VNET Options History — November 2019

In November 2019, VNET traded between $6.79 and $8.61. ATM implied volatility averaged 46.1%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 2.0% (HV 20d: 44.1%). 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 3 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2019-11-19: Highest Volume — 1,679 contracts
  • 2019-11-13: Largest IV spike — 25.1% change
  • 2019-11-18: Highest IV Rank — 27.7%
  • 2019-11-18: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.84$6.79$8.61$8.61$6.79
Max Pain$7.05$7.00$8.00$8.00$7.00
ATM IV46.1%33.2%61.7%33.2%47.5%
Expected Move14.3%9.5%17.7%9.5%13.6%
HV 20d44.1%28.0%62.9%62.2%42.5%
HV 60d50.7%47.7%54.0%53.4%48.1%
IV Rank19.6%13.0%27.7%13.0%20.3%
IV Percentile44.6%3.6%90.1%3.6%53.6%
Term Structure-2.5%-8.7%10.5%10.5%-8.6%
VWIV47.0%32.2%61.9%32.2%44.3%
Skew 25d1.9%-9.1%11.7%-6.8%-6.9%
Skew 10d7.8%-11.5%19.1%-0.2%0.8%
Call IV 25d48.2%36.9%62.6%36.9%45.8%
Put IV 25d50.0%30.0%62.9%30.0%38.9%
Bid-Ask Spread %94.0682.61106.38106.3896.32
Gamma HHI0.460.290.800.290.80
Net GEX83.8K67.7K117.7K73.9K104.3K
Net DEX-3.6M-4.9M-1.6M-4.9M-1.6M
Net VEX-10.0K-10.9K-9.0K-9.9K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0020.000.020.02
Total Volume228.401,679256278
Total OI12,685.5511,88414,49011,88414,490

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$8.61$8.0033.2%9.5%62.2%13.0%32.2%-6.8%10.5%73.9K-4.9M-9.9K0.02106.38N/AN/A25159,0282,856
2019-11-04$8.43$7.0040.1%14.7%62.9%16.5%0.0%0.5%-2.0%74.4K-4.6M-10.1K2.6090.09N/AN/A5139,1332,856
2019-11-05$8.19$7.0045.5%15.3%61.7%19.3%0.0%0.8%-3.8%72.0K-4.1M-10.4K0.0094.26N/AN/A1309,1332,869
2019-11-06$8.07$7.0043.7%15.1%62.2%18.4%0.0%3.6%-2.3%71.0K-3.8M-10.5K0.0090.84N/AN/A109,1462,869
2019-11-07$8.22$7.0048.4%15.9%62.2%20.8%0.0%0.1%-3.9%71.4K-4.1M-10.4K0.0493.35N/AN/A5729,1472,869
2019-11-08$8.30$7.0047.6%15.6%62.2%20.4%54.6%2.8%-2.9%72.7K-4.3M-10.4K20.0091.59N/AN/A1209,1972,871
2019-11-11$8.18$7.0041.1%16.2%32.9%17.1%43.1%11.7%-5.7%69.8K-4.0M-9.9K0.0598.00N/AN/A4429,1472,871
2019-11-12$8.19$7.0041.4%16.4%29.2%17.2%0.0%2.0%-4.7%71.0K-4.1M-9.8K0.0092.43N/AN/A009,1702,873
2019-11-13$7.96$7.0051.8%14.8%29.6%22.6%0.0%2.4%-3.9%69.6K-3.6M-9.6K0.0089.44N/AN/A059,1702,873
2019-11-14$7.94$7.0051.3%14.7%29.3%22.3%50.7%3.8%-2.7%67.7K-3.6M-9.4K0.0196.92N/AN/A10019,1702,853
2019-11-15$8.06$7.0052.8%15.1%28.4%23.1%50.2%3.2%-3.0%72.5K-4.0M-9.0K0.0290.33N/AN/A28379,1552,854
2019-11-18$8.23$7.0061.7%17.7%28.0%27.7%61.9%0.3%-8.7%76.6K-4.2M-9.4K0.3082.61N/AN/A6381949,2202,768
2019-11-19$7.53$7.0046.9%13.5%41.5%20.1%44.1%10.7%-1.8%87.8K-2.9M-9.0K0.0591.42N/AN/A1,602779,8192,813
2019-11-20$7.49$7.0042.6%12.2%40.9%17.8%43.1%6.4%4.6%98.4K-3.5M-10.6K0.2895.38N/AN/A571610,8172,810
2019-11-21$7.54$7.0048.3%13.9%40.2%20.8%47.2%9.1%-1.7%96.7K-3.5M-10.9K0.0784.83N/AN/A40310,8392,805
2019-11-22$7.51$7.0045.3%13.0%40.2%19.2%0.0%4.4%-2.8%99.9K-3.4M-10.5K0.03103.69N/AN/A37110,8752,803
2019-11-25$7.45$7.0045.7%13.1%39.7%19.4%44.9%1.9%-4.4%102.5K-3.4M-10.0K0.1199.37N/AN/A1872010,8972,803
2019-11-26$7.06$7.0040.9%11.7%42.9%17.0%0.0%-9.1%1.4%117.7K-2.4M-10.0K0.0696.60N/AN/A35211,0842,823
2019-11-27$6.97$7.0046.4%13.3%42.8%19.8%47.6%-3.7%-4.7%106.6K-2.0M-10.0K0.0097.43N/AN/A570111,1142,821
2019-11-29$6.79$7.0047.5%13.6%42.5%20.3%44.3%-6.9%-8.6%104.3K-1.6M-10.2K0.0296.32N/AN/A272611,6692,821