VNET Options History — April 2020

In April 2020, VNET traded between $13.41 and $16.87. ATM implied volatility averaged 70.6%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 43.3% (HV 20d: 113.8%). Max pain ranged from $10.00 to $17.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2020-04-07: Highest Volume — 922 contracts
  • 2020-04-08: Largest IV drop — 14.1% change
  • 2020-04-01: Highest IV Rank — 51.7%
  • 2020-04-01: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.03$13.41$16.87$13.48$14.98
Max Pain$13.81$10.00$17.00$17.00$15.00
ATM IV70.6%59.3%83.9%83.9%62.9%
Expected Move19.8%17.0%24.1%24.1%18.0%
HV 20d113.8%82.0%153.9%141.5%87.3%
HV 60d108.1%102.3%109.5%102.3%108.6%
IV Rank38.9%28.2%51.7%51.7%31.6%
IV Percentile81.1%69.8%89.7%89.7%73.0%
Term Structure-2.4%-8.7%7.1%-8.6%5.2%
VWIV69.9%59.8%84.7%81.1%62.3%
Skew 25d8.1%5.0%14.1%6.4%6.4%
Skew 10d28.6%9.1%52.3%38.9%14.6%
Call IV 25d65.3%56.9%79.4%79.4%60.4%
Put IV 25d73.4%63.4%85.7%85.7%66.7%
Bid-Ask Spread %77.4257.15107.8493.27107.84
Gamma HHI0.220.170.410.240.21
Net GEX-11.7K-59.6K18.7K-20.7K-415
Net DEX-4.4M-7.2M-2.3M-2.6M-5.4M
Net VEX-8.4K-10.1K-7.2K-9.7K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0022.640.002.60
Total Volume172.5246922618
Total OI8,723.2387,05510,1278,9987,725

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$13.48$17.0083.9%24.1%141.5%51.7%81.1%6.4%-8.6%-20.7K-2.6M-9.7K0.0093.27N/AN/A605,2893,709
2020-04-02$14.82$10.0081.6%20.7%144.0%49.5%73.2%14.1%-8.7%-47.9K-3.6M-10.1K0.5972.51N/AN/A63375,2933,709
2020-04-03$13.41$14.0082.8%21.1%148.0%50.6%0.0%6.9%-4.2%-17.3K-2.5M-9.5K3.4281.73N/AN/A12415,3243,740
2020-04-06$15.11$13.0075.4%20.3%153.5%43.5%84.7%11.7%-2.9%-59.6K-3.9M-9.4K5.3665.45N/AN/A1387395,3303,780
2020-04-07$14.49$13.0078.3%21.1%153.8%46.3%79.1%11.2%-6.6%-47.1K-3.0M-9.8K22.6468.30N/AN/A398835,4334,482
2020-04-08$14.12$13.0067.2%19.3%153.9%35.7%79.5%8.1%-0.6%-33.1K-2.7M-9.5K0.0084.22N/AN/A01035,4514,372
2020-04-09$14.07$13.0071.9%20.6%139.2%40.2%66.3%8.8%-4.8%-30.8K-2.6M-9.3K0.0765.72N/AN/A4035,4514,473
2020-04-13$13.76$13.0071.5%20.5%134.6%39.8%71.5%8.5%-6.2%-20.7K-2.3M-8.7K0.0064.72N/AN/A7705,4914,469
2020-04-14$14.89$13.0066.2%19.0%134.7%34.8%66.3%7.5%-0.4%-30.0K-3.3M-8.2K0.0672.44N/AN/A6845,4754,469
2020-04-15$14.39$13.0071.7%20.6%135.4%40.1%64.9%10.8%-4.3%-8.3K-3.0M-8.5K0.1657.15N/AN/A2545,6544,470
2020-04-16$15.18$14.0069.9%20.0%101.6%38.3%68.9%7.3%-4.5%6.7K-3.5M-8.2K0.0063.43N/AN/A12905,6554,472
2020-04-17$15.34$14.0071.2%20.4%88.1%39.5%68.9%6.0%-6.7%308-3.7M-7.8K0.0480.63N/AN/A13455,6164,472
2020-04-20$15.52$13.0068.3%19.6%82.0%36.7%69.5%11.2%-3.5%3.2K-6.0M-7.9K0.0984.88N/AN/A4344,9912,064
2020-04-21$15.24$13.0075.0%21.5%82.5%43.1%73.1%6.1%-2.9%3.7K-5.8M-8.0K0.0385.56N/AN/A3815,0122,065
2020-04-22$16.20$14.0069.5%19.9%84.6%38.0%72.6%6.3%2.4%5.9K-6.6M-7.4K0.1678.99N/AN/A458725,0302,066
2020-04-23$16.87$15.0070.0%20.1%84.5%38.4%70.9%5.0%-0.0%17.5K-7.2M-7.4K0.1680.29N/AN/A5895,3962,130
2020-04-24$16.76$15.0060.8%17.4%82.9%29.7%63.0%9.1%7.1%18.7K-7.1M-7.3K1.2474.06N/AN/A1101365,4222,139
2020-04-27$16.51$15.0059.3%17.0%83.4%28.2%59.8%6.5%0.9%13.6K-6.8M-7.2K0.8668.41N/AN/A36315,3852,281
2020-04-28$15.45$15.0064.3%18.4%87.0%33.0%62.7%5.9%-1.2%3.8K-5.8M-7.6K0.9180.28N/AN/A23215,3772,311
2020-04-29$14.98$15.0059.9%17.2%87.9%28.8%60.2%6.3%0.8%-2.2K-5.4M-7.4K0.1595.92N/AN/A1325,3782,337
2020-04-30$14.98$15.0062.9%18.0%87.3%31.6%62.3%6.4%5.2%-415-5.4M-7.5K2.60107.84N/AN/A5135,3892,336