VNET Options History — September 2019

In September 2019, VNET traded between $7.61 and $8.84. ATM implied volatility averaged 50.5%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 0.8% (HV 20d: 51.3%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 4.58.

Notable Days

  • 2019-09-06: Highest Volume — 1,390 contracts
  • 2019-09-27: Largest IV spike — 122.6% change
  • 2019-09-27: Highest IV Rank — 65.4%
  • 2019-09-27: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.28$7.61$8.84$7.73$7.64
Max Pain$7.80$7.00$8.00$7.00$8.00
ATM IV50.5%31.8%134.7%43.0%50.5%
Expected Move14.1%10.9%26.0%11.9%17.8%
HV 20d51.3%39.6%59.5%58.5%39.6%
HV 60d43.8%42.3%46.9%45.6%43.8%
IV Rank21.9%12.3%65.4%18.0%21.9%
IV Percentile41.8%1.2%99.6%25.4%56.3%
Term Structure-2.5%-23.8%18.2%-1.5%-8.5%
VWIV45.4%37.7%70.9%44.5%44.1%
Skew 25d3.0%-17.1%31.1%-1.1%15.7%
Skew 10d-7.4%-117.1%30.3%-52.6%-33.2%
Call IV 25d42.7%33.1%65.8%43.2%50.3%
Put IV 25d45.7%30.6%73.1%42.0%66.0%
Bid-Ask Spread %104.8887.51132.0198.83122.53
Gamma HHI0.240.180.300.290.18
Net GEX98.4K42.9K128.4K81.6K42.9K
Net DEX-4.8M-6.3M-2.5M-3.4M-2.5M
Net VEX-14.1K-16.8K-11.9K-13.5K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.580.0050.000.220.14
Total Volume390.701,3901158
Total OI15,149.0512,74017,91712,74014,648

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$7.73$7.0043.0%11.9%58.5%18.0%44.5%-1.1%-1.5%81.6K-3.4M-13.5K0.2298.83N/AN/A94219,1663,574
2019-09-04$7.95$7.0041.0%12.9%57.6%17.0%0.0%7.7%-0.4%101.2K-4.1M-13.2K0.9297.24N/AN/A75699,2403,574
2019-09-05$8.36$7.0031.8%11.5%59.4%12.3%41.3%31.1%8.8%107.3K-5.2M-11.9K0.00111.60N/AN/A75009,3113,643
2019-09-06$8.42$7.0039.3%11.8%59.4%16.1%39.7%-17.1%-3.5%116.9K-5.4M-12.9K1.22109.78N/AN/A6267649,9913,806
2019-09-09$8.39$8.0042.1%11.2%59.4%17.6%0.0%-2.5%-2.0%120.9K-5.4M-13.4K0.0087.51N/AN/A0110,5324,501
2019-09-10$8.56$8.0040.1%10.9%59.2%16.5%37.8%4.7%-0.5%121.5K-6.0M-12.5K5.5688.84N/AN/A2715010,5324,502
2019-09-11$8.84$8.0040.4%11.9%59.5%16.7%0.0%-16.2%0.4%112.6K-6.3M-12.9K0.0098.06N/AN/A30010,5204,649
2019-09-12$8.55$8.0039.9%11.4%57.7%16.4%37.7%3.5%11.4%114.8K-5.9M-12.2K0.3092.62N/AN/A10310,5004,649
2019-09-13$8.49$8.0040.4%11.6%57.4%16.7%0.0%4.8%18.2%123.5K-5.7M-12.8K50.0092.32N/AN/A630010,5104,646
2019-09-16$8.65$8.0041.0%11.8%57.5%17.0%0.0%-1.4%5.6%115.8K-6.0M-12.1K23.2387.91N/AN/A2251110,3404,874
2019-09-17$8.61$8.0051.0%14.6%57.4%22.2%49.7%-0.3%6.1%100.6K-5.4M-14.1K0.02114.68N/AN/A9362110,3625,384
2019-09-18$8.38$8.0057.1%16.4%47.5%25.3%44.4%-2.9%-19.8%95.1K-5.6M-15.0K0.03128.02N/AN/A34111,2175,405
2019-09-19$8.43$8.0050.3%14.4%44.2%21.8%42.2%-0.2%-1.1%128.4K-5.5M-14.6K0.08106.71N/AN/A1,2919811,2515,406
2019-09-20$8.33$8.0049.4%14.2%43.5%21.4%0.0%-0.1%-3.3%101.2K-5.8M-16.1K0.26111.30N/AN/A83521612,4205,497
2019-09-23$8.39$8.0051.6%14.8%43.4%22.5%47.3%5.0%-15.5%109.6K-4.4M-16.0K0.40108.62N/AN/A532110,5794,982
2019-09-24$8.09$8.0054.4%15.6%39.8%23.9%0.0%7.2%-7.1%79.6K-3.7M-16.2K0.00101.43N/AN/A6010,6135,003
2019-09-25$8.14$8.0051.3%14.7%39.6%22.3%0.0%4.8%-3.7%81.1K-3.8M-16.0K0.00101.12N/AN/A0010,6145,003
2019-09-26$8.03$8.0060.5%16.3%40.0%27.1%0.0%-4.7%-9.5%62.4K-3.5M-15.7K0.04106.49N/AN/A3351210,6195,003
2019-09-27$7.61$8.00134.7%26.0%45.0%65.4%70.9%22.4%-23.8%50.5K-2.6M-16.8K0.00132.01N/AN/A488010,9015,014
2019-09-30$7.64$8.0050.5%17.8%39.6%21.9%44.1%15.7%-8.5%42.9K-2.5M-15.1K0.14122.53N/AN/A7110,2004,448