VNET Options History — December 2020

In December 2020, VNET traded between $27.47 and $34.70. ATM implied volatility averaged 66.3%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 12.5% (HV 20d: 78.8%). Max pain ranged from $20.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2020-12-17: Highest Volume — 6,199 contracts
  • 2020-12-21: Largest IV spike — 8.2% change
  • 2020-12-21: Highest IV Rank — 37.4%
  • 2020-12-21: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.30$27.47$34.70$27.80$34.40
Max Pain$26.09$20.00$29.00$20.00$29.00
ATM IV66.3%64.2%69.5%69.1%64.4%
Expected Move18.8%18.3%19.9%19.8%18.5%
HV 20d78.8%53.6%95.2%95.2%54.1%
HV 60d67.4%65.8%69.1%68.5%67.8%
IV Rank33.5%28.7%37.4%37.0%28.7%
IV Percentile28.1%21.4%36.9%36.5%21.4%
Term Structure1.5%-2.7%5.3%-2.6%0.1%
VWIV66.5%64.2%69.7%69.2%64.2%
Skew 25d-1.9%-5.2%0.6%-1.6%-5.2%
Skew 10d-4.2%-11.0%-0.3%-4.6%-7.1%
Call IV 25d67.5%64.7%71.7%71.0%66.7%
Put IV 25d65.6%61.5%69.4%69.4%61.5%
Bid-Ask Spread %46.7230.0366.5962.2930.57
Gamma HHI0.240.200.370.230.27
Net GEX426.9K233.7K645.4K246.0K515.6K
Net DEX-13.7M-26.2M-9.1M-10.2M-16.7M
Net VEX-47.6K-62.2K-26.8K-27.6K-59.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.009.151.240.01
Total Volume1,240.6822626,199450437
Total OI13,929.68210,62618,93610,62612,957

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$27.80$20.0069.1%19.8%95.2%37.0%69.2%-1.6%-2.6%246.0K-10.2M-27.6K1.2462.29N/AN/A2012497,8212,805
2020-12-02$27.72$20.0069.1%19.8%95.0%37.0%69.7%-3.5%-2.7%239.6K-9.9M-26.8K5.3666.59N/AN/A1437677,7852,890
2020-12-03$27.78$26.0068.0%18.3%93.6%36.0%66.5%-0.2%3.9%233.7K-9.5M-29.9K0.5247.07N/AN/A2,0241,0547,7673,568
2020-12-04$27.97$26.0066.3%18.4%93.1%34.3%68.0%0.6%3.7%296.6K-10.0M-42.6K0.0443.94N/AN/A391179,7444,603
2020-12-07$27.47$26.0067.4%18.5%92.9%35.4%67.7%-1.5%3.2%295.4K-9.1M-40.5K0.0646.76N/AN/A826529,9144,616
2020-12-08$28.84$26.0068.6%18.4%80.0%36.5%66.4%-2.2%3.2%380.6K-12.5M-42.6K0.5144.62N/AN/A46723810,1504,608
2020-12-09$28.31$26.0065.7%18.8%79.2%33.7%65.5%-0.5%4.3%375.8K-11.4M-43.4K0.1245.02N/AN/A91511010,3484,696
2020-12-10$28.68$26.0066.0%18.9%78.8%34.0%65.3%0.3%5.3%408.5K-12.7M-44.0K0.1146.25N/AN/A3413910,5644,723
2020-12-11$28.51$27.0066.0%18.9%78.8%34.0%67.3%-0.7%4.9%416.3K-12.3M-43.2K0.0342.52N/AN/A4671410,5674,749
2020-12-14$29.93$27.0066.1%19.0%79.9%34.1%66.2%-0.7%3.2%492.1K-16.8M-43.0K0.1149.75N/AN/A1,13113010,8734,760
2020-12-15$28.57$26.0065.7%18.8%81.4%33.7%67.8%-0.7%2.2%569.2K-13.7M-42.5K0.0451.15N/AN/A9773911,4834,756
2020-12-16$27.76$26.0065.5%18.8%79.4%33.5%64.9%-0.1%4.5%548.9K-10.7M-40.1K0.0065.66N/AN/A2,340711,6364,783
2020-12-17$30.80$26.0064.8%18.6%86.0%32.8%66.3%-3.1%-1.1%610.6K-20.9M-42.9K0.0144.61N/AN/A6,1227711,8424,783
2020-12-18$31.69$26.0064.2%18.4%85.4%32.3%65.0%-3.1%1.4%645.4K-26.2M-53.7K0.0346.78N/AN/A3,0349214,1414,795
2020-12-21$32.12$26.0069.5%19.9%85.4%37.4%69.6%-1.4%-1.5%403.5K-13.0M-62.0K0.0144.62N/AN/A1,299199,5012,819
2020-12-22$33.13$26.0067.3%19.3%85.5%35.2%67.2%-4.0%0.0%438.9K-14.9M-62.2K0.0239.61N/AN/A830199,4932,830
2020-12-23$32.47$26.0065.2%18.7%86.3%33.2%65.5%-2.4%1.5%429.8K-13.3M-61.7K0.0951.83N/AN/A638579,4882,832
2020-12-24$32.30$26.0064.4%18.5%58.1%29.6%64.8%-0.9%0.4%429.8K-12.7M-60.6K9.1530.03N/AN/A484399,4562,884
2020-12-28$32.36$29.0065.0%18.6%58.0%29.3%65.3%-3.4%-0.6%439.7K-12.6M-59.5K0.1835.92N/AN/A258479,4653,269
2020-12-29$33.39$29.0066.3%19.0%53.6%30.6%66.2%-2.0%-0.7%470.1K-14.6M-59.7K1.3259.18N/AN/A1131499,4683,306
2020-12-30$34.70$29.0065.1%18.7%53.8%29.4%64.8%-4.2%-0.2%506.3K-17.8M-59.6K0.0233.11N/AN/A665139,4753,440
2020-12-31$34.40$29.0064.4%18.5%54.1%28.7%64.2%-5.2%0.1%515.6K-16.7M-59.0K0.0130.57N/AN/A43169,5033,454