VNET Options History — December 2018

In December 2018, VNET traded between $8.53 and $9.99. ATM implied volatility averaged 52.6%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 8.5% (HV 20d: 61.1%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2018-12-14: Highest Volume — 879 contracts
  • 2018-12-10: Largest IV spike — 547.1% change
  • 2018-12-26: Highest IV Rank — 32.5%
  • 2018-12-31: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.20$8.53$9.99$9.99$8.53
Max Pain$9.50$8.00$10.00$8.00$9.00
ATM IV52.6%8.1%66.0%50.2%58.9%
Expected Move16.4%15.0%18.5%15.4%18.5%
HV 20d61.1%47.5%69.5%67.5%47.5%
HV 60d67.2%58.9%68.8%67.8%58.9%
IV Rank22.1%0.0%32.5%8.9%28.5%
IV Percentile42.4%0.0%82.5%22.2%62.3%
Term Structure14.0%-9.6%159.3%2.3%1.0%
VWIV57.9%51.7%67.6%51.7%63.5%
Skew 25d2.6%-15.6%18.6%1.2%-13.1%
Skew 10d9.0%-20.4%52.3%16.8%21.1%
Call IV 25d51.8%34.5%66.6%50.3%57.0%
Put IV 25d54.4%31.5%82.1%51.5%43.9%
Bid-Ask Spread %104.1588.91124.8491.3993.48
Gamma HHI0.240.150.380.240.16
Net GEX3.4K-48.9K23.5K23.5K-5.5K
Net DEX-595.1K-1.4M37.7K-1.4M-155.7K
Net VEX-4.6K-6.4K-2.9K-6.4K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.013.200.281.43
Total Volume272.508796017
Total OI9,059.76,70310,0759,6326,703

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$9.99$8.0050.2%15.4%67.5%8.9%51.7%1.2%2.3%23.5K-1.4M-6.4K0.2891.39N/AN/A47135,3144,318
2018-12-04$9.52$8.0054.9%16.2%69.2%12.0%56.0%1.7%4.7%10.4K-751.9K-6.0K2.3696.66N/AN/A591395,3334,330
2018-12-05$9.45$8.0055.4%17.2%68.6%12.4%57.7%3.7%13.4%10.4K-712.9K-5.9K2.86124.84N/AN/A591695,3334,330
2018-12-06$9.68$10.0046.2%15.0%69.5%6.2%0.0%-1.1%23.3%7.7K-916.6K-6.0K0.0088.91N/AN/A005,3434,479
2018-12-07$9.51$10.008.1%16.1%67.0%0.0%66.1%9.8%159.3%-48.9K-710.0K-6.0K1.85109.20N/AN/A971795,3454,479
2018-12-10$9.13$10.0052.2%16.7%67.3%24.8%54.2%-7.4%10.8%2.1K-252.3K-4.7K0.2192.43N/AN/A2865,2614,274
2018-12-11$9.12$10.0057.3%15.9%67.2%27.6%54.1%-15.6%1.7%-15-241.7K-4.6K0.0198.68N/AN/A53275,2634,274
2018-12-12$9.47$10.0043.5%15.9%66.7%19.9%53.7%-4.0%13.8%16.8K-997.2K-5.3K0.08111.94N/AN/A574475,7614,275
2018-12-13$9.49$10.0044.3%15.3%66.4%20.3%52.6%-3.0%14.2%19.6K-949.0K-5.0K0.1298.02N/AN/A510635,7614,314
2018-12-14$9.51$10.0055.9%16.8%61.2%26.9%62.5%15.0%4.8%20.4K-1.1M-5.5K0.1594.58N/AN/A7651145,7624,305
2018-12-17$9.06$10.0054.2%16.8%62.7%25.9%57.8%3.7%11.4%16.8K-721.3K-4.9K3.20115.56N/AN/A10325,5964,139
2018-12-18$9.41$10.0055.9%16.5%65.0%26.9%53.3%3.8%19.4%21.9K-958.0K-4.5K2.9193.51N/AN/A11325,5964,169
2018-12-19$9.22$10.0059.2%17.0%65.1%28.7%56.9%-0.7%-9.6%8.8K-693.7K-4.5K2.67123.84N/AN/A12325,5964,179
2018-12-20$9.18$10.0055.7%16.0%58.3%26.7%55.3%3.7%-2.4%1.9K-585.5K-4.2K2.46113.72N/AN/A13325,5954,179
2018-12-21$8.77$10.0052.9%15.2%59.4%25.2%57.2%2.6%0.1%-7.7K-5.9K-3.6K1.21107.22N/AN/A28345,5964,179
2018-12-24$8.68$10.0063.7%15.8%48.8%31.2%58.9%15.7%12.1%-10.9K37.7K-3.1K0.03123.80N/AN/A772253,3673,694
2018-12-26$8.88$9.0066.0%18.4%49.4%32.5%62.1%18.5%0.6%-11.9K-323.7K-3.1K0.5596.32N/AN/A2431333,3673,362
2018-12-27$8.70$9.0061.0%17.6%48.1%29.7%67.6%18.6%-0.5%-6.4K-218.8K-3.1K0.52101.39N/AN/A2651373,6093,395
2018-12-28$8.64$9.0057.3%16.5%48.0%27.6%59.7%-1.4%-0.5%-2.0K-211.3K-3.0K1.82107.52N/AN/A761383,6203,399
2018-12-31$8.53$9.0058.9%18.5%47.5%28.5%63.5%-13.1%1.0%-5.5K-155.7K-2.9K1.4393.48N/AN/A7103,4903,213