VNET Options History — September 2020

In September 2020, VNET traded between $20.15 and $24.47. ATM implied volatility averaged 75.4%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 3.6% (HV 20d: 79.0%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2020-09-04: Highest Volume — 942 contracts
  • 2020-09-09: Largest IV drop — 7.1% change
  • 2020-09-08: Highest IV Rank — 51.7%
  • 2020-09-08: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.65$20.15$24.47$24.47$22.88
Max Pain$20.33$20.00$23.00$23.00$21.00
ATM IV75.4%69.7%83.9%82.9%71.7%
Expected Move21.7%20.0%24.4%23.8%20.6%
HV 20d79.0%57.9%89.1%88.5%58.4%
HV 60d82.9%73.7%94.1%93.9%74.8%
IV Rank43.5%38.1%51.7%50.7%40.2%
IV Percentile64.8%54.0%78.6%77.8%56.0%
Term Structure3.7%-0.6%7.2%-0.2%4.6%
VWIV77.2%70.7%86.5%83.6%73.2%
Skew 25d-5.0%-10.5%-1.6%-10.5%-5.0%
Skew 10d-8.7%-19.3%-2.6%-18.1%-10.7%
Call IV 25d80.1%73.8%90.3%89.6%76.3%
Put IV 25d75.1%69.5%84.6%79.1%71.3%
Bid-Ask Spread %39.4716.2454.8944.2754.89
Gamma HHI0.200.140.390.140.18
Net GEX8.3K-166.5K164.2K164.2K80.9K
Net DEX-977.7K-7.2M3.0M-7.2M-2.8M
Net VEX-14.8K-30.5K-8.9K-30.5K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.018.420.180.04
Total Volume209.42918942160315
Total OI11,613.0483,29516,78116,1723,790

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$24.47$23.0082.9%23.8%88.5%50.7%83.6%-10.5%-0.2%164.2K-7.2M-30.5K0.1844.27N/AN/A1362411,5504,622
2020-09-02$23.54$23.0081.4%23.3%89.1%49.3%86.0%-8.8%0.8%111.4K-5.1M-28.7K0.0151.31N/AN/A147111,6804,675
2020-09-03$22.36$20.0081.2%23.9%87.8%49.1%86.1%-5.7%2.8%52.3K-2.7M-25.8K0.4416.98N/AN/A36015811,7114,675
2020-09-04$22.80$20.0079.5%23.8%83.4%47.4%83.8%-6.4%1.2%44.5K-3.1M-24.9K0.0118.05N/AN/A9301211,7584,826
2020-09-08$21.23$20.0083.9%24.4%87.1%51.7%86.5%-5.7%-0.6%-30.1K126.4K-18.8K0.1016.24N/AN/A1151211,9554,826
2020-09-09$21.17$20.0078.0%22.4%86.0%46.0%84.0%-3.6%3.0%-69.3K825.6K-16.8K0.3822.99N/AN/A1837011,9534,825
2020-09-10$20.65$20.0078.1%22.4%85.4%46.1%79.1%-4.1%2.5%-79.9K1.9M-14.6K0.0633.01N/AN/A17111,8814,779
2020-09-11$20.64$20.0074.7%21.4%85.4%42.9%75.2%-5.3%2.2%-99.7K2.3M-13.0K0.2633.35N/AN/A381011,8944,768
2020-09-14$21.81$20.0072.0%20.6%85.9%40.3%70.8%-5.3%7.2%-137.1K529.4K-13.7K8.4244.25N/AN/A3327811,8894,770
2020-09-15$21.75$20.0072.7%20.8%84.2%41.0%73.7%-5.7%5.4%-166.5K1.0M-12.2K0.9041.58N/AN/A595311,9014,643
2020-09-16$20.80$20.0071.6%20.5%84.6%39.9%73.2%-4.6%5.4%-96.8K2.6M-10.3K0.3344.35N/AN/A1204011,9234,594
2020-09-17$20.73$20.0071.9%20.6%81.5%40.2%73.3%-2.3%6.3%-78.3K3.0M-9.6K0.1139.44N/AN/A1151311,8864,614
2020-09-18$21.68$20.0069.7%20.0%82.7%38.1%70.7%-4.3%4.8%57.9K1.2M-9.8K3.6342.59N/AN/A5419611,8994,205
2020-09-21$21.04$20.0073.6%21.1%81.9%41.8%75.2%-1.6%3.9%54.1K-1.7M-8.9K0.3739.65N/AN/A2821042,949346
2020-09-22$21.29$20.0072.1%20.7%81.5%40.4%73.0%-2.7%5.2%59.5K-2.0M-10.6K0.1444.75N/AN/A2843,205442
2020-09-23$20.47$20.0074.7%21.4%82.1%42.9%76.4%-6.6%4.2%53.0K-1.6M-10.0K0.0443.47N/AN/A11553,212443
2020-09-24$20.15$20.0073.7%21.1%58.5%41.9%75.8%-6.7%4.5%50.7K-1.5M-9.7K0.6740.45N/AN/A45303,226445
2020-09-25$20.53$20.0072.4%20.8%57.9%40.7%73.7%-2.5%5.2%55.4K-1.6M-9.8K0.3750.52N/AN/A27103,230443
2020-09-28$21.89$20.0072.6%20.8%62.9%40.9%73.5%-3.3%6.1%68.8K-2.2M-10.7K0.0253.94N/AN/A11123,235453
2020-09-29$22.69$20.0074.1%21.2%63.2%42.5%74.6%-3.9%3.4%79.2K-2.6M-11.4K0.2452.89N/AN/A117283,302451
2020-09-30$22.88$21.0071.7%20.6%58.4%40.2%73.2%-5.0%4.6%80.9K-2.8M-11.6K0.0454.89N/AN/A302133,318472