VNET Options History — November 2016

In November 2016, VNET traded between $7.02 and $7.77. ATM implied volatility averaged 53.7%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 14.5% (HV 20d: 39.2%). Max pain ranged from $6.00 to $11.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2016-11-28: Highest Volume — 5,627 contracts
  • 2016-11-14: Largest IV spike — 7.4% change
  • 2016-11-03: Highest IV Rank — 43.3%
  • 2016-11-23: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.42$7.02$7.77$7.19$7.75
Max Pain$9.90$6.00$11.00$6.00$10.00
ATM IV53.7%48.9%59.2%55.5%48.9%
Expected Move15.4%14.0%17.0%14.3%14.5%
HV 20d39.2%23.5%53.1%53.1%24.0%
HV 60d42.0%38.1%49.7%49.6%38.2%
IV Rank38.3%33.9%43.3%40.0%33.9%
IV Percentile57.5%40.9%73.0%67.5%40.9%
Term Structure-1.9%-6.8%0.9%0.7%0.4%
VWIV56.2%46.0%72.6%52.7%51.3%
Skew 25d3.6%-8.0%35.2%0.4%0.5%
Skew 10d13.7%-10.0%78.9%11.8%-2.6%
Call IV 25d54.8%48.7%61.5%57.3%49.3%
Put IV 25d58.4%48.1%94.0%57.7%49.8%
Bid-Ask Spread %96.3729.53126.32120.42108.24
Gamma HHI0.310.270.350.330.34
Net GEX-23.2K-123.6K48.3K30.9K-116.9K
Net DEX11.9M11.3M12.5M11.5M12.2M
Net VEX-24.7K-29.7K-21.7K-29.7K-21.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.560.970.810.70
Total Volume4,699.3814,1225,6274,2965,317
Total OI56,048.76251,71259,48357,33553,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$7.19$6.0055.5%14.3%53.1%40.0%52.7%0.4%0.7%30.9K11.5M-29.7K0.81120.42N/AN/A2,3691,92732,42824,907
2016-11-02$7.15$6.0058.4%15.5%51.9%42.6%56.3%0.7%-3.1%29.3K11.4M-28.3K0.83126.32N/AN/A2,3681,95432,58224,413
2016-11-03$7.02$11.0059.2%16.1%51.7%43.3%53.0%19.1%-6.6%12.3K12.2M-23.9K0.8394.79N/AN/A2,3561,96332,61224,399
2016-11-04$7.10$11.0057.5%15.7%52.0%41.8%51.2%13.8%-6.8%16.8K12.0M-24.5K0.8895.17N/AN/A2,2201,94732,65724,401
2016-11-07$7.28$11.0054.6%14.9%53.0%39.1%49.7%3.2%-0.7%48.3K11.6M-26.9K0.88111.60N/AN/A2,2081,93232,54824,352
2016-11-08$7.33$11.0054.8%15.4%53.1%39.3%46.0%3.7%-0.2%34.9K12.0M-25.8K0.8896.27N/AN/A2,1891,93332,53424,352
2016-11-09$7.36$11.0051.0%14.7%53.1%35.8%59.5%-2.6%0.3%39.0K12.3M-24.8K0.9244.98N/AN/A2,1892,01432,54624,355
2016-11-10$7.33$11.0053.4%15.2%37.3%38.0%59.1%0.1%-1.7%19.8K12.4M-24.3K0.69101.50N/AN/A2,9452,01932,54624,439
2016-11-11$7.42$10.0051.8%14.2%35.8%36.6%59.0%-1.0%-6.1%46.2K11.8M-25.9K0.6967.69N/AN/A2,9061,99533,27824,444
2016-11-14$7.27$10.0055.6%15.9%36.3%40.1%51.5%-8.0%-1.8%38.7K11.9M-24.4K0.5929.53N/AN/A3,3651,98633,24824,391
2016-11-15$7.19$10.0055.1%15.8%36.6%39.6%72.6%35.2%-0.4%-48.8K12.5M-21.8K0.56103.36N/AN/A3,4851,93734,32024,395
2016-11-16$7.49$10.0054.4%15.6%39.2%39.0%61.5%17.0%-0.5%38.0K12.0M-24.7K0.66102.84N/AN/A3,0872,04534,81924,425
2016-11-17$7.50$10.0053.3%15.3%38.0%37.9%54.6%-0.1%0.9%-8.0K11.5M-26.1K0.76104.30N/AN/A2,8252,14534,93324,406
2016-11-18$7.51$10.0053.4%15.6%35.9%38.1%53.4%-0.1%-3.5%-82.4K11.7M-25.2K0.68102.98N/AN/A3,0232,06834,97224,511
2016-11-21$7.57$10.0051.2%15.4%35.6%36.0%60.3%1.2%0.4%-82.1K12.1M-22.9K0.96104.35N/AN/A2,1742,07827,82924,407
2016-11-22$7.61$10.0052.6%15.7%31.5%37.3%58.9%3.1%-1.6%-79.9K11.9M-23.6K0.97103.55N/AN/A2,1142,05128,08124,389
2016-11-23$7.71$10.0052.1%17.0%28.6%36.9%58.3%-3.2%-1.9%-62.1K11.3M-25.0K0.94108.94N/AN/A2,1562,03728,29324,383
2016-11-25$7.71$10.0053.3%16.3%28.6%38.0%56.3%-7.0%-2.4%-123.6K11.3M-24.6K0.95101.03N/AN/A2,2302,11928,58424,393
2016-11-28$7.59$10.0050.6%16.0%23.5%35.5%63.5%0.4%-2.4%-115.2K12.1M-22.6K0.8793.12N/AN/A3,0122,61527,26324,449
2016-11-29$7.77$10.0051.2%14.0%24.4%36.0%51.5%-0.6%-3.9%-123.3K12.3M-22.3K0.81102.69N/AN/A2,9772,40728,45225,058
2016-11-30$7.75$10.0048.9%14.5%24.0%33.9%51.3%0.5%0.4%-116.9K12.2M-21.7K0.70108.24N/AN/A3,1272,19028,35824,872