VNET Options History — June 2020

In June 2020, VNET traded between $13.09 and $24.65. ATM implied volatility averaged 71.8%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded below realized volatility by 15.8% (HV 20d: 87.7%). Max pain ranged from $7.00 to $18.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2020-06-23: Highest Volume — 6,570 contracts
  • 2020-06-08: Largest IV spike — 16.4% change
  • 2020-06-26: Highest IV Rank — 61.5%
  • 2020-06-26: Largest Expected Move — 27.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.60$13.09$24.65$14.99$23.68
Max Pain$14.55$7.00$18.00$7.00$18.00
ATM IV71.8%57.5%94.2%63.1%84.4%
Expected Move20.4%16.9%27.0%18.1%24.2%
HV 20d87.7%64.7%113.4%72.3%110.9%
HV 60d91.2%74.2%102.9%102.8%88.0%
IV Rank40.1%26.5%61.5%31.8%52.1%
IV Percentile76.5%58.3%91.7%70.2%86.5%
Term Structure-4.5%-16.7%1.8%-2.6%-5.5%
VWIV71.3%55.5%94.3%63.1%85.2%
Skew 25d3.6%-1.4%8.2%5.7%-0.7%
Skew 10d9.2%-6.0%36.5%36.5%-1.0%
Call IV 25d70.4%56.0%92.7%61.4%86.6%
Put IV 25d74.0%60.9%93.6%67.0%85.9%
Bid-Ask Spread %59.2632.9187.8987.8948.55
Gamma HHI0.380.150.790.370.22
Net GEX41.2K-45.6K288.4K-14.7K167.7K
Net DEX-6.8M-11.9M-3.8M-5.7M-10.1M
Net VEX-9.1K-22.4K-3.8K-5.2K-21.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.005.220.070.06
Total Volume977.727386,57080700
Total OI8,260.5914,60010,7707,45110,770

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$14.99$7.0063.1%18.1%72.3%31.8%63.1%5.7%-2.6%-14.7K-5.7M-5.2K0.0787.89N/AN/A7555,5091,942
2020-06-02$14.55$7.0059.2%17.0%73.2%28.1%60.6%2.8%0.7%-21.7K-5.3M-4.9K1.7236.34N/AN/A29505,5631,947
2020-06-03$14.36$7.0060.9%17.5%69.7%29.8%58.4%7.8%-0.8%-27.3K-5.1M-4.8K0.0669.85N/AN/A3625,5451,998
2020-06-04$13.90$14.0057.5%16.9%66.3%26.5%55.5%3.1%1.8%-32.3K-4.6M-4.5K0.6332.91N/AN/A4022535,5361,996
2020-06-05$13.24$14.0060.4%17.1%66.9%29.2%60.9%7.8%-0.7%-30.6K-3.8M-4.0K0.7358.88N/AN/A88645,4962,057
2020-06-08$13.49$14.0070.2%18.4%65.8%38.6%61.8%6.1%-5.1%-33.0K-4.1M-4.1K0.3862.07N/AN/A39155,5472,085
2020-06-09$13.09$14.0069.4%17.9%64.7%37.8%64.2%6.3%-2.7%-30.5K-3.8M-3.8K0.2458.95N/AN/A3485,5682,086
2020-06-10$14.95$14.0062.5%17.9%81.0%31.2%62.1%4.3%-7.5%-30.4K-5.6M-4.3K0.2780.04N/AN/A6321685,5902,088
2020-06-11$14.89$14.0064.8%18.6%80.8%33.4%67.0%4.1%-1.7%-15.5K-5.9M-5.5K0.4776.53N/AN/A171816,1142,152
2020-06-12$14.79$14.0063.0%18.1%80.8%31.8%62.9%4.7%-2.0%-27.7K-5.8M-5.1K5.2270.13N/AN/A271416,1282,170
2020-06-15$14.77$16.0063.9%18.3%80.7%32.6%63.6%4.6%-2.0%-33.2K-5.8M-4.8K0.5573.86N/AN/A67376,1322,232
2020-06-16$14.67$15.0062.7%18.0%80.7%31.4%60.7%5.1%-1.6%-45.6K-5.7M-4.5K0.0081.44N/AN/A25406,1412,238
2020-06-17$16.99$15.0068.9%19.8%89.2%37.4%70.5%8.2%-8.0%45.4K-7.5M-4.8K0.4967.39N/AN/A1,4066865,6722,238
2020-06-18$16.34$16.0068.4%19.6%90.4%36.9%68.6%1.8%1.3%27.3K-6.6M-5.8K1.2359.71N/AN/A8571,0536,2232,658
2020-06-19$17.98$16.0075.6%21.7%93.9%43.7%74.7%2.3%-1.5%288.4K-9.0M-7.0K0.1355.82N/AN/A1,4101836,4433,320
2020-06-22$21.37$16.0077.8%22.3%107.9%45.8%77.9%2.9%-7.3%65.7K-5.7M-8.3K0.5054.94N/AN/A1,6448183,5411,059
2020-06-23$23.62$17.0088.2%25.3%110.3%55.7%88.8%2.2%-9.2%71.1K-8.2M-12.2K0.3953.63N/AN/A4,7311,8394,6231,852
2020-06-24$22.38$18.0087.7%25.1%113.4%55.2%89.6%1.3%-8.6%111.0K-7.4M-19.5K0.5447.17N/AN/A6183326,5052,437
2020-06-25$24.00$18.0087.9%25.2%109.9%55.5%88.5%-1.4%-10.5%135.8K-10.1M-20.6K0.0342.20N/AN/A1,010316,9812,506
2020-06-26$24.55$18.0094.2%27.0%109.9%61.5%94.3%0.9%-16.7%165.8K-11.8M-22.4K0.7939.24N/AN/A3302617,8352,514
2020-06-29$24.65$18.0089.6%25.7%110.2%57.1%90.0%-1.1%-9.4%171.1K-11.9M-21.8K0.3546.29N/AN/A6862377,9562,740
2020-06-30$23.68$18.0084.4%24.2%110.9%52.1%85.2%-0.7%-5.5%167.7K-10.1M-21.4K0.0648.55N/AN/A662387,9502,820