VNET Options History — November 2018

In November 2018, VNET traded between $9.39 and $11.61. ATM implied volatility averaged 65.2%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 2.6% (HV 20d: 67.8%). Max pain ranged from $6.00 to $10.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.37.

Notable Days

  • 2018-11-02: Highest Volume — 4,006 contracts
  • 2018-11-02: Largest IV drop — 34.5% change
  • 2018-11-01: Highest IV Rank — 50.8%
  • 2018-11-20: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.52$9.39$11.61$11.04$9.41
Max Pain$8.05$6.00$10.00$10.00$8.00
ATM IV65.2%53.7%97.2%97.2%54.9%
Expected Move17.6%14.9%20.9%14.9%16.6%
HV 20d67.8%62.7%81.4%65.5%63.2%
HV 60d66.9%63.4%69.1%69.1%66.7%
IV Rank19.4%11.2%50.8%50.8%12.0%
IV Percentile72.7%37.3%97.2%97.2%41.3%
Term Structure-3.7%-130.9%47.7%-130.9%0.3%
VWIV60.5%44.6%77.4%46.5%52.1%
Skew 25d2.6%-32.7%21.1%-32.7%-0.1%
Skew 10d3.4%-21.5%28.8%16.7%5.2%
Call IV 25d61.9%49.0%74.9%63.8%54.1%
Put IV 25d64.5%31.1%79.0%31.1%54.0%
Bid-Ask Spread %82.2828.99145.13145.1387.96
Gamma HHI0.250.160.350.330.22
Net GEX7.4K-17.5K28.8K-9.5K8.4K
Net DEX-2.1M-3.6M-553.5K-2.4M-553.5K
Net VEX-8.5K-10.9K-6.4K-10.9K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.371.445.343.781.68
Total Volume2,863.0952,0504,0063,9112,165
Total OI10,301.2869,06611,04210,4379,880

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$11.04$10.0097.2%14.9%65.5%50.8%46.5%-32.7%-130.9%-9.5K-2.4M-10.9K3.78145.13N/AN/A8183,0934,8185,619
2018-11-02$10.86$10.0063.7%16.3%65.9%17.9%44.6%7.0%0.1%1.9K-2.7M-10.3K3.39138.01N/AN/A9133,0935,0885,618
2018-11-05$10.71$6.0070.0%18.1%62.7%22.2%64.7%3.0%-6.9%561-2.3M-10.1K4.6094.44N/AN/A6573,0205,0045,392
2018-11-06$10.92$6.0067.1%17.8%62.7%20.2%70.5%3.3%7.5%6.3K-2.6M-9.9K4.6081.52N/AN/A6573,0225,0075,408
2018-11-07$10.80$6.0070.1%17.8%62.9%22.2%63.3%7.1%7.0%4.5K-2.5M-9.6K4.6277.95N/AN/A6543,0215,0075,412
2018-11-08$10.21$6.0061.5%17.8%66.5%16.4%77.4%-5.3%47.7%-13.5K-1.7M-9.5K3.44115.28N/AN/A6012,0665,0075,416
2018-11-09$10.49$6.0070.5%17.7%66.6%22.4%63.8%-7.4%30.4%-2.9K-2.0M-9.4K4.61101.84N/AN/A6012,7705,0045,460
2018-11-12$10.31$9.0055.8%18.1%66.7%12.6%64.0%8.1%13.4%-17.5K-1.6M-9.5K3.78103.17N/AN/A5592,1124,9565,985
2018-11-13$10.76$9.0073.0%17.3%67.0%24.2%63.6%4.2%-6.2%-6.0K-2.3M-8.7K3.82100.65N/AN/A5542,1144,9455,991
2018-11-14$10.90$9.0064.7%18.1%64.7%18.6%60.3%12.8%-2.5%22.1K-2.6M-8.8K3.8788.14N/AN/A5462,1144,9505,993
2018-11-15$11.61$9.0069.4%19.4%66.0%21.7%66.0%21.1%-11.1%28.8K-3.6M-7.8K3.5876.68N/AN/A5912,1134,9505,993
2018-11-16$11.50$9.0067.3%17.7%65.0%20.3%65.0%3.5%-9.2%19.6K-3.5M-7.8K3.7362.33N/AN/A5321,9835,0406,002
2018-11-19$11.26$9.0068.5%19.4%64.0%21.1%62.7%0.6%0.3%17.4K-3.0M-7.9K3.6428.99N/AN/A5381,9574,7764,887
2018-11-20$11.14$9.0073.3%20.9%64.1%24.3%73.9%6.8%-11.5%17.5K-2.9M-8.5K5.3472.19N/AN/A5022,6815,0884,931
2018-11-21$10.21$8.0063.3%18.2%72.3%17.7%65.4%2.1%-3.1%-2.5K-1.6M-8.1K3.1247.74N/AN/A6572,0485,2054,843
2018-11-23$10.37$8.0055.7%16.4%72.4%12.5%54.8%2.6%-2.5%25.6K-2.1M-7.6K2.8389.25N/AN/A7432,1055,3804,895
2018-11-26$9.39$8.0058.0%17.4%81.1%14.1%63.9%0.8%-1.3%15.5K-850.2K-6.7K1.6833.10N/AN/A8221,3785,2123,854
2018-11-27$9.51$8.0053.7%16.6%80.9%11.2%51.3%3.6%-0.7%10.1K-848.4K-6.9K1.4435.09N/AN/A8621,2455,3204,361
2018-11-28$9.80$8.0056.0%16.5%81.4%12.8%48.2%3.8%1.6%16.6K-1.2M-7.1K1.5459.95N/AN/A8061,2445,3374,428
2018-11-29$9.65$8.0056.4%16.7%63.0%13.0%48.8%9.1%-0.1%11.8K-942.5K-6.9K1.6388.52N/AN/A8241,3445,3374,528
2018-11-30$9.41$8.0054.9%16.6%63.2%12.0%52.1%-0.1%0.3%8.4K-553.5K-6.4K1.6887.96N/AN/A8091,3565,3514,529