VTWG Options History — December 2021

In December 2021, VTWG traded between $203.47 and $219.06. ATM implied volatility averaged 25.9%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 3.0% (HV 20d: 28.9%). Max pain ranged from $205.00 to $220.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2021-12-06: Highest Volume — 155 contracts
  • 2021-12-07: Largest IV drop — 41.4% change
  • 2021-12-16: Highest IV Rank — 64.7%
  • 2021-12-16: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$211.06$203.47$219.06$209.01$213.89
Max Pain$209.41$205.00$220.00$220.00$205.00
ATM IV25.9%15.9%38.8%25.5%19.4%
Expected Move7.4%5.3%11.1%7.3%5.6%
HV 20d28.9%19.7%34.0%20.1%30.4%
HV 60d22.9%19.9%24.2%19.9%23.4%
IV Rank33.4%9.1%64.7%32.4%17.5%
IV Percentile59.2%7.5%96.8%67.9%23.4%
Term Structure0.3%-10.8%11.9%6.0%4.4%
VWIV24.3%19.2%31.2%29.4%20.7%
Skew 25d4.5%-6.1%12.6%-6.1%1.7%
Skew 10d3.7%-11.4%13.6%0.4%5.6%
Call IV 25d19.8%16.5%30.8%28.7%17.4%
Put IV 25d24.3%15.9%33.7%22.6%19.1%
Bid-Ask Spread %118.77100.20130.73125.76130.73
Gamma HHI0.340.150.560.200.52
Net GEX7.8K-48.0K64.1K37.1K21.3K
Net DEX-10.3K-319.0K360.5K-182.0K-168.1K
Net VEX-2.7K-3.3K-1.9K-3.3K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.231.830.231.83
Total Volume80.3181715513317
Total OI180.2277326123373

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$209.01$220.0025.5%7.3%20.1%32.4%29.4%-6.1%6.0%37.1K-182.0K-3.3K0.23125.76N/AN/A1082519439
2021-12-02$212.89$220.0023.0%6.6%19.7%26.4%31.2%9.7%11.9%16.4K6.5K-3.1K0.33124.36N/AN/A1093619452
2021-12-03$205.10$220.0029.7%8.5%22.6%42.6%27.5%-4.0%-0.1%4.4K107.9K-3.3K0.33125.37N/AN/A1093619552
2021-12-06$209.89$0.0032.6%8.0%24.5%49.6%0.0%12.6%-1.3%18.6K70.5K-3.2K0.42100.20N/AN/A1094619552
2021-12-07$216.77$0.0019.1%8.2%27.7%16.8%0.0%11.4%-6.6%27.3K-203.8K-3.1K0.42106.03N/AN/A1094619562
2021-12-08$219.06$0.0015.9%7.3%28.2%9.1%0.0%10.1%-0.8%64.1K-319.0K-3.2K0.74110.96N/AN/A624619562
2021-12-09$213.16$0.0022.3%9.2%28.7%24.5%0.0%-2.5%-7.7%22.5K-142.5K-3.3K0.74114.26N/AN/A624619664
2021-12-10$211.23$0.0027.0%7.6%28.2%36.0%19.2%2.5%-4.7%3.1K-16.9K-3.3K0.72118.30N/AN/A644619664
2021-12-13$209.24$215.0037.5%6.2%28.1%61.7%27.9%0.4%7.2%-25.7K107.4K-2.9K0.72117.37N/AN/A644619764
2021-12-14$206.65$215.0038.8%9.1%28.1%64.7%21.2%9.9%-10.8%-48.0K309.7K-2.4K0.72110.74N/AN/A644619764
2021-12-15$210.10$215.0028.5%8.2%29.0%39.7%25.5%11.2%1.9%-19.1K137.9K-2.6K0.71105.41N/AN/A654619764
2021-12-16$204.19$205.0038.8%11.1%30.1%64.7%30.1%-5.0%-8.2%-47.1K360.5K-2.5K0.70121.45N/AN/A664619564
2021-12-17$207.23$205.0025.0%7.2%31.0%31.2%22.5%11.6%3.4%-47.3K317.9K-2.1K0.70112.06N/AN/A664619564
2021-12-20$203.47$205.0031.8%9.1%31.4%47.6%23.9%8.9%1.1%6.6K90.2K-1.9K1.83110.16N/AN/A6115023
2021-12-21$208.92$205.0030.0%8.6%33.4%43.4%26.5%7.3%-5.7%9.8K5.0K-2.2K1.83116.13N/AN/A6115023
2021-12-22$211.01$205.0023.9%6.9%33.5%28.6%21.0%1.7%2.1%15.0K-44.5K-2.3K1.83123.86N/AN/A6115023
2021-12-23$214.08$205.0021.9%6.3%34.0%23.8%21.2%4.3%2.8%19.0K-92.8K-2.3K1.83125.33N/AN/A6115023
2021-12-27$214.95$205.0020.5%5.9%32.2%20.3%23.9%2.8%2.8%24.3K-128.0K-2.4K1.83125.36N/AN/A6115023
2021-12-28$214.27$205.0020.2%5.8%32.2%19.5%23.4%2.3%4.4%25.7K-160.6K-2.5K1.83129.89N/AN/A6115023
2021-12-29$213.04$205.0019.6%5.6%32.0%18.1%22.3%2.1%2.4%24.3K-118.2K-2.4K1.83130.14N/AN/A6115023
2021-12-30$215.15$205.0018.5%5.3%31.0%15.4%19.7%6.0%2.8%19.8K-163.7K-2.3K1.83129.08N/AN/A6115023
2021-12-31$213.89$205.0019.4%5.6%30.4%17.5%20.7%1.7%4.4%21.3K-168.1K-2.4K1.83130.73N/AN/A6115023