VNET Options History — September 2018

In September 2018, VNET traded between $8.59 and $10.20. ATM implied volatility averaged 61.9%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 1.4% (HV 20d: 63.3%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2018-09-19: Highest Volume — 3,622 contracts
  • 2018-09-26: Largest IV spike — 281.5% change
  • 2018-09-26: Highest IV Rank — 100.0%
  • 2018-09-26: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.59$8.59$10.20$9.70$10.08
Max Pain$9.32$8.00$10.00$8.00$9.00
ATM IV61.9%48.8%186.3%60.8%51.3%
Expected Move15.5%14.3%19.5%16.2%14.9%
HV 20d63.3%40.4%72.3%72.2%40.4%
HV 60d57.1%54.6%59.3%56.9%54.6%
IV Rank34.8%24.2%100.0%35.3%25.3%
IV Percentile42.8%15.9%100.0%73.0%25.8%
Term Structure-2.1%-48.0%17.7%-0.1%-2.3%
VWIV52.3%41.0%68.4%52.8%43.8%
Skew 25d-3.2%-156.4%78.0%2.0%-0.2%
Skew 10d3.0%-27.9%68.9%32.5%10.2%
Call IV 25d60.7%46.0%195.3%53.3%49.9%
Put IV 25d57.5%38.9%144.4%55.3%49.7%
Bid-Ask Spread %35.1212.65134.9962.2423.84
Gamma HHI0.200.150.280.260.15
Net GEX18.6K-15.8K38.6K34.0K23.4K
Net DEX-1.5M-3.2M-20.2K-1.9M-1.8M
Net VEX-13.9K-15.6K-12.0K-15.1K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.290.730.730.29
Total Volume3,024.6842,1853,6222,8262,277
Total OI13,004.21110,64614,50212,98810,854

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$9.70$8.0060.8%16.2%72.2%35.3%52.8%2.0%-0.1%34.0K-1.9M-15.1K0.7362.24N/AN/A1,6311,1956,7236,265
2018-09-05$9.75$8.0050.4%16.1%72.1%28.7%53.6%-0.4%-0.4%37.0K-1.9M-14.7K0.6626.70N/AN/A1,9271,2706,7196,197
2018-09-06$9.62$10.0084.0%16.1%72.3%50.1%63.3%78.0%17.7%38.6K-1.8M-15.6K0.6159.74N/AN/A1,9171,1617,0786,447
2018-09-07$9.69$10.0057.4%15.5%71.0%33.1%53.2%1.1%-3.4%34.6K-1.9M-15.0K0.5818.66N/AN/A2,0021,1637,0846,451
2018-09-10$9.63$10.0055.9%15.1%70.4%32.2%52.8%0.9%-4.1%36.1K-1.8M-14.6K0.5916.18N/AN/A1,9661,1587,0916,467
2018-09-11$9.31$10.0052.6%15.5%71.0%30.0%52.2%1.5%2.7%20.0K-1.2M-14.1K0.6712.65N/AN/A1,9461,3057,0786,544
2018-09-12$9.23$10.0059.6%16.2%70.4%34.5%52.3%2.6%-1.8%16.9K-1.0M-15.1K0.6893.70N/AN/A1,9461,3197,0816,706
2018-09-13$9.24$10.0056.0%15.5%69.5%32.2%55.8%3.6%-4.0%11.6K-1.0M-13.6K0.6429.22N/AN/A2,0751,3197,0816,715
2018-09-14$8.99$10.0056.6%15.5%68.6%32.6%49.9%2.5%-3.4%897-591.4K-13.0K0.5730.84N/AN/A1,9981,1357,1796,715
2018-09-17$8.59$10.0049.4%14.3%69.6%28.0%51.9%-2.7%3.9%-15.8K-20.2K-12.0K0.4531.01N/AN/A2,4831,1167,2066,628
2018-09-18$8.87$9.0051.9%14.8%70.5%29.6%52.3%-0.8%2.6%-14.6K-445.3K-13.1K0.4513.48N/AN/A2,5001,1167,7046,768
2018-09-19$9.19$9.0052.4%15.0%51.1%29.9%53.2%-0.0%-3.1%-4.1K-1.0M-13.5K0.4515.12N/AN/A2,5061,1167,7246,778
2018-09-20$9.72$9.0051.4%14.6%55.7%29.3%46.4%4.2%0.8%12.7K-1.8M-13.7K0.4817.54N/AN/A2,4061,1567,7226,778
2018-09-21$10.13$9.0052.0%14.7%58.0%29.7%49.5%0.8%2.9%20.9K-3.2M-14.1K0.4920.71N/AN/A2,3161,1467,6656,776
2018-09-24$10.03$9.0050.9%14.7%56.0%28.9%50.9%0.4%0.8%23.0K-1.7M-13.4K0.3419.35N/AN/A1,6525695,6215,025
2018-09-25$10.20$9.0048.8%15.1%55.6%27.6%49.5%1.9%-2.0%28.2K-1.9M-13.7K0.3417.06N/AN/A1,6525705,6295,098
2018-09-26$10.11$9.00186.3%19.5%55.6%100.0%68.4%-156.4%-48.0%19.3K-2.0M-14.0K0.35134.99N/AN/A1,6145715,6375,099
2018-09-27$10.19$9.0049.2%14.7%52.8%24.2%41.0%-0.3%0.8%30.5K-1.9M-13.4K0.2924.19N/AN/A1,7625085,6475,100
2018-09-28$10.08$9.0051.3%14.9%40.4%25.3%43.8%-0.2%-2.3%23.4K-1.8M-12.9K0.2923.84N/AN/A1,7685095,7285,126