VTWG Options History — September 2022

In September 2022, VTWG traded between $148.35 and $171.06. ATM implied volatility averaged 31.0%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 1.6% (HV 20d: 32.6%). Max pain ranged from $164.00 to $180.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 4.09.

Notable Days

  • 2022-09-06: Highest Volume — 401 contracts
  • 2022-09-14: Largest IV drop — 32.8% change
  • 2022-09-13: Highest IV Rank — 74.7%
  • 2022-09-30: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$159.77$148.35$171.06$162.28$151.02
Max Pain$178.48$164.00$180.00$164.00$180.00
ATM IV31.0%24.1%40.4%28.8%38.3%
Expected Move8.3%5.9%11.0%8.2%11.0%
HV 20d32.6%26.4%37.4%29.8%36.9%
HV 60d29.7%27.7%31.9%31.9%30.5%
IV Rank49.8%31.7%74.7%44.0%69.2%
IV Percentile69.3%41.7%96.0%63.9%92.5%
Term Structure4.2%-2.9%15.5%0.4%7.4%
VWIV32.5%17.0%44.4%28.2%44.4%
Skew 25d4.2%-2.6%10.8%-2.6%4.1%
Skew 10d0.4%-10.9%9.8%0.6%-10.9%
Call IV 25d27.4%19.4%38.0%30.0%38.0%
Put IV 25d31.6%23.0%42.1%27.4%42.1%
Bid-Ask Spread %118.0397.14134.19130.49115.64
Gamma HHI0.400.270.560.320.44
Net GEX-97.0K-156.8K-44.9K-74.8K-82.4K
Net DEX2.7M1.2M3.7M2.4M3.4M
Net VEX-7.2K-10.1K-3.5K-9.9K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.090.005.523.365.52
Total Volume157.28604012339
Total OI402.571333460460343

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$162.28$164.0028.8%8.2%29.8%44.0%28.2%-2.6%0.4%-74.8K2.4M-9.9K0.00130.49N/AN/A02120340
2022-09-02$161.43$164.0024.1%6.9%29.6%31.7%0.0%0.5%1.9%-83.2K2.0M-10.1K0.00134.19N/AN/A00120339
2022-09-06$160.41$180.0029.2%8.1%28.9%45.2%23.8%5.1%1.2%-70.6K2.3M-9.3K3.36113.29N/AN/A92309120339
2022-09-07$164.43$180.0026.3%7.5%29.7%37.4%26.1%-0.4%7.4%-56.4K2.4M-9.0K3.36108.38N/AN/A92309120339
2022-09-08$165.76$180.0031.9%8.6%26.4%52.3%0.0%8.9%7.8%-101.9K2.2M-8.9K0.00115.49N/AN/A00120339
2022-09-09$169.57$180.0028.7%6.1%27.9%43.8%0.0%3.7%7.6%-134.5K1.6M-9.3K0.00121.36N/AN/A00120339
2022-09-12$171.06$180.0036.5%6.2%26.9%64.5%0.0%4.7%7.0%-112.5K1.2M-9.2K0.0097.14N/AN/A00120339
2022-09-13$164.11$180.0040.4%5.9%30.1%74.7%17.0%3.8%15.5%-116.8K1.9M-8.9K3.36115.67N/AN/A92309120339
2022-09-14$169.36$180.0027.1%7.8%32.7%39.7%0.0%2.2%-2.9%-156.8K1.7M-8.5K0.00105.91N/AN/A00120339
2022-09-15$168.46$180.0028.9%8.3%32.4%44.4%0.0%7.4%-2.3%-137.9K1.9M-8.2K0.00105.40N/AN/A00120339
2022-09-16$160.64$180.0026.3%7.5%35.8%37.5%25.7%7.6%4.8%-67.8K2.8M-7.5K3.36123.34N/AN/A92309120339
2022-09-19$161.90$180.0030.4%8.7%35.4%48.2%0.0%4.3%6.2%-142.0K3.1M-6.9K0.00121.85N/AN/A8044289
2022-09-20$160.10$180.0029.0%8.3%34.9%44.5%0.0%9.0%5.6%-132.7K2.9M-6.9K0.00117.78N/AN/A0052289
2022-09-21$157.62$180.0028.9%8.3%34.9%44.4%0.0%4.2%5.8%-140.2K3.2M-6.0K0.00121.99N/AN/A0052289
2022-09-22$154.42$180.0034.7%9.9%34.9%59.6%0.0%10.8%-0.1%-95.6K3.4M-5.5K0.00127.10N/AN/A0052289
2022-09-23$149.66$180.0032.6%9.4%35.2%54.2%0.0%-0.6%9.0%-56.9K3.5M-4.4K0.00123.29N/AN/A0052289
2022-09-26$148.35$180.0034.3%9.8%33.7%58.6%42.8%0.2%2.4%-75.6K3.4M-4.7K5.48115.83N/AN/A5228552289
2022-09-27$148.83$180.0030.2%8.7%33.9%47.7%37.9%5.4%5.9%-44.9K3.7M-3.5K5.48124.47N/AN/A5228552289
2022-09-28$154.85$180.0029.9%8.6%37.4%47.0%43.9%3.5%-0.9%-82.9K3.5M-4.9K5.48117.57N/AN/A5228552289
2022-09-29$150.82$180.0033.7%9.7%37.4%57.0%35.2%7.0%-1.7%-70.0K3.5M-4.2K5.52122.43N/AN/A5228752289
2022-09-30$151.02$180.0038.3%11.0%36.9%69.2%44.4%4.1%7.4%-82.4K3.4M-4.7K5.52115.64N/AN/A5228752291