VNET Options History — December 2019

In December 2019, VNET traded between $6.41 and $7.33. ATM implied volatility averaged 42.0%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 6.9% (HV 20d: 48.9%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2019-12-24: Highest Volume — 1,224 contracts
  • 2019-12-24: Largest IV drop — 17.5% change
  • 2019-12-02: Highest IV Rank — 23.9%
  • 2019-12-02: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.96$6.41$7.33$6.87$7.13
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV42.0%30.9%54.3%54.3%39.7%
Expected Move12.1%8.9%15.6%15.6%11.4%
HV 20d48.9%41.5%54.5%41.5%51.2%
HV 60d50.7%48.2%52.9%48.2%52.9%
IV Rank10.4%1.2%23.9%23.9%6.3%
IV Percentile29.9%1.2%76.6%76.6%18.3%
Term Structure4.1%-10.2%14.9%-8.4%3.1%
VWIV40.6%26.7%54.3%54.3%39.7%
Skew 25d-2.9%-23.6%12.3%-2.0%12.3%
Skew 10d4.3%-22.2%32.6%4.4%17.4%
Call IV 25d42.2%27.0%51.8%42.2%28.0%
Put IV 25d39.3%22.6%54.4%40.2%40.3%
Bid-Ask Spread %119.8296.19143.7997.85108.20
Gamma HHI0.740.310.980.780.31
Net GEX170.1K28.1K1.0M105.1K43.8K
Net DEX-2.4M-4.5M-725.3K-2.0M-1.8M
Net VEX-7.7K-10.3K-5.1K-10.3K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.008.000.110.23
Total Volume200.71401,2249458
Total OI12,166.4294,50714,90814,7046,406

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$6.87$7.0054.3%15.6%41.5%23.9%54.3%-2.0%-8.4%105.1K-2.0M-10.3K0.1197.85N/AN/A85911,8832,821
2019-12-03$6.52$7.0052.7%15.1%43.9%23.1%50.2%3.2%-10.2%88.3K-969.3K-9.0K0.4596.67N/AN/A221011,8282,819
2019-12-04$7.02$7.0044.8%12.8%53.1%18.9%33.4%0.5%3.2%134.2K-2.4M-9.9K0.1096.19N/AN/A2212111,8402,819
2019-12-05$7.03$7.0046.2%13.8%53.2%19.7%43.5%4.7%5.3%135.9K-2.4M-10.0K0.00134.17N/AN/A02111,9832,840
2019-12-06$6.98$7.0041.1%14.0%52.3%17.1%0.0%-3.6%5.5%153.2K-2.2M-9.7K0.00137.55N/AN/A0011,9832,860
2019-12-09$6.96$7.0046.2%12.2%51.9%19.7%42.2%-6.9%14.9%154.1K-2.3M-9.1K0.00139.08N/AN/A7011,9832,860
2019-12-10$7.17$7.0046.1%12.8%53.6%10.0%44.0%-6.9%11.6%167.0K-3.0M-9.0K0.36125.92N/AN/A11411,9882,860
2019-12-11$7.23$7.0045.5%13.1%53.8%9.7%31.5%-1.4%10.2%157.8K-3.5M-8.6K2.46136.05N/AN/A133211,9992,859
2019-12-12$7.32$7.0043.8%12.6%53.5%8.6%0.0%1.0%11.2%169.0K-3.9M-8.0K0.10127.03N/AN/A10112,0092,889
2019-12-13$7.14$7.0043.5%12.5%54.0%8.5%0.0%-3.7%10.2%204.7K-3.3M-8.2K0.00108.54N/AN/A0012,0192,889
2019-12-16$7.31$7.0042.7%12.2%54.5%8.0%0.0%-1.2%7.6%178.4K-4.1M-7.0K0.00136.47N/AN/A10012,0192,889
2019-12-17$7.33$7.0041.0%11.8%53.8%7.0%0.0%-2.1%11.6%133.1K-4.5M-6.4K0.00143.79N/AN/A1,000012,0122,875
2019-12-18$7.26$7.0038.4%11.0%44.0%5.5%36.8%-2.6%9.6%154.8K-4.4M-6.0K0.00125.83N/AN/A256012,0002,875
2019-12-19$7.11$7.0038.8%11.1%44.5%5.7%48.7%-13.9%7.4%398.4K-3.5M-6.2K0.00113.39N/AN/A366011,7462,654
2019-12-20$6.97$7.0037.0%10.6%44.8%4.7%37.0%-4.5%7.9%1.0M-1.4M-5.5K8.00122.48N/AN/A1811,7492,654
2019-12-23$6.74$7.0037.5%10.7%46.0%5.0%38.9%3.1%-2.7%28.3K-783.4K-5.2K0.35122.40N/AN/A200703,821686
2019-12-24$6.63$7.0030.9%8.9%46.2%1.2%34.5%-5.2%4.1%28.1K-725.3K-5.1K0.00135.45N/AN/A1,22404,013685
2019-12-26$6.47$7.0035.1%10.1%43.2%3.6%26.7%-4.5%-7.1%33.9K-1.1M-6.6K0.00102.45N/AN/A30105,210685
2019-12-27$6.41$7.0037.5%10.8%43.1%5.0%0.0%-23.6%-5.4%33.2K-1.1M-6.9K0.00101.42N/AN/A12505,510685
2019-12-30$6.64$7.0040.0%11.5%44.5%6.4%47.0%-3.2%-3.2%37.7K-1.4M-7.3K0.18105.29N/AN/A109205,625665
2019-12-31$7.13$7.0039.7%11.4%51.2%6.3%39.7%12.3%3.1%43.8K-1.8M-7.8K0.23108.20N/AN/A47115,721685