VNET Options History — March 2020

In March 2020, VNET traded between $10.08 and $16.42. ATM implied volatility averaged 94.8%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded below realized volatility by 15.3% (HV 20d: 110.1%). Max pain ranged from $9.00 to $18.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.89.

Notable Days

  • 2020-03-20: Highest Volume — 1,514 contracts
  • 2020-03-05: Largest IV drop — 21.8% change
  • 2020-03-03: Highest IV Rank — 51.4%
  • 2020-03-03: Largest Expected Move — 33.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.76$10.08$16.42$14.89$13.82
Max Pain$16.18$9.00$18.00$9.00$17.00
ATM IV94.8%67.5%118.2%111.7%67.5%
Expected Move26.6%19.4%33.9%32.0%19.4%
HV 20d110.1%65.5%144.6%87.7%144.5%
HV 60d90.2%70.1%106.7%71.2%104.6%
IV Rank41.0%28.1%51.4%47.7%36.1%
IV Percentile93.6%84.1%99.2%98.8%84.1%
Term Structure-12.5%-29.1%-1.7%-26.8%-1.7%
VWIV94.3%73.2%116.6%108.6%78.1%
Skew 25d3.4%-5.1%13.6%-2.6%10.6%
Skew 10d8.9%-15.3%69.5%-3.9%32.2%
Call IV 25d92.0%65.4%122.1%111.9%65.4%
Put IV 25d95.4%76.0%117.0%109.3%76.0%
Bid-Ask Spread %60.2932.0491.6138.1291.61
Gamma HHI0.240.150.630.230.24
Net GEX-34.3K-249.0K39.4K-6.4K-22.5K
Net DEX-5.1M-11.4M-649.7K-9.6M-2.7M
Net VEX-12.2K-15.3K-9.4K-11.2K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.0013.420.427.50
Total Volume390.86431,51426385
Total OI11,989.8648,91614,95411,3828,968

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$14.89$9.00111.7%32.0%87.7%47.7%108.6%-2.6%-26.8%-6.4K-9.6M-11.2K0.4238.12N/AN/A185788,1743,208
2020-03-03$15.24$9.00118.2%33.9%86.7%51.4%114.7%-5.1%-25.5%-4.6K-9.9M-11.2K0.2744.08N/AN/A115318,1863,235
2020-03-04$16.42$9.00110.4%31.6%87.3%46.9%109.4%2.1%-29.1%-8.6K-11.4M-9.8K2.5033.14N/AN/A3598998,1693,242
2020-03-05$15.25$18.0086.3%22.2%93.8%32.9%81.7%-2.8%-8.1%-29.8K-9.4M-12.2K4.0541.28N/AN/A2229008,3134,148
2020-03-06$15.51$18.0093.2%23.6%70.0%36.9%84.0%3.5%-6.8%-43.0K-9.1M-13.6K1.9043.78N/AN/A3015728,4104,871
2020-03-09$14.74$18.00106.3%26.1%68.7%44.5%91.7%-2.0%-13.7%-51.8K-7.5M-14.0K13.4241.75N/AN/A263498,2885,415
2020-03-10$15.22$18.00102.5%25.7%65.5%42.3%94.0%-1.7%-10.8%-51.6K-7.9M-14.5K1.9432.04N/AN/A1292508,1075,321
2020-03-11$14.89$17.0095.1%27.3%66.1%38.0%95.4%0.9%-13.3%-56.5K-7.2M-15.0K0.4238.83N/AN/A1258,1735,823
2020-03-12$12.46$18.00103.3%29.6%90.0%42.8%102.5%-0.2%-15.5%-23.8K-3.5M-14.1K2.8150.93N/AN/A1754918,1755,867
2020-03-13$13.83$18.0099.9%28.6%97.8%40.8%106.7%0.4%-12.0%-58.1K-5.2M-15.3K0.6540.33N/AN/A49328,0896,087
2020-03-16$12.89$17.00105.0%30.1%100.8%43.7%100.6%-1.8%-9.2%-39.3K-3.9M-14.3K0.8455.60N/AN/A25218,0696,105
2020-03-17$12.76$17.0098.6%28.3%94.5%40.0%96.2%-2.3%-10.3%-41.8K-3.6M-13.5K0.5644.58N/AN/A61348,0676,094
2020-03-18$10.08$17.00115.8%33.2%124.5%50.0%116.6%-1.1%-24.8%39.4K-649.7K-11.5K0.0864.58N/AN/A988828,1056,064
2020-03-19$11.78$17.0099.1%28.4%138.5%40.3%105.7%12.8%-12.7%-4.3K-3.1M-12.4K0.8383.16N/AN/A115959,0165,938
2020-03-20$13.01$17.0085.5%24.5%144.0%32.4%73.2%6.0%-14.0%-249.0K-3.7M-12.1K0.2189.81N/AN/A1,2492658,3895,982
2020-03-23$12.98$17.0086.8%24.9%144.0%33.2%86.4%4.5%-4.5%-13.1K-2.3M-11.7K0.0073.94N/AN/A305,2733,643
2020-03-24$13.03$17.0078.0%22.4%142.4%28.1%81.6%6.9%-5.1%-13.1K-2.2M-10.8K0.5490.99N/AN/A39215,2733,643
2020-03-25$12.81$17.0087.1%25.0%142.4%33.3%0.0%10.2%-11.4%-10.1K-2.1M-11.0K0.0185.24N/AN/A12515,2863,662
2020-03-26$13.61$17.0078.3%22.4%144.3%46.3%77.7%10.3%-5.9%-19.3K-2.6M-10.7K0.0180.53N/AN/A16325,2863,663
2020-03-27$13.86$17.0080.5%23.1%144.5%48.5%85.6%13.6%-5.0%-25.8K-2.9M-11.1K1.0079.42N/AN/A335,3083,665
2020-03-30$13.59$17.0076.7%22.0%144.6%44.8%90.4%12.1%-7.7%-20.6K-2.6M-10.1K1.6082.65N/AN/A15245,3103,667
2020-03-31$13.82$17.0067.5%19.4%144.5%36.1%78.1%10.6%-1.7%-22.5K-2.7M-9.4K7.5091.61N/AN/A10755,2993,669