VNET Options History — September 2022

In September 2022, VNET traded between $4.34 and $6.20. ATM implied volatility averaged 94.3%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 25.4%. IV traded above realized volatility by 8.3% (HV 20d: 86.0%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2022-09-13: Highest Volume — 9,491 contracts
  • 2022-09-14: Largest IV drop — 40.5% change
  • 2022-09-13: Highest IV Rank — 100.0%
  • 2022-09-09: Largest Expected Move — 28.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.50$4.34$6.20$5.29$5.54
Max Pain$4.71$4.00$5.00$5.00$5.00
ATM IV94.3%77.6%147.6%91.6%94.4%
Expected Move25.4%22.3%28.8%26.3%27.1%
HV 20d86.0%48.3%100.5%48.3%100.5%
HV 60d73.2%67.0%76.8%67.6%76.5%
IV Rank36.4%15.8%100.0%34.0%36.0%
IV Percentile38.5%11.9%100.0%36.9%45.2%
Term Structure-0.7%-30.3%9.3%2.4%0.8%
VWIV85.7%71.3%100.2%95.7%82.2%
Skew 25d-8.6%-37.0%2.4%-25.9%-10.6%
Skew 10d-17.9%-52.1%10.7%-35.4%-11.8%
Call IV 25d90.5%78.7%106.1%106.1%90.5%
Put IV 25d81.9%63.7%95.9%80.2%79.9%
Bid-Ask Spread %46.2629.0471.5771.5746.53
Gamma HHI0.290.160.800.270.18
Net GEX27.2K2.2K94.1K39.6K2.2K
Net DEX-1.1M-2.4M67.4K-1.3M-583.1K
Net VEX-6.4K-7.6K-4.4K-7.3K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.001.600.000.42
Total Volume1,584.857159,491161,855
Total OI21,074.33312,56331,74726,04015,600

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$5.29$5.0091.6%26.3%48.3%34.0%95.7%-25.9%2.4%39.6K-1.3M-7.3K0.0071.57N/AN/A16022,4293,611
2022-09-02$4.95$5.0093.1%26.7%53.6%35.9%92.4%-37.0%-8.1%27.2K-636.0K-6.5K0.0147.66N/AN/A163222,4243,611
2022-09-06$4.50$4.0092.6%23.3%62.9%35.2%88.7%-14.5%8.8%13.2K-37.3K-5.1K1.5763.74N/AN/A6861,07722,4283,611
2022-09-07$4.57$4.00109.6%28.5%63.1%56.5%100.2%-13.2%-3.8%13.2K-64.1K-5.0K0.9052.90N/AN/A1,5351,38022,3853,606
2022-09-08$4.34$4.0087.8%26.0%64.3%29.2%0.0%-3.5%-2.4%7.8K67.4K-4.4K0.0065.75N/AN/A15022,4983,224
2022-09-09$4.57$4.0097.8%28.8%67.1%41.7%0.0%-7.4%-2.7%15.3K-193.7K-4.7K0.1755.69N/AN/A23422,5093,224
2022-09-12$4.70$4.00134.8%27.4%68.2%88.1%94.3%-6.5%-4.2%17.3K-275.7K-4.7K0.3054.41N/AN/A331022,5723,227
2022-09-13$5.75$4.00147.6%24.1%99.5%100.0%83.3%-9.8%4.7%68.4K-2.2M-7.6K0.7444.99N/AN/A5,4434,04822,5973,237
2022-09-14$6.11$5.0087.8%25.2%100.5%28.0%83.3%2.4%-3.9%73.1K-2.4M-6.9K0.3231.03N/AN/A1,22439125,1736,194
2022-09-15$6.12$5.0092.4%26.5%99.3%33.6%78.6%1.6%-30.3%72.7K-2.4M-6.9K0.0965.00N/AN/A8387325,3366,411
2022-09-16$6.06$5.0087.4%25.1%99.5%27.6%83.8%-6.8%2.5%94.1K-2.0M-6.1K0.6338.42N/AN/A1,9351,21924,8636,391
2022-09-19$6.20$5.0082.6%23.7%98.1%21.7%82.3%-3.1%5.5%11.8K-1.4M-6.4K1.1729.69N/AN/A5386309,3843,179
2022-09-20$6.18$5.0082.4%23.6%98.0%21.6%81.0%-5.2%-18.0%13.6K-1.4M-7.2K0.0333.74N/AN/A850249,8443,595
2022-09-21$6.09$5.0081.2%23.3%97.3%20.1%84.2%-3.3%5.3%16.9K-1.5M-7.0K1.6033.63N/AN/A304810,4113,596
2022-09-22$5.99$5.0081.8%23.4%97.8%20.8%79.2%-1.1%4.9%16.1K-1.4M-7.0K0.7529.04N/AN/A564210,4103,641
2022-09-23$5.79$5.0083.7%24.0%97.3%23.1%71.3%-2.9%5.9%14.4K-1.2M-7.0K0.6434.13N/AN/A915810,4663,671
2022-09-26$5.74$5.0088.4%25.4%97.5%28.8%84.7%-4.6%3.8%14.2K-1.1M-6.8K0.6842.88N/AN/A1,10775210,5253,706
2022-09-27$5.81$5.0092.6%26.5%96.5%33.8%84.1%-6.9%1.6%14.8K-1.2M-6.9K0.6748.02N/AN/A1,12875310,5263,723
2022-09-28$5.80$5.0092.3%26.5%96.5%33.5%90.0%1.8%2.5%14.3K-1.2M-6.5K0.6146.28N/AN/A1,26577310,5483,712
2022-09-29$5.31$5.0077.6%22.3%99.7%15.8%89.2%-25.1%9.3%11.8K-734.6K-6.6K1.5136.36N/AN/A1,2621,90510,7323,731
2022-09-30$5.54$5.0094.4%27.1%100.5%36.0%82.2%-10.6%0.8%2.2K-583.1K-7.1K0.4246.53N/AN/A1,30355210,7524,848