VNET Options History — September 2021

In September 2021, VNET traded between $16.74 and $22.04. ATM implied volatility averaged 69.7%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded below realized volatility by 14.8% (HV 20d: 84.5%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2021-09-15: Highest Volume — 1,473 contracts
  • 2021-09-20: Largest IV spike — 15.4% change
  • 2021-09-20: Highest IV Rank — 69.7%
  • 2021-09-20: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.31$16.74$22.04$20.81$17.39
Max Pain$18.43$17.00$20.00$20.00$17.00
ATM IV69.7%64.5%79.0%67.9%66.4%
Expected Move20.0%18.5%22.7%19.5%19.0%
HV 20d84.5%63.8%95.2%87.6%63.8%
HV 60d81.8%79.8%83.9%80.1%83.1%
IV Rank46.7%33.7%69.7%42.0%38.3%
IV Percentile50.7%28.2%87.3%42.1%37.7%
Term Structure-0.9%-6.6%2.0%1.8%2.0%
VWIV70.6%64.3%78.6%70.3%64.3%
Skew 25d4.3%0.6%6.8%3.3%6.3%
Skew 10d8.6%-0.6%18.5%3.7%11.2%
Call IV 25d68.9%62.4%75.9%71.0%65.6%
Put IV 25d73.2%69.2%81.8%74.3%71.9%
Bid-Ask Spread %48.1330.4281.2481.2458.01
Gamma HHI0.150.110.260.230.12
Net GEX153.5K19.7K367.9K233.8K115.8K
Net DEX-11.0M-21.3M-4.7M-16.2M-6.0M
Net VEX-69.4K-91.4K-51.8K-89.5K-55.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.016.390.030.24
Total Volume363571,4731,19082
Total OI27,395.71414,05537,71335,71815,738

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$20.81$20.0067.9%19.5%87.6%42.0%70.3%3.3%1.8%233.8K-16.2M-89.5K0.0381.24N/AN/A1,1563429,0126,706
2021-09-02$20.44$19.0067.0%19.9%88.0%39.8%69.1%0.6%0.3%205.8K-14.8M-85.4K0.4638.74N/AN/A1386329,0476,708
2021-09-03$21.77$17.0067.7%20.2%88.9%41.6%70.4%4.7%-4.3%326.0K-19.8M-91.4K0.0534.62N/AN/A2871529,4406,689
2021-09-07$22.04$17.0073.0%20.1%88.5%54.7%70.0%4.8%-1.5%367.9K-21.3M-89.3K0.2940.70N/AN/A2808129,7096,736
2021-09-08$20.80$17.0070.2%20.1%91.5%47.7%70.9%2.8%-2.0%245.9K-16.0M-84.3K0.3230.42N/AN/A1003229,7776,732
2021-09-09$21.53$17.0072.2%20.7%92.0%52.8%72.1%4.4%-3.0%278.0K-18.9M-83.2K0.4938.67N/AN/A1808829,9396,754
2021-09-10$21.19$17.0071.0%20.3%92.2%49.7%71.0%3.2%-3.0%263.4K-17.8M-82.0K0.0335.36N/AN/A8362629,9106,757
2021-09-13$20.97$18.0072.7%20.9%92.4%54.1%72.6%2.2%-2.9%177.7K-16.6M-76.8K0.3544.52N/AN/A712530,0006,834
2021-09-14$20.00$19.0072.2%20.7%91.7%52.7%72.7%2.4%-2.3%118.8K-12.6M-72.7K0.4333.74N/AN/A1044530,7926,846
2021-09-15$19.22$19.0070.8%20.3%86.0%49.3%70.1%4.2%-0.8%40.5K-8.8M-68.6K0.3749.73N/AN/A1,07439930,8126,852
2021-09-16$19.10$19.0068.9%19.7%86.1%44.5%73.0%4.5%1.9%19.7K-7.5M-66.0K0.4244.17N/AN/A401730,8506,863
2021-09-17$19.44$19.0068.5%19.6%85.2%43.5%68.7%5.9%-1.3%95.1K-6.8M-62.6K0.2544.18N/AN/A59314630,1966,941
2021-09-20$17.41$19.0079.0%22.7%95.2%69.7%78.6%5.9%-6.6%78.0K-5.8M-55.4K0.9653.62N/AN/A17216512,1151,940
2021-09-21$17.72$19.0071.6%20.5%95.1%51.3%75.3%4.9%-1.2%96.6K-6.3M-57.3K0.1955.81N/AN/A621212,5772,004
2021-09-22$18.49$19.0068.9%19.8%87.1%44.6%68.7%4.6%1.1%103.9K-7.4M-61.4K0.0858.51N/AN/A1731312,5882,159
2021-09-23$18.02$19.0064.5%18.5%79.9%33.7%70.6%6.8%1.3%100.8K-6.4M-57.4K6.3948.48N/AN/A4126212,6372,166
2021-09-24$17.69$19.0065.6%18.8%79.9%36.3%67.1%4.7%0.4%97.9K-6.1M-56.5K0.5463.52N/AN/A542912,7122,179
2021-09-27$17.70$19.0067.6%19.4%70.0%41.3%69.9%4.7%0.3%94.0K-6.0M-56.1K2.9467.10N/AN/A3610612,7362,418
2021-09-28$16.94$19.0070.1%20.1%68.4%47.6%69.8%5.8%1.2%83.8K-5.1M-53.4K0.0142.86N/AN/A517312,7652,446
2021-09-29$16.74$19.0068.9%19.8%65.1%44.6%68.4%4.7%0.4%80.5K-4.7M-51.8K0.6546.64N/AN/A402612,7662,462
2021-09-30$17.39$17.0066.4%19.0%63.8%38.3%64.3%6.3%2.0%115.8K-6.0M-55.1K0.2458.01N/AN/A661613,2742,464