-1.2M-5.4K0.23131.10N/AN/A982315539
2021-11-02$229.47$0.0017.3%4.9%15.7%12.4%0.0%-1.7%-1.3%176.3K-1.4M-6.6K0.24132.18N/AN/A972316839
2021-11-03$234.30$0.0013.2%3.8%16.3%2.6%0.0%1.7%0.3%194.6K-1.9M-6.2K0.24134.48N/AN/A972316839
2021-11-04$234.82$220.0012.6%5.1%15.6%1.1%16.7%1.0%0.8%188.3K-1.9M-6.7K0.24113.80N/AN/A972316839
2021-11-05$236.73$220.0017.4%4.4%14.6%12.7%15.1%1.2%4.1%212.6K-2.2M-6.4K0.24119.42N/AN/A972316839
2021-11-08$238.21$220.0016.9%4.7%14.3%11.5%15.2%2.7%1.5%209.6K-2.4M-6.1K0.21117.99N/AN/A1082316839
2021-11-09$236.76$220.0017.3%5.6%14.9%12.6%20.0%-3.7%0.2%216.4K-2.3M-7.0K0.21106.00N/AN/A1082319439
2021-11-10$231.55$220.0023.5%6.7%17.7%27.6%18.6%-2.1%-6.9%204.5K-2.0M-6.9K0.22115.95N/AN/A1082419439
2021-11-11$233.96$220.0018.1%5.2%17.3%14.4%13.8%3.0%1.4%238.3K-2.0M-6.7K0.22120.54N/AN/A1082419440
2021-11-12$234.80$220.0016.9%4.8%17.3%11.4%13.9%3.3%2.8%246.2K-2.1M-6.7K0.22121.72N/AN/A1082419440
2021-11-15$232.52$220.0017.5%5.0%17.8%13.0%16.7%1.1%2.7%238.9K-1.9M-6.3K0.22119.92N/AN/A1082419440
2021-11-16$233.66$220.0017.8%5.1%17.8%13.7%14.4%3.2%2.1%243.1K-1.9M-6.3K0.22121.71N/AN/A1082419440
2021-11-17$231.06$220.0020.1%5.8%18.5%19.4%17.3%0.3%-1.7%217.1K-1.8M-6.3K0.22120.68N/AN/A1082419440
2021-11-18$229.40$220.0023.4%6.7%18.7%27.3%20.3%0.3%-0.3%183.8K-1.6M-6.4K0.22117.62N/AN/A1082419440
2021-11-19$228.15$220.0019.7%5.7%18.8%18.4%16.9%-0.3%0.6%195.3K-1.3M-5.8K0.22119.58N/AN/A1082419440
2021-11-22$226.35$220.0022.2%6.4%18.8%24.4%18.8%-4.0%0.5%169.1K-1.2M-5.4K0.21121.24N/AN/A1082319439
2021-11-23$223.14$220.0018.9%5.4%19.5%16.5%20.1%-0.4%1.5%134.5K-748.9K-4.6K0.21125.60N/AN/A1082319439
2021-11-24$223.94$220.0023.6%6.8%18.9%27.8%21.6%-0.6%-0.7%143.9K-884.3K-4.7K0.21122.90N/AN/A1082319439
2021-11-26$217.02$220.0028.9%8.3%21.4%40.7%27.3%4.4%-3.1%85.8K-535.6K-4.5K0.21121.93N/AN/A1082319439
2021-11-29$216.45$220.0027.8%8.0%21.3%38.1%25.3%4.0%3.8%96.0K-494.1K-4.1K0.21122.28N/AN/A1082319439
2021-11-30$213.96$220.0028.6%8.2%18.8%40.0%29.8%-2.6%5.1%50.8K-353.6K-3.7K0.21124.87N/AN/A1082319439