VNET Options History — October 2016

In October 2016, VNET traded between $6.88 and $8.00. ATM implied volatility averaged 51.1%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 9.3% (HV 20d: 41.8%). Max pain ranged from $6.00 to $9.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-10-25: Highest Volume — 17,164 contracts
  • 2016-10-13: Largest IV spike — 23.2% change
  • 2016-10-21: Highest IV Rank — 44.3%
  • 2016-10-21: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.52$6.88$8.00$7.81$7.26
Max Pain$7.33$6.00$9.00$9.00$6.00
ATM IV51.1%42.4%60.2%46.5%54.4%
Expected Move15.2%13.4%17.9%14.5%13.7%
HV 20d41.8%27.3%53.5%31.2%53.1%
HV 60d46.7%42.3%50.6%45.3%50.5%
IV Rank36.0%27.9%44.3%31.7%39.0%
IV Percentile58.9%48.8%73.8%53.2%64.3%
Term Structure1.5%-5.5%11.7%-0.3%-2.5%
VWIV49.7%37.1%60.2%60.2%49.6%
Skew 25d2.3%-7.9%34.7%5.5%2.6%
Skew 10d5.8%-29.8%120.3%0.0%-19.3%
Call IV 25d52.3%39.3%60.1%47.6%54.8%
Put IV 25d54.5%44.4%89.0%53.2%57.4%
Bid-Ask Spread %108.3364.15130.4298.76121.42
Gamma HHI0.340.270.420.270.38
Net GEX-87.7K-150.3K63.0K-113.2K39.5K
Net DEX12.3M9.8M13.8M12.6M11.3M
Net VEX-30.6K-37.1K-22.5K-33.8K-30.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.140.910.700.84
Total Volume5,095.9053,75017,1643,7504,214
Total OI50,611.09547,47357,68047,47357,335

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$7.81$9.0046.5%14.5%31.2%31.7%60.2%5.5%-0.3%-113.2K12.6M-33.8K0.7098.76N/AN/A2,2041,54621,90725,566
2016-10-04$7.79$9.0045.8%15.4%30.7%31.0%47.6%-2.1%0.8%-125.9K12.5M-33.3K0.6282.10N/AN/A2,3631,47422,03725,756
2016-10-05$8.00$8.0049.2%14.5%32.9%34.2%45.8%-0.1%0.1%-127.8K12.3M-34.7K0.6185.27N/AN/A2,3901,44822,20325,769
2016-10-06$7.81$9.0044.7%14.2%33.5%30.0%38.0%-0.1%3.1%-125.8K12.5M-32.9K0.6373.96N/AN/A2,3121,44822,58025,775
2016-10-07$7.79$9.0046.5%13.6%32.4%31.7%37.1%8.1%3.4%-145.6K12.6M-32.4K0.6364.15N/AN/A2,3051,44822,62625,775
2016-10-10$7.83$9.0046.2%13.4%32.6%31.4%38.5%-2.1%-0.2%-150.3K13.0M-31.8K0.60119.17N/AN/A2,4091,43822,06225,735
2016-10-11$7.85$9.0047.1%14.7%27.7%32.3%46.3%0.3%1.5%-141.3K12.9M-32.8K0.66125.14N/AN/A2,3111,51622,26725,735
2016-10-12$7.85$8.0042.4%15.2%27.3%27.9%45.4%0.5%3.2%-132.3K12.7M-32.2K0.65129.66N/AN/A2,3211,50622,42825,685
2016-10-13$7.07$8.0052.2%17.4%45.1%36.9%51.4%1.2%11.7%-127.9K13.7M-24.3K0.63117.13N/AN/A2,3831,50522,44825,686
2016-10-14$6.88$8.0053.5%16.2%45.6%38.1%50.1%-7.9%3.1%-115.3K13.8M-22.5K0.63120.38N/AN/A2,4481,53922,73925,734
2016-10-17$7.01$8.0058.4%17.3%46.6%42.6%57.2%34.7%-5.5%-126.0K13.3M-25.0K0.43129.10N/AN/A3,5481,52822,83025,566
2016-10-18$7.03$6.0057.3%16.5%46.7%41.6%53.9%13.4%2.4%-90.0K13.0M-25.1K0.34103.13N/AN/A4,4451,52623,81225,566
2016-10-19$7.04$6.0056.0%16.1%46.2%40.4%57.0%0.2%2.9%-72.6K12.7M-26.9K0.47130.42N/AN/A3,4991,64725,57625,566
2016-10-20$7.25$6.0056.4%16.3%45.6%40.8%53.9%1.6%2.1%-73.0K12.9M-27.1K0.50118.08N/AN/A3,3171,67126,41825,437
2016-10-21$7.51$6.0060.2%17.9%48.1%44.3%55.1%-6.8%-3.5%-129.5K11.8M-31.5K0.61105.73N/AN/A3,5792,19926,40225,476
2016-10-24$7.61$6.0052.8%14.9%46.9%37.4%53.2%-1.3%2.1%-114.3K12.5M-30.2K0.57107.05N/AN/A3,7652,15323,96725,087
2016-10-25$7.96$6.0049.7%14.0%49.8%34.7%48.8%-3.6%2.9%-108.5K11.6M-33.9K0.14126.74N/AN/A15,0202,14425,30025,077
2016-10-26$7.65$6.0051.4%14.8%51.5%36.2%51.0%-2.3%1.3%44.6K10.1M-34.7K0.73105.68N/AN/A2,9432,14132,47925,078
2016-10-27$7.67$6.0050.4%14.7%51.2%35.2%52.6%-4.6%1.8%63.0K9.8M-37.1K0.91104.86N/AN/A2,3472,14032,58725,081
2016-10-28$7.32$6.0052.7%13.8%53.5%37.4%51.0%10.3%0.4%31.4K11.5M-30.8K0.75107.03N/AN/A2,7832,09132,59925,081
2016-10-31$7.26$6.0054.4%13.7%53.1%39.0%49.6%2.6%-2.5%39.5K11.3M-30.6K0.84121.42N/AN/A2,2871,92732,42824,907