VNET Options History — January 2021

In January 2021, VNET traded between $33.57 and $41.81. ATM implied volatility averaged 69.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 17.3% (HV 20d: 52.0%). Max pain ranged from $28.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-01-08: Highest Volume — 2,844 contracts
  • 2021-01-13: Largest IV drop — 18.7% change
  • 2021-01-04: Highest IV Rank — 36.8%
  • 2021-01-29: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.08$33.57$41.81$33.57$37.75
Max Pain$32.11$28.00$35.00$28.00$35.00
ATM IV69.3%63.3%79.4%72.3%77.6%
Expected Move19.2%18.1%22.2%19.0%22.2%
HV 20d52.0%35.6%72.0%55.4%71.1%
HV 60d68.3%66.2%74.2%67.7%74.2%
IV Rank23.5%13.6%36.8%36.8%30.4%
IV Percentile36.1%15.5%70.6%48.0%67.1%
Term Structure4.8%0.6%6.8%4.8%0.6%
VWIV67.2%62.8%77.6%66.2%77.6%
Skew 25d-2.4%-4.2%-1.0%-1.0%-1.0%
Skew 10d-6.0%-10.9%-3.0%-3.0%-4.9%
Call IV 25d68.9%65.6%78.0%67.3%77.6%
Put IV 25d66.6%62.5%76.6%66.4%76.6%
Bid-Ask Spread %42.8822.0260.7222.4053.14
Gamma HHI0.230.100.510.270.13
Net GEX369.9K129.4K696.9K505.1K224.6K
Net DEX-18.5M-31.6M-9.5M-14.8M-14.2M
Net VEX-66.2K-95.4K-53.2K-56.4K-95.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.011.160.380.02
Total Volume956.1051312,8441,641131
Total OI12,792.8958,81815,02112,97414,030

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$33.57$28.0072.3%19.0%55.4%36.8%66.2%-1.0%4.8%505.1K-14.8M-56.4K0.3822.40N/AN/A1,1914509,5173,457
2021-01-05$34.41$30.0070.3%19.2%55.7%30.2%66.7%-1.5%4.7%511.3K-15.8M-56.5K0.5222.02N/AN/A187979,1683,879
2021-01-06$34.12$30.0069.6%18.8%55.1%29.4%65.8%-1.8%5.0%520.4K-14.9M-55.6K1.1430.27N/AN/A2202519,1773,976
2021-01-07$34.87$30.0068.9%18.8%53.5%28.7%65.4%-2.0%5.9%554.1K-16.6M-55.8K0.2925.96N/AN/A3721079,2694,038
2021-01-08$37.23$30.0066.8%18.3%55.9%21.2%63.8%-2.4%6.8%516.2K-22.7M-53.2K0.0532.29N/AN/A2,7021429,2714,136
2021-01-11$37.30$30.0073.6%18.9%56.1%29.2%66.3%-2.3%5.0%610.8K-25.3M-60.8K0.0136.31N/AN/A1,7621810,9564,065
2021-01-12$38.69$30.0079.4%19.0%56.2%35.9%67.3%-2.4%4.9%539.1K-28.5M-57.0K0.0445.68N/AN/A1,1404910,7374,074
2021-01-13$39.48$30.0064.5%18.5%54.8%18.6%63.9%-2.9%4.9%481.4K-30.9M-55.4K0.5445.19N/AN/A1176310,8674,116
2021-01-14$39.96$31.0065.0%18.6%50.0%19.1%65.3%-1.8%4.1%548.4K-31.6M-55.0K0.2041.43N/AN/A2034010,7004,166
2021-01-15$39.55$32.0063.3%18.1%48.2%16.7%62.8%-3.8%6.4%696.9K-28.0M-53.7K0.2649.21N/AN/A3238510,2504,195
2021-01-19$40.16$32.0064.4%18.5%35.8%14.9%63.2%-4.2%6.7%141.4K-12.1M-54.3K1.1632.74N/AN/A1361585,3323,486
2021-01-20$40.25$33.0065.1%18.7%35.6%15.0%65.1%-4.1%5.9%132.2K-11.9M-54.6K0.6654.49N/AN/A126835,3253,644
2021-01-21$39.14$34.0063.9%18.3%38.3%13.6%63.0%-3.3%6.6%129.4K-10.8M-55.1K0.2932.61N/AN/A2,0746005,3713,698
2021-01-22$41.66$35.0065.7%18.8%42.0%15.7%64.0%-2.1%6.3%183.3K-16.2M-74.4K0.0660.16N/AN/A1,449887,1124,242
2021-01-25$41.81$35.0067.5%19.4%40.5%18.0%67.4%-2.8%5.8%211.5K-18.6M-93.4K0.2060.72N/AN/A279568,2524,300
2021-01-26$40.32$35.0068.1%19.5%43.7%18.7%67.8%-1.3%3.4%207.7K-16.7M-93.3K0.1159.95N/AN/A528568,4074,347
2021-01-27$35.22$35.0076.4%21.9%67.9%28.9%77.1%-1.4%1.4%141.0K-9.5M-87.0K0.2653.11N/AN/A1,1933108,2964,403
2021-01-28$38.00$35.0074.0%21.2%72.0%25.9%77.4%-2.8%2.6%172.9K-13.1M-90.8K0.0257.05N/AN/A1,356248,3324,474
2021-01-29$37.75$35.0077.6%22.2%71.1%30.4%77.6%-1.0%0.6%224.6K-14.2M-95.4K0.0253.14N/AN/A12839,5324,498