VNET Options History — October 2019

In October 2019, VNET traded between $7.18 and $8.73. ATM implied volatility averaged 56.0%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 3.2% (HV 20d: 52.7%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.40.

Notable Days

  • 2019-10-14: Highest Volume — 1,003 contracts
  • 2019-10-08: Largest IV spike — 101.9% change
  • 2019-10-02: Highest IV Rank — 47.1%
  • 2019-10-02: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.96$7.18$8.73$7.73$8.42
Max Pain$8.67$8.00$9.00$8.00$8.00
ATM IV56.0%29.7%99.2%88.9%43.0%
Expected Move15.4%11.8%19.3%18.8%12.3%
HV 20d52.7%30.7%66.4%39.7%62.2%
HV 60d49.5%42.7%54.3%43.0%53.3%
IV Rank24.7%11.2%47.1%41.8%18.1%
IV Percentile62.7%0.8%98.0%97.2%31.3%
Term Structure5.6%-15.1%19.6%-2.7%19.6%
VWIV52.1%38.9%61.8%50.8%50.9%
Skew 25d-2.1%-11.0%12.0%12.0%0.8%
Skew 10d4.3%-15.4%54.9%22.1%-0.2%
Call IV 25d52.0%34.3%66.9%51.6%49.8%
Put IV 25d49.9%40.2%63.6%63.6%50.6%
Bid-Ask Spread %106.2892.96124.84122.29110.96
Gamma HHI0.290.170.360.170.32
Net GEX55.6K27.8K86.8K50.3K72.5K
Net DEX-3.3M-5.0M-1.5M-2.5M-4.4M
Net VEX-13.1K-15.5K-10.8K-15.5K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.001.620.001.11
Total Volume114.17401,003538
Total OI12,994.8711,54714,67114,65611,835

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$7.73$8.0088.9%18.8%39.7%41.8%0.0%12.0%-2.7%50.3K-2.5M-15.5K0.00122.29N/AN/A5010,2074,449
2019-10-02$7.53$8.0099.2%19.3%39.3%47.1%0.0%5.5%-9.8%41.3K-2.3M-15.2K0.00112.28N/AN/A5010,2124,449
2019-10-03$7.60$0.0069.8%16.4%34.4%31.9%0.0%1.1%2.3%38.6K-2.5M-14.8K0.00105.52N/AN/A5010,2174,449
2019-10-04$7.52$0.0056.6%14.9%34.1%25.0%0.0%-4.2%7.1%36.6K-2.2M-14.5K0.00102.75N/AN/A1010,2224,449
2019-10-07$7.52$0.0029.7%15.1%34.2%11.2%0.0%-0.6%-1.8%30.5K-2.1M-13.5K0.0096.72N/AN/A109,2363,825
2019-10-08$7.21$0.0059.9%16.0%35.1%26.8%0.0%-9.3%2.3%32.0K-1.6M-13.6K0.00100.30N/AN/A009,2373,825
2019-10-09$7.21$0.0044.0%12.6%31.9%18.5%0.0%-4.7%19.2%27.8K-1.6M-13.0K0.00106.84N/AN/A009,2373,825
2019-10-10$7.18$0.0049.2%14.1%30.7%21.3%0.0%-5.5%4.4%29.3K-1.5M-12.7K0.0094.62N/AN/A25509,2373,825
2019-10-11$7.23$0.0058.0%16.6%31.2%25.8%0.0%5.8%7.1%28.2K-1.7M-13.5K0.00108.91N/AN/A009,4923,825
2019-10-14$8.39$0.0055.2%15.8%63.5%24.3%50.8%-11.0%3.3%59.8K-4.0M-14.1K0.16112.49N/AN/A8611429,4923,825
2019-10-15$8.73$9.0051.5%14.8%65.1%22.4%47.8%-0.7%18.0%79.6K-5.0M-14.6K0.86120.05N/AN/A20817910,0113,961
2019-10-16$8.52$9.0056.8%16.3%65.0%25.2%58.6%-6.0%6.8%86.8K-4.6M-13.6K1.0899.03N/AN/A10811710,1223,979
2019-10-17$8.39$9.0058.5%16.8%65.2%26.1%0.0%-9.6%1.2%56.6K-4.4M-13.1K0.0097.86N/AN/A141010,0703,993
2019-10-18$8.16$9.0055.8%16.0%65.8%24.7%52.7%-3.2%7.4%63.3K-4.1M-13.4K0.6792.96N/AN/A3210,1273,993
2019-10-21$8.36$9.0053.7%15.4%66.4%23.6%56.1%1.9%15.2%66.0K-4.3M-12.4K1.62114.42N/AN/A13218,8462,701
2019-10-22$8.18$9.0063.5%18.2%65.5%28.7%0.0%-8.6%-15.1%65.4K-4.0M-12.6K0.00102.39N/AN/A008,8442,721
2019-10-23$7.99$9.0060.8%17.4%66.0%27.2%57.2%-5.5%-7.0%65.7K-3.5M-12.5K0.04102.71N/AN/A2518,8442,721
2019-10-24$8.15$9.0049.5%14.2%66.2%21.4%0.0%-7.6%9.7%67.1K-3.9M-12.2K0.74100.45N/AN/A1501118,8472,721
2019-10-25$8.14$9.0053.8%15.4%63.1%23.6%45.8%11.7%4.4%68.1K-3.9M-12.0K1.25104.60N/AN/A458,8772,832
2019-10-28$8.24$9.0046.5%13.3%63.1%19.8%61.8%-7.6%4.3%71.1K-4.1M-11.1K0.00101.19N/AN/A7908,8772,836
2019-10-29$8.32$8.0041.0%11.8%63.1%17.0%0.0%-3.7%17.5%71.3K-4.2M-11.1K0.00110.20N/AN/A4008,9522,836
2019-10-30$8.32$8.0042.2%12.1%62.1%17.6%38.9%-0.4%15.6%71.0K-4.4M-11.2K0.00124.84N/AN/A10608,9652,836
2019-10-31$8.42$8.0043.0%12.3%62.2%18.1%50.9%0.8%19.6%72.5K-4.4M-10.8K1.11110.96N/AN/A18208,9992,836