VNET Options History — December 2016

In December 2016, VNET traded between $6.86 and $8.43. ATM implied volatility averaged 45.8%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 3.4% (HV 20d: 42.4%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2016-12-14: Highest Volume — 6,732 contracts
  • 2016-12-27: Largest IV spike — 7.0% change
  • 2016-12-30: Highest IV Rank — 34.4%
  • 2016-12-01: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.44$6.86$8.43$7.40$6.86
Max Pain$12.19$10.00$13.00$10.00$12.00
ATM IV45.8%42.7%49.5%45.9%49.5%
Expected Move13.0%12.1%14.8%14.8%13.9%
HV 20d42.4%28.5%51.6%29.8%48.7%
HV 60d42.2%37.8%44.7%39.2%44.1%
IV Rank31.1%28.2%34.4%31.1%34.4%
IV Percentile36.7%32.9%41.3%37.7%41.3%
Term Structure-0.2%-4.9%4.2%-1.6%-2.2%
VWIV47.1%42.5%55.4%55.3%46.9%
Skew 25d2.8%-5.1%56.1%1.3%56.1%
Skew 10d9.4%-16.9%117.6%3.7%117.6%
Call IV 25d46.1%41.3%49.9%47.8%49.9%
Put IV 25d48.9%41.0%105.9%49.1%105.9%
Bid-Ask Spread %97.8941.11115.83112.76110.19
Gamma HHI0.390.250.560.330.35
Net GEX-102.0K-277.5K-13.6K-90.1K-26.6K
Net DEX10.3M7.2M13.9M12.9M7.3M
Net VEX-13.7K-21.0K-7.8K-18.7K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.711.550.720.91
Total Volume4,113.192,7206,7325,2812,760
Total OI45,383.66736,56353,14453,11436,563

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$7.40$10.0045.9%14.8%29.8%31.1%55.3%1.3%-1.6%-90.1K12.9M-18.7K0.72112.76N/AN/A3,0692,21228,24824,866
2016-12-02$7.57$10.0044.1%13.3%29.7%29.6%55.4%1.1%-1.5%-134.8K13.0M-18.6K0.80106.83N/AN/A2,7622,21328,27324,871
2016-12-05$7.65$13.0045.4%12.5%29.6%30.7%46.7%-1.2%0.5%-157.2K12.9M-18.3K0.7779.79N/AN/A2,6692,06427,36123,866
2016-12-06$7.67$13.0043.9%12.9%28.5%29.4%47.1%-0.7%1.8%-176.8K13.1M-17.2K0.7898.47N/AN/A2,6692,07327,38423,887
2016-12-07$7.68$13.0044.0%12.9%28.5%29.4%44.3%-1.6%-1.5%-176.3K13.3M-16.8K1.0041.11N/AN/A2,0792,07327,38423,897
2016-12-08$8.06$13.0042.7%12.7%32.8%28.2%43.5%1.6%-0.3%-243.4K11.6M-19.4K0.9694.73N/AN/A2,1592,08227,37823,881
2016-12-09$8.43$13.0044.0%12.1%35.6%29.5%43.2%2.4%-0.4%-246.9K9.5M-21.0K0.9593.92N/AN/A2,1992,10027,51523,866
2016-12-12$8.04$13.0046.2%13.0%40.4%31.4%45.3%-0.1%-0.4%-277.5K11.9M-18.6K0.7194.36N/AN/A2,9442,09226,93023,839
2016-12-13$8.06$13.0047.9%13.5%39.4%33.0%45.5%0.4%0.4%-244.2K11.5M-18.5K1.1794.55N/AN/A2,5132,93227,80823,852
2016-12-14$7.58$13.0049.0%12.9%45.7%34.1%46.1%2.8%-4.2%-103.9K13.9M-14.3K1.5599.27N/AN/A2,6404,09227,88023,416
2016-12-15$7.13$12.0045.6%12.3%48.6%30.9%49.6%0.3%-4.9%-40.5K13.5M-10.0K0.8799.77N/AN/A2,5672,23127,97322,343
2016-12-16$7.30$12.0044.7%12.7%49.5%30.1%45.1%-0.8%0.6%-14.1K13.2M-12.3K1.0181.00N/AN/A2,3022,33328,09022,194
2016-12-19$7.33$12.0045.2%12.9%49.5%30.5%45.5%-1.5%0.9%-16.7K7.5M-10.9K0.84105.27N/AN/A1,7771,50024,04413,982
2016-12-20$7.32$12.0044.1%12.7%49.4%29.6%45.9%-1.4%0.0%-31.8K7.6M-10.6K0.80101.75N/AN/A1,7771,41824,12913,984
2016-12-21$7.10$12.0046.1%13.2%50.4%31.4%45.6%4.1%2.0%-32.8K7.5M-10.1K0.77103.16N/AN/A1,7121,32224,16413,891
2016-12-22$6.90$12.0045.2%12.8%50.7%30.6%46.0%-5.1%3.7%-27.2K7.2M-9.1K0.73103.96N/AN/A1,8271,33224,17913,511
2016-12-23$6.94$12.0045.1%12.5%50.8%30.4%42.5%-0.3%4.2%-27.1K7.3M-9.1K0.72106.56N/AN/A1,8361,33124,24713,517
2016-12-27$7.10$12.0048.2%13.3%51.6%33.3%53.0%-0.1%-0.4%-34.2K7.4M-8.9K0.78106.42N/AN/A1,6801,30623,16813,477
2016-12-28$7.09$12.0047.7%13.1%50.7%32.8%46.8%0.8%-1.7%-26.6K7.3M-9.2K0.78105.89N/AN/A1,6941,31623,17913,427
2016-12-29$6.97$12.0046.5%12.5%50.8%31.8%48.8%1.0%1.6%-13.6K7.5M-7.8K0.94115.83N/AN/A1,4041,31623,18013,413
2016-12-30$6.86$12.0049.5%13.9%48.7%34.4%46.9%56.1%-2.2%-26.6K7.3M-8.1K0.91110.19N/AN/A1,4441,31623,17913,384