VNET Options History — November 2020

In November 2020, VNET traded between $22.64 and $29.99. ATM implied volatility averaged 74.2%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 7.5% (HV 20d: 66.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-11-25: Highest Volume — 6,526 contracts
  • 2020-11-04: Largest IV drop — 13.1% change
  • 2020-11-03: Highest IV Rank — 54.2%
  • 2020-11-03: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.88$22.64$29.99$23.11$28.23
Max Pain$19.85$19.00$20.00$20.00$20.00
ATM IV74.2%65.8%86.8%85.1%70.6%
Expected Move21.3%19.3%24.9%24.4%20.2%
HV 20d66.6%46.3%94.8%46.3%94.8%
HV 60d65.0%59.0%68.7%63.0%68.5%
IV Rank41.9%33.8%54.2%52.5%38.5%
IV Percentile56.2%32.9%82.1%80.6%40.1%
Term Structure-4.5%-10.9%-1.0%-8.9%-2.5%
VWIV75.1%67.2%89.4%89.4%71.1%
Skew 25d0.9%-2.5%3.4%2.8%-2.5%
Skew 10d0.7%-8.9%6.4%5.6%-4.7%
Call IV 25d74.3%68.5%86.9%85.2%72.9%
Put IV 25d75.2%68.1%88.0%88.0%70.4%
Bid-Ask Spread %52.4929.8065.7743.2365.51
Gamma HHI0.210.100.270.270.23
Net GEX191.2K114.9K271.3K178.2K256.6K
Net DEX-9.6M-13.7M-4.8M-7.6M-11.2M
Net VEX-18.8K-29.2K-15.3K-19.4K-29.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.004.591.540.89
Total Volume1,403.15336,52633895
Total OI8,916.556,38711,0157,84910,822

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$23.11$20.0085.1%24.4%46.3%52.5%89.4%2.8%-8.9%178.2K-7.6M-19.4K1.5443.23N/AN/A13206,8371,012
2020-11-03$23.82$20.0086.8%24.9%47.4%54.2%88.5%-0.3%-10.9%181.6K-8.6M-19.0K0.0047.06N/AN/A6706,8371,012
2020-11-04$25.04$20.0075.4%21.6%48.1%43.1%77.4%1.8%-1.0%189.8K-10.3M-18.6K4.5954.31N/AN/A442026,8841,077
2020-11-05$25.85$19.0071.5%20.7%46.3%39.3%72.7%0.7%-1.3%180.9K-11.5M-18.1K0.1055.85N/AN/A124136,8931,269
2020-11-06$26.64$19.0065.8%20.2%46.9%33.8%71.0%1.6%-1.8%179.2K-12.5M-16.9K0.0257.05N/AN/A2,094406,8391,275
2020-11-09$23.38$19.0071.6%20.5%67.8%39.4%72.1%1.7%-2.5%156.2K-5.9M-15.3K0.3359.22N/AN/A8422805,9131,315
2020-11-10$22.64$20.0074.9%20.9%68.6%42.6%73.2%0.8%-2.8%142.1K-4.8M-15.6K0.3355.62N/AN/A224746,0241,572
2020-11-11$23.40$20.0074.1%21.3%69.4%41.9%74.7%2.4%-4.3%157.2K-5.9M-16.0K0.0355.92N/AN/A2,213716,1721,638
2020-11-12$23.91$20.0074.3%21.3%69.7%42.0%74.0%3.1%-4.8%215.3K-9.9M-19.6K0.0158.06N/AN/A1,12667,9041,688
2020-11-13$24.54$20.0073.0%20.9%67.7%40.8%75.6%3.4%-2.9%252.6K-13.1M-20.8K0.5058.94N/AN/A159808,9081,693
2020-11-16$23.91$20.0075.6%21.7%68.3%43.4%75.0%1.2%-6.5%250.3K-11.8M-19.6K0.1636.98N/AN/A4578,9261,725
2020-11-17$22.68$20.0074.3%21.3%69.8%42.0%73.2%1.4%-4.6%200.3K-9.4M-18.9K0.0065.77N/AN/A3,05368,9381,728
2020-11-18$22.70$20.0075.5%21.7%67.6%43.3%79.1%0.7%-5.8%146.2K-8.0M-17.0K0.0064.27N/AN/A1,10408,1901,731
2020-11-19$23.75$20.0075.4%21.6%68.4%43.1%74.1%0.7%-6.0%229.5K-11.6M-18.1K0.0359.40N/AN/A10539,2221,731
2020-11-20$24.21$20.0072.3%20.7%68.0%40.1%73.3%-0.1%-4.5%200.3K-12.5M-17.3K0.1039.99N/AN/A4,0433859,2871,728
2020-11-23$24.85$20.0076.4%21.9%67.2%44.1%76.3%0.5%-7.7%114.9K-5.9M-16.1K0.0258.14N/AN/A724155,0311,356
2020-11-24$24.94$20.0074.9%21.5%67.0%42.7%75.3%0.8%-5.1%122.2K-5.9M-16.7K0.3250.69N/AN/A1,4274515,2871,486
2020-11-25$29.99$20.0068.3%19.6%91.5%36.2%67.2%-0.4%-3.9%199.9K-12.6M-18.6K0.2929.80N/AN/A5,0731,4536,2392,026
2020-11-27$29.98$20.0067.4%19.3%91.5%35.3%68.7%-1.4%-1.5%271.3K-13.7M-25.0K0.3534.04N/AN/A1,1714117,6072,509
2020-11-30$28.23$20.0070.6%20.2%94.8%38.5%71.1%-2.5%-2.5%256.6K-11.2M-29.2K0.8965.51N/AN/A4744217,9822,840