VNET Options History — July 2020 In July 2020, VNET traded between $21.69 and $29.18. ATM implied volatility averaged 82.3%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded below realized volatility by 5.8% (HV 20d: 88.1%). Max pain ranged from $18.00 to $22.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.47.
Notable Days 2020-07-29 : Highest Volume — 35,665 contracts2020-07-13 : Largest IV spike — 15.4% change2020-07-30 : Highest IV Rank — 60.9%2020-07-30 : Largest Expected Move — 26.8%Monthly Statistics Metric Avg Min Max Open Close Price $24.53 $21.69 $29.18 $25.24 $21.69 Max Pain $20.18 $18.00 $22.00 $18.00 $22.00 ATM IV 82.3% 73.7% 93.6% 80.9% 92.0% Expected Move 23.4% 21.1% 26.8% 23.2% 26.4% HV 20d 88.1% 57.2% 110.8% 110.8% 57.2% HV 60d 85.9% 84.3% 87.4% 85.7% 84.6% IV Rank 50.2% 41.9% 60.9% 48.7% 59.4% IV Percentile 83.6% 75.4% 91.3% 84.1% 90.1% Term Structure -5.4% -13.3% 3.1% -7.4% -10.4% VWIV 83.0% 62.1% 102.0% 77.9% 97.7% Skew 25d -6.8% -34.1% 5.6% 0.1% -26.9% Skew 10d -11.1% -51.2% 7.5% -3.4% -51.2% Call IV 25d 88.0% 75.5% 115.7% 80.0% 112.9% Put IV 25d 81.3% 75.2% 87.4% 80.1% 86.0% Bid-Ask Spread % 50.55 43.04 62.02 51.11 54.86 Gamma HHI 0.26 0.17 0.33 0.30 0.28 Net GEX 190.9K -132.4K 390.9K 193.1K -132.4K Net DEX -10.8M -24.7M -1.0M -12.9M -1.0M Net VEX -29.7K -102.7K -13.1K -20.5K -102.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.47 0.02 1.54 0.10 0.24 Total Volume 4,023.273 73 35,665 685 73 Total OI 17,517.955 5,688 61,011 10,815 61,011
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-07-01 $25.24 $18.00 80.9% 23.2% 110.8% 48.7% 77.9% 0.1% -7.4% 193.1K -12.9M -20.5K 0.10 51.11 N/A N/A 623 62 7,968 2,847 2020-07-02 $26.03 $19.00 73.7% 21.1% 108.5% 41.9% 74.3% -0.4% 3.1% 210.2K -14.7M -20.4K 0.24 62.02 N/A N/A 911 216 8,214 2,901 2020-07-06 $26.56 $18.00 77.6% 22.4% 104.4% 45.6% 77.5% 5.6% 0.9% 242.8K -16.0M -19.3K 0.58 53.83 N/A N/A 3,276 1,904 8,558 3,049 2020-07-07 $27.32 $18.00 76.2% 22.3% 104.3% 44.3% 80.3% 2.5% -4.8% 318.3K -18.6M -23.5K 0.04 49.45 N/A N/A 1,328 47 10,335 3,563 2020-07-08 $29.18 $18.00 82.7% 23.2% 101.8% 50.5% 81.1% -3.4% -3.6% 348.1K -24.7M -22.7K 0.90 54.30 N/A N/A 663 596 11,252 3,570 2020-07-09 $28.89 $18.00 83.2% 23.6% 97.1% 51.0% 82.6% -0.1% -4.3% 390.9K -24.1M -23.8K 0.07 49.94 N/A N/A 1,857 136 11,407 3,526 2020-07-10 $27.42 $19.00 79.8% 24.0% 101.0% 47.7% 83.3% 2.3% -6.3% 386.3K -18.4M -23.3K 0.39 51.37 N/A N/A 439 171 10,968 3,590 2020-07-13 $24.86 $19.00 92.1% 24.3% 110.2% 59.5% 84.1% 2.4% -7.3% 291.0K -12.0M -20.1K 0.56 43.04 N/A N/A 480 268 11,085 3,612 2020-07-14 $24.88 $20.00 91.1% 23.7% 110.1% 58.5% 83.2% 3.3% -5.1% 293.8K -11.6M -19.3K 0.15 43.73 N/A N/A 150 23 11,188 3,700 2020-07-15 $24.66 $20.00 81.3% 23.3% 110.2% 49.2% 83.1% 1.4% -4.1% 270.6K -11.0M -18.2K 0.52 44.20 N/A N/A 1,468 763 11,254 3,690 2020-07-16 $24.02 $20.00 81.2% 23.3% 101.9% 49.1% 81.1% -0.2% -5.9% 170.6K -9.2M -16.7K 0.94 44.96 N/A N/A 97 91 11,264 3,700 2020-07-17 $23.89 $21.00 74.5% 21.3% 100.1% 42.7% 76.1% -1.9% -2.3% 99.8K -9.0M -15.5K 0.23 53.22 N/A N/A 386 89 11,279 3,537 2020-07-20 $24.05 $21.00 75.4% 21.6% 95.9% 43.6% 62.1% 0.5% -2.9% 106.3K -5.6M -15.0K 0.02 52.49 N/A N/A 451 7 4,773 1,173 2020-07-21 $23.55 $21.00 75.8% 21.7% 76.2% 43.9% 75.6% 0.3% -2.2% 98.0K -4.8M -14.3K 0.09 51.74 N/A N/A 141 13 4,590 1,170 2020-07-22 $22.49 $21.00 74.9% 21.5% 69.3% 43.1% 75.9% 1.3% 0.0% 87.4K -3.9M -13.2K 0.14 55.30 N/A N/A 84 12 4,519 1,169 2020-07-23 $22.12 $21.00 79.7% 22.8% 66.9% 47.6% 86.5% -13.7% -6.2% 83.3K -3.9M -13.1K 0.44 45.15 N/A N/A 4,608 2,045 4,580 1,166 2020-07-24 $21.97 $22.00 82.5% 23.7% 61.5% 50.3% 88.7% -16.2% -7.8% 140.2K -5.4M -28.6K 0.75 45.99 N/A N/A 1,827 1,367 10,137 3,835 2020-07-27 $23.27 $22.00 87.9% 25.2% 64.6% 55.5% 92.1% -16.6% -13.3% 217.2K -8.6M -35.6K 0.63 51.17 N/A N/A 3,474 2,172 11,953 5,367 2020-07-28 $22.98 $22.00 86.3% 24.7% 64.7% 53.9% 84.5% -26.7% -7.9% 233.4K -9.3M -42.8K 1.54 52.28 N/A N/A 2,146 3,307 15,160 7,411 2020-07-29 $22.53 $22.00 89.1% 25.6% 63.6% 56.6% 96.7% -34.1% -10.6% 116.5K -7.3M -53.2K 0.90 47.66 N/A N/A 18,794 16,871 18,046 11,518 2020-07-30 $21.99 $22.00 93.6% 26.8% 58.9% 60.9% 102.0% -28.3% -11.4% 34.1K -5.1M -90.8K 0.78 54.19 N/A N/A 8,488 6,588 30,734 21,026 2020-07-31 $21.69 $22.00 92.0% 26.4% 57.2% 59.4% 97.7% -26.9% -10.4% -132.4K -1.0M -102.7K 0.24 54.86 N/A N/A 59 14 34,947 26,064
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