VNET Options History — October 2020

In October 2020, VNET traded between $22.43 and $25.64. ATM implied volatility averaged 73.3%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 22.6% (HV 20d: 50.7%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2020-10-16: Highest Volume — 2,290 contracts
  • 2020-10-12: Largest IV spike — 14.2% change
  • 2020-10-30: Highest IV Rank — 51.1%
  • 2020-10-30: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.41$22.43$25.64$23.71$22.93
Max Pain$21.59$20.00$23.00$21.00$23.00
ATM IV73.3%62.9%83.6%72.3%83.6%
Expected Move21.6%20.6%24.0%20.7%24.0%
HV 20d50.7%46.8%58.4%58.4%47.0%
HV 60d71.1%65.2%74.1%73.8%65.2%
IV Rank41.2%31.0%51.1%40.8%51.1%
IV Percentile59.9%39.7%79.4%58.7%79.4%
Term Structure0.5%-7.0%5.5%5.5%-7.0%
VWIV75.5%72.3%86.9%72.3%86.9%
Skew 25d-0.3%-4.2%3.8%-4.2%3.8%
Skew 10d-1.0%-31.8%23.9%-13.2%4.3%
Call IV 25d76.3%72.1%81.7%76.3%81.7%
Put IV 25d76.0%72.0%85.5%72.1%85.5%
Bid-Ask Spread %41.7228.2655.9651.8846.41
Gamma HHI0.220.170.320.170.21
Net GEX123.6K85.5K196.1K90.9K106.9K
Net DEX-4.0M-6.4M-2.4M-3.3M-3.8M
Net VEX-15.5K-18.0K-12.5K-12.5K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.001.911.060.02
Total Volume464.091202,2906012,173
Total OI5,330.5913,9245,8673,9245,867

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$23.71$21.0072.3%20.7%58.4%40.8%72.3%-4.2%5.5%90.9K-3.3M-12.5K1.0651.88N/AN/A2923093,439485
2020-10-02$22.92$22.0075.2%21.6%56.6%43.6%77.3%-2.4%4.2%88.5K-2.8M-13.7K0.5355.96N/AN/A47253,591780
2020-10-05$22.43$20.0071.3%22.3%56.8%39.9%77.9%-0.1%0.7%85.5K-2.4M-12.7K0.2928.26N/AN/A3193,615793
2020-10-06$22.51$20.0072.7%22.6%50.3%41.1%78.4%1.2%-0.2%87.7K-2.4M-12.6K0.0728.35N/AN/A2923,607794
2020-10-07$23.53$20.0069.5%21.4%52.3%37.4%74.3%-1.9%1.9%99.9K-3.1M-13.1K0.0739.02N/AN/A1,044703,608795
2020-10-08$22.61$20.0066.7%21.5%53.7%34.7%75.2%-1.7%2.2%128.1K-3.3M-15.6K0.0234.51N/AN/A19834,609843
2020-10-09$23.01$20.0062.9%20.9%53.9%31.0%73.5%-0.1%4.1%144.7K-3.8M-16.3K0.6832.95N/AN/A25174,746844
2020-10-12$23.19$20.0071.8%21.2%50.6%39.6%73.1%0.2%0.6%158.4K-4.0M-15.6K0.2445.35N/AN/A109264,743830
2020-10-13$23.44$20.0068.0%21.2%50.6%35.9%74.4%0.6%1.8%168.0K-4.2M-15.7K0.1138.19N/AN/A1824,764839
2020-10-14$23.00$20.0072.9%20.9%48.1%40.7%73.8%-1.1%1.8%174.9K-3.7M-15.0K0.4437.02N/AN/A2871274,776841
2020-10-15$22.89$22.0074.0%21.2%48.2%41.8%73.6%-0.5%1.4%196.1K-3.5M-14.8K0.0137.72N/AN/A24524,797869
2020-10-16$24.14$22.0074.0%21.2%49.2%41.8%73.5%-0.7%-0.3%128.5K-4.8M-15.1K0.0142.04N/AN/A2,269214,680870
2020-10-19$23.85$22.0074.3%21.3%47.8%42.1%74.8%0.0%-0.3%117.1K-5.0M-17.1K0.2541.94N/AN/A135344,656744
2020-10-20$24.57$22.0074.4%21.3%48.5%42.2%74.0%-0.3%1.7%121.7K-5.5M-17.4K1.9142.32N/AN/A551054,655776
2020-10-21$25.64$23.0073.1%21.0%46.8%40.9%73.2%-2.1%0.8%125.9K-6.4M-17.7K0.0246.24N/AN/A613124,706879
2020-10-22$24.54$23.0074.3%21.3%49.9%42.1%74.8%-0.1%0.2%131.8K-5.7M-18.0K0.0147.62N/AN/A20134,949880
2020-10-23$23.82$23.0071.9%20.6%51.7%39.7%72.3%-0.1%1.6%128.0K-5.1M-17.0K0.0947.43N/AN/A713624,954883
2020-10-26$23.01$23.0075.5%21.6%49.2%43.2%73.8%1.2%-1.1%109.9K-3.7M-15.2K0.0440.08N/AN/A292134,627930
2020-10-27$23.38$23.0074.5%21.3%47.9%42.2%75.2%-0.9%-0.8%113.5K-4.0M-15.4K0.2442.67N/AN/A317774,585936
2020-10-28$22.64$23.0080.1%23.0%49.2%47.7%81.0%1.1%-3.9%103.1K-3.6M-17.3K0.4646.04N/AN/A111514,845996
2020-10-29$23.21$23.0079.4%22.8%48.3%47.0%77.4%0.7%-4.5%110.2K-4.0M-17.4K0.0045.90N/AN/A3604,8241,023
2020-10-30$22.93$23.0083.6%24.0%47.0%51.1%86.9%3.8%-7.0%106.9K-3.8M-17.0K0.0246.41N/AN/A2,126474,8441,023