VNET Options History — August 2019

In August 2019, VNET traded between $6.79 and $7.79. ATM implied volatility averaged 54.8%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 15.9% (HV 20d: 38.9%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.65.

Notable Days

  • 2019-08-30: Highest Volume — 2,265 contracts
  • 2019-08-06: Largest IV spike — 57.0% change
  • 2019-08-06: Highest IV Rank — 49.9%
  • 2019-08-14: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.25$6.79$7.79$7.30$7.79
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV54.8%33.5%104.7%45.1%41.9%
Expected Move13.6%9.6%18.6%11.1%11.9%
HV 20d38.9%26.5%58.9%28.1%58.9%
HV 60d43.9%37.7%47.4%46.8%45.9%
IV Rank24.1%13.2%49.9%19.1%17.5%
IV Percentile52.6%2.8%98.8%30.2%21.8%
Term Structure-3.4%-35.8%12.8%-0.9%-1.2%
VWIV45.8%21.6%65.4%42.2%41.6%
Skew 25d-2.7%-78.0%17.5%-10.1%-26.6%
Skew 10d4.3%-115.4%69.3%2.5%-10.9%
Call IV 25d61.7%37.4%198.7%52.0%71.7%
Put IV 25d59.0%33.2%175.9%41.9%45.1%
Bid-Ask Spread %103.0189.79125.82119.03116.82
Gamma HHI0.410.240.500.240.38
Net GEX46.2K14.2K77.5K14.2K72.2K
Net DEX-2.3M-3.6M-1.4M-1.5M-3.6M
Net VEX-10.8K-12.8K-8.8K-9.1K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.0027.000.080.82
Total Volume413.31802,2655482,265
Total OI9,016.1826,78110,7959,25310,795

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$7.30$7.0045.1%11.1%28.1%19.1%42.2%-10.1%-0.9%14.2K-1.5M-9.1K0.08119.03N/AN/A506425,6593,594
2019-08-02$7.48$7.0052.7%11.0%29.6%23.1%0.0%3.5%-4.0%18.2K-1.8M-8.8K0.73109.13N/AN/A1185,6593,512
2019-08-05$7.33$7.0066.7%13.7%26.5%30.3%38.9%-4.5%-2.1%29.4K-1.6M-8.8K0.00102.23N/AN/A10005,1761,605
2019-08-06$7.10$7.00104.7%13.1%27.6%49.9%47.8%9.8%-35.8%31.5K-1.4M-9.0K0.0298.14N/AN/A501105,4041,605
2019-08-07$7.02$7.0057.7%13.3%27.5%25.6%0.0%16.8%2.8%33.3K-1.6M-9.7K0.00104.17N/AN/A50105,9051,595
2019-08-08$7.10$7.0071.5%12.6%28.1%32.7%0.0%-1.9%-11.1%42.2K-1.8M-10.5K0.00125.82N/AN/A106,4051,595
2019-08-09$7.08$7.0051.2%17.0%28.0%22.3%57.7%7.9%12.8%37.2K-1.9M-10.4K0.34113.05N/AN/A7042416,4061,595
2019-08-12$7.03$7.0071.3%17.7%28.0%32.6%0.0%-0.1%-10.4%37.3K-1.9M-10.6K0.00103.80N/AN/A4106,5031,577
2019-08-13$7.22$7.0082.2%17.5%29.5%38.3%0.0%-78.0%-17.0%39.6K-2.1M-10.8K0.00115.35N/AN/A006,5401,577
2019-08-14$6.88$7.0064.1%18.6%30.5%28.9%65.4%17.5%-0.1%33.5K-1.7M-10.5K0.37103.58N/AN/A38146,5401,577
2019-08-15$6.79$7.0061.7%17.2%29.5%27.7%60.8%13.5%-1.7%33.8K-1.6M-10.4K0.0798.49N/AN/A271206,5781,591
2019-08-16$6.83$7.0050.3%14.5%29.6%21.8%0.0%-11.8%1.2%43.0K-1.7M-10.6K3.1198.71N/AN/A9286,8491,611
2019-08-19$7.03$7.0055.1%15.5%31.3%24.3%53.9%3.3%-3.8%46.2K-2.0M-10.7K0.6297.50N/AN/A6714146,7521,528
2019-08-20$7.78$7.0040.9%11.4%47.5%17.0%43.0%1.1%1.2%77.5K-3.6M-11.2K0.7593.41N/AN/A6054517,7991,954
2019-08-21$7.45$7.0033.5%9.6%50.1%13.2%34.9%-6.6%0.7%65.5K-2.8M-11.2K6.32107.66N/AN/A281777,4502,364
2019-08-22$7.69$7.0039.2%11.4%51.2%16.1%41.1%1.5%-1.6%69.1K-3.2M-11.2K0.3792.53N/AN/A6502387,4432,455
2019-08-23$7.64$7.0049.5%14.8%51.3%21.4%53.1%1.0%-8.0%58.4K-3.4M-12.8K0.3689.79N/AN/A181668,0502,693
2019-08-26$7.21$7.0044.1%12.4%55.6%18.6%41.5%2.1%4.9%57.1K-2.5M-12.6K27.0096.82N/AN/A1278,0332,490
2019-08-27$7.18$7.0044.5%13.0%55.6%18.8%0.0%0.9%1.1%54.7K-2.4M-12.5K6.0094.81N/AN/A168,0332,513
2019-08-28$7.31$7.0040.4%11.2%55.9%16.7%43.3%6.0%0.9%60.2K-2.7M-12.3K8.7694.35N/AN/A252198,0412,518
2019-08-29$7.34$7.0037.6%10.6%55.6%15.2%21.6%-4.3%-3.8%63.2K-2.7M-12.6K0.0090.96N/AN/A2208,0662,721
2019-08-30$7.79$7.0041.9%11.9%58.9%17.5%41.6%-26.6%-1.2%72.2K-3.6M-12.3K0.82116.82N/AN/A1,2421,0238,0772,718