VNET Options History — May 2020

In May 2020, VNET traded between $14.11 and $16.99. ATM implied volatility averaged 73.0%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 5.5% (HV 20d: 67.5%). Max pain ranged from $6.00 to $15.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2020-05-06: Highest Volume — 1,357 contracts
  • 2020-05-13: Largest IV drop — 49.3% change
  • 2020-05-12: Highest IV Rank — 99.5%
  • 2020-05-01: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.62$14.11$16.99$14.24$14.56
Max Pain$6.85$6.00$15.00$15.00$7.00
ATM IV73.0%56.6%134.1%70.9%62.2%
Expected Move18.0%16.2%20.3%20.3%17.8%
HV 20d67.5%59.2%82.6%82.6%73.9%
HV 60d102.6%100.3%109.2%109.2%103.7%
IV Rank41.3%25.6%99.5%39.2%31.0%
IV Percentile75.9%60.3%99.6%81.3%69.0%
Term Structure-1.2%-4.6%2.5%-1.5%-2.6%
VWIV62.7%55.2%67.6%65.6%66.0%
Skew 25d5.3%1.9%10.6%10.6%8.2%
Skew 10d14.3%-8.4%34.1%34.1%21.3%
Call IV 25d60.7%53.9%68.2%63.8%58.9%
Put IV 25d66.0%60.1%74.4%74.4%67.2%
Bid-Ask Spread %70.1734.5494.4985.1869.06
Gamma HHI0.300.220.510.220.37
Net GEX24.0K-18.5K105.8K-6.4K-15.1K
Net DEX-6.4M-8.3M-4.7M-4.7M-5.2M
Net VEX-6.8K-8.3K-5.3K-7.6K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.0217.000.672.27
Total Volume218.6291,3574049
Total OI8,287.47,23710,1497,7337,424

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$14.24$15.0070.9%20.3%82.6%39.2%65.6%10.6%-1.5%-6.4K-4.7M-7.6K0.6785.18N/AN/A24165,3862,347
2020-05-04$14.23$6.0070.9%19.7%74.1%39.2%64.5%9.5%-4.2%-7.2K-4.7M-7.2K17.0034.54N/AN/A3515,3772,348
2020-05-05$15.14$6.0072.5%18.7%64.3%40.8%65.1%4.8%-0.9%-2.5K-5.6M-6.8K0.0266.58N/AN/A37065,3742,374
2020-05-06$16.07$6.0083.3%18.4%65.6%51.0%63.0%6.5%-1.5%20.3K-6.7M-6.9K0.2346.62N/AN/A1,1072505,6842,378
2020-05-07$16.44$6.0091.9%18.9%64.8%59.3%65.3%4.3%-3.9%62.9K-7.6M-8.3K0.3558.33N/AN/A72256,8952,516
2020-05-08$16.99$6.0090.5%18.3%65.3%57.9%66.7%5.8%-2.5%80.0K-8.3M-8.3K0.7167.59N/AN/A34246,9602,541
2020-05-11$16.17$6.00116.6%18.8%67.7%82.8%63.8%8.3%-4.6%60.3K-7.2M-7.8K0.8171.76N/AN/A96787,0122,550
2020-05-12$16.78$6.00134.1%18.4%63.4%99.5%63.9%2.2%-3.6%76.4K-8.1M-7.5K0.1180.85N/AN/A280317,0802,615
2020-05-13$16.89$6.0068.0%19.5%61.6%36.5%67.6%5.1%-4.3%81.9K-8.3M-7.6K0.3867.64N/AN/A81317,1922,639
2020-05-14$16.94$6.0068.9%19.7%59.2%37.3%67.1%3.1%-1.3%93.6K-8.3M-7.6K0.5265.37N/AN/A2541337,2392,657
2020-05-15$16.98$6.0062.6%18.0%59.2%31.4%62.7%7.2%-1.5%105.8K-8.3M-6.7K0.2069.72N/AN/A375767,3972,752
2020-05-18$16.95$6.0056.8%16.3%59.2%25.8%55.8%6.2%1.3%7.7K-7.3M-6.1K0.4481.75N/AN/A88395,3631,874
2020-05-19$15.25$7.0056.6%16.2%70.6%25.6%59.9%1.9%2.1%-6.4K-5.9M-6.4K0.0994.49N/AN/A203195,4201,903
2020-05-20$15.49$7.0059.2%17.0%67.2%28.1%60.4%4.6%2.4%-2.6K-6.1M-6.5K0.7681.89N/AN/A98745,4541,904
2020-05-21$14.74$7.0059.6%17.1%67.2%28.5%59.3%3.4%-0.1%-9.6K-5.4M-6.3K0.6387.07N/AN/A68435,4851,956
2020-05-22$14.11$7.0057.9%16.6%68.5%26.9%55.2%2.6%2.5%-16.0K-4.8M-5.8K0.0368.14N/AN/A12045,4341,928
2020-05-26$15.11$7.0057.6%16.5%73.6%26.5%58.0%3.1%1.4%-13.7K-5.8M-5.6K0.2952.84N/AN/A66195,4751,930
2020-05-27$15.10$7.0059.6%17.1%69.9%28.5%60.2%4.9%-1.3%-10.5K-5.8M-5.7K1.2561.60N/AN/A16205,5141,934
2020-05-28$14.13$7.0061.5%17.6%73.0%30.3%63.1%4.3%-0.5%-18.5K-4.9M-5.3K0.2192.36N/AN/A2455,5081,929
2020-05-29$14.56$7.0062.2%17.8%73.9%31.0%66.0%8.2%-2.6%-15.1K-5.2M-5.3K2.2769.06N/AN/A15345,4891,935