VNET Options History — December 2022

In December 2022, VNET traded between $4.75 and $5.71. ATM implied volatility averaged 94.0%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 23.9%. IV traded above realized volatility by 24.9% (HV 20d: 69.1%). 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 3 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2022-12-15: Highest Volume — 8,102 contracts
  • 2022-12-14: Largest IV drop — 38.2% change
  • 2022-12-12: Highest IV Rank — 84.8%
  • 2022-12-01: Largest Expected Move — 26.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.22$4.75$5.71$4.80$5.66
Max Pain$4.90$4.00$5.00$4.00$5.00
ATM IV94.0%75.7%135.9%92.3%90.6%
Expected Move23.9%21.7%26.5%26.5%26.0%
HV 20d69.1%57.6%79.8%79.1%57.6%
HV 60d91.1%88.6%97.8%97.8%89.4%
IV Rank29.9%5.9%84.8%27.6%25.5%
IV Percentile35.7%0.8%98.4%29.8%27.4%
Term Structure-9.0%-40.1%10.7%-11.5%-11.5%
VWIV85.3%73.4%95.3%95.3%91.6%
Skew 25d-7.0%-32.8%9.9%8.0%-0.3%
Skew 10d8.9%-23.5%49.6%14.2%-4.2%
Call IV 25d84.6%73.7%98.1%98.1%87.2%
Put IV 25d77.6%56.7%106.1%106.1%87.0%
Bid-Ask Spread %76.3125.5793.6581.6573.85
Gamma HHI0.670.440.820.760.61
Net GEX53.3K26.3K77.1K43.9K66.5K
Net DEX-1.3M-2.3M-455.5K-681.1K-2.0M
Net VEX-7.6K-9.9K-5.3K-7.0K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.009.620.170.09
Total Volume873.524118,1023472
Total OI22,810.38120,64632,05722,92521,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$4.80$4.0092.3%26.5%79.1%27.6%95.3%8.0%-11.5%43.9K-681.1K-7.0K0.1781.65N/AN/A29517,6965,229
2022-12-02$4.94$4.0090.0%25.8%75.5%24.7%92.2%-9.9%-9.8%53.8K-1.0M-7.0K0.1385.31N/AN/A911217,6995,233
2022-12-05$5.17$5.00111.6%24.2%74.5%53.0%84.5%-0.3%-4.7%69.6K-1.7M-7.3K0.5087.78N/AN/A402017,7485,238
2022-12-06$5.26$5.00110.3%25.1%74.9%51.2%84.4%2.0%-40.1%77.1K-1.8M-7.1K0.0192.29N/AN/A123117,7505,233
2022-12-07$4.81$5.00110.7%24.2%79.8%51.8%77.4%-6.4%-17.4%42.3K-627.0K-6.1K1.5589.72N/AN/A203117,7335,232
2022-12-08$4.75$5.00106.4%23.5%77.6%46.2%85.5%-6.6%-5.8%35.4K-474.8K-5.5K0.0293.65N/AN/A5031117,7405,261
2022-12-09$5.00$5.00104.0%24.5%77.8%43.0%85.1%-6.9%-9.9%57.7K-972.3K-5.5K9.6291.41N/AN/A5235,03217,6765,250
2022-12-12$5.08$5.00135.9%23.6%76.3%84.8%82.4%-22.1%-19.0%59.6K-947.9K-6.1K0.1077.48N/AN/A10117,9845,791
2022-12-13$5.13$5.00125.9%21.9%76.5%71.7%73.4%-8.2%-7.0%60.1K-878.7K-6.0K0.0087.91N/AN/A173017,9846,129
2022-12-14$5.21$5.0077.8%22.3%70.7%8.7%0.0%-7.7%-14.8%40.8K-722.7K-5.5K3.5686.19N/AN/A93217,9406,129
2022-12-15$5.14$5.0076.1%21.8%64.4%6.5%92.8%-24.8%1.1%26.3K-565.5K-5.3K0.0025.57N/AN/A8,0822017,9406,127
2022-12-16$5.17$5.0082.5%23.7%64.0%14.9%88.8%0.5%-13.3%38.9K-2.3M-9.9K0.1781.54N/AN/A3786625,9306,127
2022-12-19$4.96$5.0078.9%22.6%61.2%10.2%95.2%-16.8%10.7%34.1K-455.5K-8.5K0.0245.56N/AN/A6781415,3895,289
2022-12-20$4.95$5.0084.5%24.2%60.1%17.4%89.3%-32.8%-12.5%34.9K-564.7K-8.8K0.0587.50N/AN/A4262015,5605,303
2022-12-21$5.28$5.0088.7%25.4%63.3%23.0%88.0%-13.8%-10.8%48.0K-1.3M-9.4K0.1585.57N/AN/A1011515,3235,323
2022-12-22$5.67$5.0084.8%24.3%67.9%17.9%78.1%-2.0%-6.7%62.4K-2.0M-9.6K1.2678.47N/AN/A39850215,3845,333
2022-12-23$5.63$5.0082.7%23.7%66.9%15.1%83.7%9.9%-5.9%60.6K-2.0M-9.9K0.0083.24N/AN/A227015,6075,832
2022-12-27$5.71$5.0084.6%24.3%62.0%17.6%81.6%6.4%-0.5%65.9K-2.0M-9.2K0.0028.63N/AN/A58015,6165,832
2022-12-28$5.61$5.0075.7%21.7%60.4%5.9%74.1%4.7%5.3%69.1K-1.8M-8.9K0.0073.11N/AN/A444015,6475,832
2022-12-29$5.66$5.0079.7%22.9%60.2%11.2%82.1%-20.1%-4.1%72.5K-2.0M-8.9K0.0066.05N/AN/A177015,6545,832
2022-12-30$5.66$5.0090.6%26.0%57.6%25.5%91.6%-0.3%-11.5%66.5K-2.0M-8.8K0.0973.85N/AN/A66615,6315,832