VNET Options History — January 2020

In January 2020, VNET traded between $7.66 and $10.95. ATM implied volatility averaged 52.0%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 16.1% (HV 20d: 68.1%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2020-01-06: Highest Volume — 806 contracts
  • 2020-01-06: Largest IV spike — 37.4% change
  • 2020-01-13: Highest IV Rank — 23.5%
  • 2020-01-27: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.61$7.66$10.95$7.66$9.24
Max Pain$8.81$7.00$9.00$7.00$9.00
ATM IV52.0%36.4%69.6%38.2%56.4%
Expected Move14.8%10.4%17.1%11.0%16.2%
HV 20d68.1%52.6%73.8%52.7%69.7%
HV 60d56.6%52.6%61.0%54.9%57.9%
IV Rank13.4%4.4%23.5%5.4%15.9%
IV Percentile70.7%8.3%95.2%12.7%86.1%
Term Structure4.7%-2.4%12.9%-1.1%12.9%
VWIV51.2%35.7%59.8%37.3%57.7%
Skew 25d-1.1%-12.3%7.0%-12.3%-4.3%
Skew 10d-3.5%-22.0%13.6%-4.5%1.6%
Call IV 25d52.5%35.5%63.7%42.5%61.7%
Put IV 25d51.4%30.2%57.8%30.2%57.5%
Bid-Ask Spread %80.7462.81111.25106.7989.85
Gamma HHI0.310.210.550.220.28
Net GEX63.3K49.9K98.0K49.9K61.1K
Net DEX-5.2M-7.5M-2.5M-2.5M-4.7M
Net VEX-9.7K-10.9K-8.0K-8.0K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.0010.670.0410.67
Total Volume260.429080648635
Total OI8,411.6196,6679,2106,6678,602

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$7.66$7.0038.2%11.0%52.7%5.4%37.3%-12.3%-1.1%49.9K-2.5M-8.0K0.04106.79N/AN/A466205,971696
2020-01-03$8.24$7.0036.4%10.4%52.6%4.4%35.7%5.5%5.9%53.3K-3.3M-8.7K0.08111.25N/AN/A677536,349716
2020-01-06$9.27$9.0050.0%13.6%65.3%12.2%45.8%2.8%0.7%55.5K-4.8M-9.5K0.1177.68N/AN/A724826,999744
2020-01-07$9.30$9.0049.3%15.7%65.0%11.8%53.9%0.6%-2.4%58.1K-5.0M-10.7K0.3766.90N/AN/A3971457,510805
2020-01-08$9.26$9.0042.8%15.9%65.0%8.0%54.2%1.7%-0.3%59.7K-4.9M-10.9K0.1678.41N/AN/A103167,692928
2020-01-09$9.18$9.0048.7%14.3%65.3%11.5%49.6%1.4%5.4%63.4K-4.8M-10.9K0.1281.24N/AN/A197247,771935
2020-01-10$8.97$9.0052.1%12.7%66.5%13.5%49.8%4.3%11.7%61.6K-4.5M-10.8K0.5574.90N/AN/A49277,801936
2020-01-13$9.47$9.0069.6%14.8%68.2%23.5%54.0%7.0%4.5%72.1K-5.2M-10.5K0.0570.75N/AN/A15187,844905
2020-01-14$9.55$9.0049.9%14.5%66.8%12.2%49.8%-3.4%4.0%81.4K-5.4M-10.1K0.0074.76N/AN/A1507,960903
2020-01-15$10.27$9.0048.6%13.9%69.9%11.5%50.5%-0.8%6.1%98.0K-6.6M-9.2K0.0283.73N/AN/A594147,970903
2020-01-16$10.95$9.0049.1%14.1%71.6%11.7%49.1%2.4%4.2%55.4K-7.5M-8.2K0.0268.08N/AN/A717137,904899
2020-01-17$10.65$9.0052.2%15.0%72.9%13.5%53.2%2.3%4.5%60.8K-7.0M-9.1K0.0662.81N/AN/A256168,300910
2020-01-21$10.31$9.0053.9%15.4%73.8%14.5%52.9%-4.2%7.0%63.4K-6.0M-9.5K2.0064.42N/AN/A127,749747
2020-01-22$10.32$9.0053.4%15.3%72.7%14.2%54.4%0.6%7.8%62.8K-6.0M-9.4K0.0074.50N/AN/A2207,750747
2020-01-23$10.43$9.0054.3%15.6%70.1%14.7%53.7%-0.6%3.9%62.0K-6.1M-9.3K0.0382.40N/AN/A3117,753747
2020-01-24$10.26$9.0058.1%16.7%70.1%16.9%0.0%-0.1%3.0%62.8K-5.9M-9.6K0.0176.61N/AN/A13517,741748
2020-01-27$9.72$9.0059.5%17.1%73.4%17.7%59.8%-7.3%3.1%61.9K-5.2M-9.7K0.3386.15N/AN/A169557,740749
2020-01-28$9.72$9.0058.5%16.8%73.0%17.2%59.2%-1.3%4.4%60.8K-5.1M-9.7K0.0075.66N/AN/A2107,648748
2020-01-29$9.65$9.0058.0%16.6%73.4%16.8%0.0%-7.0%6.9%62.5K-5.1M-9.6K0.0088.50N/AN/A007,664748
2020-01-30$9.41$9.0052.9%15.2%72.2%13.9%53.0%-10.1%6.4%63.0K-4.7M-9.6K0.00100.09N/AN/A23207,664748
2020-01-31$9.24$9.0056.4%16.2%69.7%15.9%57.7%-4.3%12.9%61.1K-4.7M-10.0K10.6789.85N/AN/A3327,854748