VNET Options History — August 2020

In August 2020, VNET traded between $21.01 and $26.94. ATM implied volatility averaged 92.0%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 25.2%. IV traded above realized volatility by 10.5% (HV 20d: 81.5%). Max pain ranged from $18.00 to $23.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2020-08-18: Highest Volume — 5,094 contracts
  • 2020-08-12: Largest IV drop — 23.1% change
  • 2020-08-11: Highest IV Rank — 89.5%
  • 2020-08-04: Largest Expected Move — 32.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.64$21.01$26.94$24.13$22.93
Max Pain$22.67$18.00$23.00$22.00$23.00
ATM IV92.0%72.2%123.6%100.4%79.9%
Expected Move25.2%20.7%32.9%28.8%22.9%
HV 20d81.5%69.9%99.4%69.9%92.5%
HV 60d90.1%87.0%93.9%87.0%93.2%
IV Rank59.4%40.5%89.5%67.3%47.8%
IV Percentile82.8%65.5%99.2%94.4%74.6%
Term Structure-6.1%-23.9%4.7%-15.4%-0.4%
VWIV93.1%73.5%117.5%109.5%82.2%
Skew 25d-21.0%-33.7%-6.7%-29.8%-8.6%
Skew 10d-35.1%-56.8%-14.8%-53.0%-16.1%
Call IV 25d104.4%80.0%138.7%122.6%85.7%
Put IV 25d83.4%69.2%106.5%92.8%77.2%
Bid-Ask Spread %47.3027.2758.5558.5545.53
Gamma HHI0.200.120.410.240.14
Net GEX341.4K-366.3K1.1M454.7K79.4K
Net DEX-15.0M-47.3M-283.4K-22.2M-3.7M
Net VEX-66.1K-116.1K-20.1K-99.2K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.021.250.110.53
Total Volume1,474.381905,0944521,389
Total OI53,349.04813,30473,95661,05715,167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$24.13$22.00100.4%28.8%69.9%67.3%109.5%-29.8%-15.4%454.7K-22.2M-99.2K0.1158.55N/AN/A4064634,99126,066
2020-08-04$26.60$22.00114.8%32.9%78.1%81.1%117.5%-33.7%-23.9%921.5K-41.1M-102.5K0.0653.69N/AN/A4,55029534,94026,099
2020-08-05$26.94$23.00111.1%31.9%74.2%77.6%112.1%-29.9%-16.6%1.1M-47.3M-114.5K0.1752.88N/AN/A2,35939637,95726,203
2020-08-06$25.18$18.00114.7%27.8%77.5%80.9%97.1%-29.0%-13.4%800.6K-33.9M-114.5K1.2257.36N/AN/A1,8582,26639,67726,569
2020-08-07$23.20$23.00110.1%26.3%80.5%76.6%104.7%-30.4%-2.0%271.0K-14.7M-116.1K1.0351.83N/AN/A23023840,96528,743
2020-08-10$22.94$23.00115.6%27.3%73.3%81.8%103.8%-28.2%-13.5%137.1K-13.0M-102.1K0.1751.37N/AN/A1502540,99128,909
2020-08-11$23.70$23.00123.6%27.7%74.4%89.5%101.1%-29.3%-11.8%399.1K-20.6M-102.2K0.0348.60N/AN/A87341,02528,930
2020-08-12$24.33$23.0095.0%27.2%75.0%62.3%101.3%-28.6%-9.3%654.2K-24.3M-99.4K0.1130.16N/AN/A1932241,03928,931
2020-08-13$23.90$23.0095.7%27.4%74.7%62.9%90.1%-29.4%-14.1%545.4K-21.1M-89.9K0.1946.59N/AN/A2154040,97428,948
2020-08-14$22.55$23.0092.9%26.6%77.5%60.2%110.7%-26.5%-6.9%-11.4K-7.8M-78.1K0.0541.90N/AN/A3721841,15528,964
2020-08-17$23.56$23.0093.9%26.9%79.2%61.2%100.2%-30.3%-11.7%545.0K-17.0M-65.0K0.6745.24N/AN/A855741,29728,970
2020-08-18$24.20$23.0085.7%24.6%79.4%53.4%88.0%-22.5%-3.9%1.1M-20.9M-56.8K0.1849.50N/AN/A4,30079441,29028,999
2020-08-19$22.61$23.0075.1%21.5%81.5%43.3%75.3%-13.1%4.7%-77.1K-2.7M-30.2K1.2551.65N/AN/A1,1001,37143,96229,688
2020-08-20$23.20$23.0073.1%21.0%81.7%41.4%86.4%-12.3%2.4%169.7K-4.6M-29.7K0.0253.55N/AN/A2,1514443,93129,846
2020-08-21$22.20$23.0073.7%21.1%83.3%41.9%82.5%-12.4%1.8%-366.3K-1.9M-26.1K0.0551.87N/AN/A8064344,10429,852
2020-08-24$21.59$23.0073.3%21.0%81.1%41.6%79.9%-11.8%1.1%36.5K-1.3M-22.3K0.4254.68N/AN/A191809,6563,648
2020-08-25$21.01$23.0072.2%20.7%81.4%40.5%73.5%-9.4%3.0%13.4K-283.4K-20.1K0.3639.98N/AN/A8503049,7513,722
2020-08-26$24.49$23.0078.0%22.4%98.5%46.0%80.9%-10.3%-0.8%152.8K-6.9M-31.5K0.2339.67N/AN/A1,77240110,4983,846
2020-08-27$23.47$23.0076.0%21.8%99.4%44.1%78.5%-8.4%1.6%121.9K-5.0M-29.6K0.2827.27N/AN/A70719910,9653,996
2020-08-28$23.78$23.0077.5%22.2%99.3%45.6%80.8%-6.7%0.6%129.9K-5.6M-30.8K0.2641.42N/AN/A43511410,9354,131
2020-08-31$22.93$23.0079.9%22.9%92.5%47.8%82.2%-8.6%-0.4%79.4K-3.7M-26.7K0.5345.53N/AN/A90848110,9304,237