VNET Options History — July 2018

In July 2018, VNET traded between $9.43 and $11.13. ATM implied volatility averaged 62.4%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 12.7% (HV 20d: 49.6%). Max pain ranged from $8.00 to $9.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2018-07-17: Highest Volume — 3,275 contracts
  • 2018-07-05: Largest IV drop — 62.5% change
  • 2018-07-03: Highest IV Rank — 84.5%
  • 2018-07-31: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.15$9.43$11.13$10.16$9.43
Max Pain$8.88$8.00$9.50$8.50$9.50
ATM IV62.4%49.1%138.1%115.7%57.2%
Expected Move15.6%14.1%18.0%15.1%18.0%
HV 20d49.6%46.4%57.5%49.6%46.4%
HV 60d68.9%67.0%70.3%70.2%69.8%
IV Rank36.3%27.8%84.5%70.3%33.0%
IV Percentile48.0%16.3%99.6%99.6%54.4%
Term Structure1.1%-32.1%41.8%-32.1%-1.5%
VWIV51.6%31.9%70.7%68.7%48.1%
Skew 25d-3.4%-130.9%66.0%-130.9%-4.4%
Skew 10d-24.4%-154.2%17.0%-154.2%-16.1%
Call IV 25d66.6%32.1%197.6%197.6%59.9%
Put IV 25d63.2%48.0%200.5%66.7%55.5%
Bid-Ask Spread %49.2414.57117.3869.5442.54
Gamma HHI0.170.130.240.160.16
Net GEX8.0K-11.6K20.8K7.1K-11.6K
Net DEX-1.8M-3.0M-728.7K-2.1M-728.7K
Net VEX-13.9K-14.8K-12.9K-12.9K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.141.250.141.22
Total Volume2,680.7622,3173,2752,7412,583
Total OI10,274.7628,79811,6428,79810,173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$10.16$8.50115.7%15.1%49.6%70.3%68.7%-130.9%-32.1%7.1K-2.1M-12.9K0.1469.54N/AN/A2,3943474,0054,793
2018-07-03$10.22$8.50138.1%16.1%49.6%84.5%70.7%66.0%-21.6%11.6K-2.0M-14.0K0.19109.13N/AN/A2,5754995,2024,830
2018-07-05$9.72$8.0051.7%15.2%52.6%29.5%55.9%5.0%-2.9%20.8K-1.7M-14.3K0.2139.95N/AN/A2,3915015,5175,057
2018-07-06$9.86$8.0052.5%15.5%49.4%30.0%50.3%-8.3%-0.5%14.8K-2.0M-13.8K0.2047.82N/AN/A2,4784925,5305,060
2018-07-09$9.90$9.0053.0%15.2%49.1%30.3%35.2%-6.0%-0.1%17.6K-1.7M-13.9K0.1925.30N/AN/A2,0653875,2404,966
2018-07-10$9.78$9.0050.6%16.2%48.6%28.8%53.8%-1.6%4.5%17.2K-1.5M-14.0K0.1929.08N/AN/A2,0383875,2454,966
2018-07-11$9.83$9.0056.0%15.3%48.3%32.2%31.9%-2.4%-4.7%17.7K-1.6M-13.9K0.1925.28N/AN/A2,0323915,2484,966
2018-07-12$9.81$9.0051.4%14.9%48.0%29.3%52.0%-7.4%1.6%19.7K-1.6M-13.4K0.1952.76N/AN/A2,0543915,2504,966
2018-07-13$9.89$9.0049.1%14.9%48.0%27.8%36.5%-2.3%5.5%18.2K-1.7M-13.4K0.6327.32N/AN/A2,0041,2665,2504,972
2018-07-16$9.99$9.0051.3%14.6%46.6%29.2%37.7%-3.3%8.7%12.4K-1.8M-14.0K0.6421.69N/AN/A1,9751,2695,3455,724
2018-07-17$10.39$9.0052.9%15.2%47.9%30.3%44.0%-2.2%10.4%1.5K-2.2M-13.8K0.6322.71N/AN/A2,0101,2655,3445,724
2018-07-18$10.87$9.0061.8%17.7%49.3%35.9%59.8%-8.6%41.8%13.1K-2.5M-14.8K0.97117.38N/AN/A1,3171,2835,3655,725
2018-07-19$11.07$9.0071.8%16.2%48.5%42.3%61.0%-2.1%0.5%7.8K-3.0M-14.0K1.0798.09N/AN/A1,2041,2875,8995,743
2018-07-20$11.13$9.0054.4%15.4%48.4%31.2%62.1%-5.9%1.3%1.2K-3.0M-14.0K1.1327.13N/AN/A1,2261,3885,8515,748
2018-07-23$10.77$9.0054.7%15.3%50.6%31.4%52.8%-2.0%2.6%4.0K-1.9M-13.7K1.2545.84N/AN/A1,0851,3583,9085,511
2018-07-24$10.32$9.0056.2%15.0%51.6%32.3%54.7%5.5%2.3%-510-1.5M-13.8K1.1926.38N/AN/A1,1641,3804,0515,513
2018-07-25$10.31$9.0062.6%14.1%51.5%36.4%53.7%43.1%8.4%1.3K-1.5M-14.2K0.97102.63N/AN/A1,1751,1424,1765,530
2018-07-26$10.51$9.0051.3%14.6%50.6%29.2%49.1%-3.0%2.6%6.0K-1.8M-13.9K0.8614.57N/AN/A1,3201,1404,1825,526
2018-07-27$9.76$9.0056.8%14.9%57.5%32.7%52.8%1.8%0.6%-4.4K-1.1M-14.2K1.0743.38N/AN/A1,2241,3064,3285,526
2018-07-30$9.52$9.0060.8%17.8%50.3%35.3%52.8%-1.4%-3.6%-7.9K-881.5K-13.7K1.1645.48N/AN/A1,1611,3424,1325,683
2018-07-31$9.43$9.5057.2%18.0%46.4%33.0%48.1%-4.4%-1.5%-11.6K-728.7K-14.0K1.2242.54N/AN/A1,1621,4214,1376,036