VRNS Collar Strategy
VRNS (Varonis Systems, Inc.), in the Technology sector, (Software - Infrastructure industry), listed on NASDAQ.
Varonis Systems, Inc. provides software products and services that allow enterprises to manage, analyze, alert, and secure enterprise data in North America, Europe, the Middle East, Africa, and internationally. Its software enables enterprises to protect data stored on premises and in the cloud, including sensitive files and emails; confidential personal data belonging to customers, and patients and employees' data; financial records; strategic and product plans; and other intellectual property. The company offers DatAdvantage that captures, aggregates, normalizes, and analyzes every data access event for users on Windows and UNIX/Linux servers, storage devices, email systems, Intranet servers, cloud applications, and data stores; and DatAlert that profiles users, devices, and their behaviors related to systems and data, detects and alerts on deviations that indicate compromise, and provides a Web-based dashboard and investigative interface. It also provides Data Classification Engine that identifies and tags data based on criteria set in various metadata dimensions, as well as provides business and information technology (IT) personnel with actionable intelligence about data; and DataPrivilege, which offers a self-service Web portal that allows users to request access to data necessary for their business functions, and owners to grant access without IT intervention. In addition, the company provides Data Transport Engine, which provides an execution engine that unifies the manipulation of data and metadata, translating business decisions, and instructions into technical commands, such as data migration or archiving; and DatAnswers that offers search functionality for enterprise data. Varonis Systems, Inc. sells products and services through a network of distributors and resellers.
VRNS (Varonis Systems, Inc.) trades in the Technology sector, specifically Software - Infrastructure, with a market capitalization of approximately $3.17B, a beta of 0.80 versus the broader market, a 52-week range of 19.7-63.9, average daily share volume of 2.8M, a public-listing history dating back to 2014, approximately 2K full-time employees. These structural characteristics shape how VRNS stock options price implied volatility around earnings windows, capital events, and macro-driven sector rotations.
A beta of 0.80 places VRNS roughly in line with broader market moves, so the strategy payoff and realized volatility track the index-equivalent baseline.
What is a collar on VRNS?
A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot.
Current VRNS snapshot
As of May 15, 2026, spot at $28.03, ATM IV 60.20%, IV rank 46.77%, expected move 17.26%. The collar on VRNS below is built from the same end-of-day chain, with strikes snapped to listed contracts and premiums pulled from the bid/ask midpoint at a 34-day expiry.
Why this collar structure on VRNS specifically: IV regime affects collar pricing on both sides; mid-range VRNS IV at 60.20% typically pushes the short call premium to roughly offset the long put cost, with a market-implied 1-standard-deviation move of approximately 17.26% (roughly $4.84 on the underlying). The 34-day window matched to the front-month expiry keeps theta exposure bounded while still capturing the post-snapshot move; longer-dated VRNS expiries trade a higher absolute premium for lower per-day decay. Position sizing on VRNS should anchor to the underlying notional of $28.03 per share and to the trader's directional view on VRNS stock.
VRNS collar setup
The VRNS collar below is built from the end-of-day chain, with each option leg priced at the bid/ask midpoint of its listed strike. With VRNS near $28.03, the first option leg uses a $29.43 strike; additional legs (when the strategy has them) anchor to spot-relative offsets. Premiums come from the bid/ask midpoint on the listed VRNS chain at a 34-day expiry; the cross-strike IV skew is reflected directly in the per-leg values rather than approximated. Quantity sizing assumes one contract per option leg (or 100 VRNS shares for the stock leg in covered calls and collars).
| Action | Type | Strike / Basis | Premium (est) |
|---|---|---|---|
| Buy 100 shares | Stock | $28.03 | long |
| Sell 1 | Call | $29.43 | N/A |
| Buy 1 | Put | $26.63 | N/A |
VRNS collar risk and reward
- Net Premium / Debit
- N/A
- Max Profit (per contract)
- Unbounded
- Max Loss (per contract)
- Unbounded
- Breakeven(s)
- None on modeled curve
- Risk / Reward Ratio
- N/A
Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium.
VRNS collar payoff curve
Modeled P&L at expiration across a range of underlying prices for the collar on VRNS. Each row is one sampled price point from the computed payoff curve; the full curve uses 200 price points internally before being summarized into 10 rows here.
When traders use collar on VRNS
Collars on VRNS hedge an existing long VRNS stock position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
VRNS thesis for this collar
The market-implied 1-standard-deviation range for VRNS extends from approximately $23.19 on the downside to $32.87 on the upside. A VRNS collar hedges an existing long VRNS position with a protective put while financing the put cost via a short call; when the premiums roughly offset, the collar acts as a near-zero-cost insurance band around the current spot. Current VRNS IV rank near 46.77% is mid-range against its 1-year distribution, so the IV signal is neutral; the collar thesis on VRNS should anchor more to the directional view and the expected-move geometry. As a Technology name, VRNS options can move on sector-level news flow (peer earnings, regulatory updates, industry-specific macro data) in addition to VRNS-specific events.
VRNS collar positions are structurally neutral (protective); the modeled P&L assumes European-style exercise at expiration and ignores early assignment, transaction costs, dividends paid before expiry on the stock leg (when present), and the bid-ask spread on the listed chain. VRNS positions also carry Technology sector concentration risk; news flow inside the sector (peer earnings, regulatory shifts, supply-chain headlines) can move VRNS alongside the broader basket even when VRNS-specific fundamentals are unchanged. Always rebuild the position from current VRNS chain quotes before placing a trade.
Frequently asked questions
- What is a collar on VRNS?
- A collar on VRNS is the collar strategy applied to VRNS (stock). The strategy is structurally neutral (protective): A collar pairs long stock with a protective out-of-the-money put financed by a short out-of-the-money call, capping both tails of the position around the current spot. With VRNS stock trading near $28.03, the strikes shown on this page are snapped to the nearest listed VRNS chain strike and the premiums come straight from the end-of-day bid/ask midpoint.
- How are VRNS collar max profit and max loss calculated?
- Max profit roughly equals short-call strike minus cost basis plus net premium; max loss roughly equals cost basis minus long-put strike minus net premium. Breakeven shifts by the net premium. For the VRNS collar priced from the end-of-day chain at a 30-day expiry (ATM IV 60.20%), the computed maximum profit is unbounded per contract and the computed maximum loss is unbounded per contract. Live intraday quotes will differ as the chain moves through the trading session.
- What is the breakeven for a VRNS collar?
- The breakeven for the VRNS collar priced on this page is no defined breakeven on the modeled curve at expiration, derived from end-of-day chain premiums. Breakeven is the underlying price at which the strategy's P&L crosses zero ignoring transaction costs and assignment risk. The current VRNS market-implied 1-standard-deviation expected move is approximately 17.26%; if the move sits well outside the breakeven distance, the structure's risk-reward becomes correspondingly tighter.
- When should you consider a collar on VRNS?
- Collars on VRNS hedge an existing long VRNS stock position; the long put sets a floor while the short call finances it, often run as a near-zero-cost hedge during expected volatility windows.
- How does current VRNS implied volatility affect this collar?
- VRNS ATM IV is at 60.20% with IV rank near 46.77%, which is mid-range against its 1-year history. Strategy selection depends more on directional thesis and expected move than on a strong IV signal.