VNET Options History — January 2017

In January 2017, VNET traded between $7.03 and $7.45. ATM implied volatility averaged 47.8%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 5.7% (HV 20d: 42.0%). Max pain ranged from $7.00 to $12.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2017-01-20: Highest Volume — 4,947 contracts
  • 2017-01-10: Largest IV spike — 14.6% change
  • 2017-01-31: Highest IV Rank — 38.3%
  • 2017-01-30: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.18$7.03$7.45$7.09$7.19
Max Pain$7.50$7.00$12.00$12.00$7.00
ATM IV47.8%44.7%53.7%50.6%53.7%
Expected Move13.5%12.8%14.3%14.1%14.3%
HV 20d42.0%34.4%53.8%49.6%36.6%
HV 60d41.3%38.2%46.3%44.4%38.7%
IV Rank32.9%30.1%38.3%35.5%38.3%
IV Percentile37.3%25.8%59.5%43.7%59.5%
Term Structure1.5%-8.7%11.0%-4.2%-3.1%
VWIV46.4%41.3%50.4%43.8%49.4%
Skew 25d5.4%-14.4%30.0%2.3%4.4%
Skew 10d16.8%-43.5%123.8%18.7%12.0%
Call IV 25d46.6%38.0%52.1%48.7%47.2%
Put IV 25d52.0%35.5%78.1%51.0%51.6%
Bid-Ask Spread %102.3743.08136.3991.9178.36
Gamma HHI0.390.320.490.370.42
Net GEX-21.5K-50.0K-10.5K-33.8K-13.3K
Net DEX5.4M1.5M7.6M7.5M1.7M
Net VEX-8.3K-10.1K-7.1K-7.9K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.481.042.961.051.74
Total Volume2,454.21,6344,9472,5671,653
Total OI25,970.28,12335,64535,5258,196

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$7.09$12.0050.6%14.1%49.6%35.5%43.8%2.3%-4.2%-33.8K7.5M-7.9K1.0591.91N/AN/A1,2511,31622,13213,393
2017-01-04$7.04$12.0046.6%12.8%49.3%31.8%41.3%-0.2%1.2%-23.1K7.5M-8.1K1.07107.72N/AN/A1,2541,34022,19213,393
2017-01-05$7.45$7.0045.7%13.4%53.8%31.0%46.3%3.4%-2.3%-50.0K7.5M-9.4K1.0685.05N/AN/A1,2691,34022,19113,418
2017-01-06$7.40$7.0045.5%13.1%53.8%30.8%44.3%2.3%0.3%-45.6K7.6M-8.6K1.0590.51N/AN/A1,2971,36022,22713,418
2017-01-09$7.20$7.0044.7%13.2%51.1%30.1%46.2%-2.1%0.8%-27.8K7.6M-7.9K1.1094.52N/AN/A1,2241,34222,20813,418
2017-01-10$7.19$7.0051.2%13.1%47.6%36.0%45.8%11.3%-8.7%-25.6K7.6M-8.1K1.0886.09N/AN/A1,2431,34222,20813,420
2017-01-11$7.14$7.0050.7%13.5%45.2%35.5%46.8%27.2%-5.2%-16.8K7.6M-7.6K1.10101.25N/AN/A1,2231,34222,22613,390
2017-01-12$7.05$7.0051.1%13.4%45.2%35.9%46.6%30.0%-7.5%-14.6K7.2M-10.1K1.08128.15N/AN/A1,2231,32722,22513,392
2017-01-13$7.34$7.0048.2%13.9%43.2%33.3%47.7%24.9%1.8%-37.4K7.5M-8.9K1.04132.03N/AN/A1,2671,32222,22513,402
2017-01-17$7.15$7.0047.8%13.8%38.3%32.9%47.6%-8.4%9.6%-14.7K7.5M-8.0K1.07109.03N/AN/A1,2511,33522,21913,372
2017-01-18$7.10$7.0046.2%13.2%37.4%31.4%45.4%-7.9%2.3%-18.7K7.5M-7.1K1.09129.55N/AN/A1,2201,33322,23713,283
2017-01-19$7.03$7.0046.3%13.2%37.4%31.5%45.1%-14.4%2.1%-14.6K7.4M-7.2K2.3643.08N/AN/A1,2162,87022,24513,225
2017-01-20$7.06$7.0045.2%12.9%37.5%30.5%43.3%-9.1%1.8%-10.5K6.9M-7.1K2.9649.85N/AN/A1,2493,69822,26212,646
2017-01-23$7.10$7.0047.0%14.1%36.0%32.2%49.1%16.2%6.8%-13.3K1.6M-8.6K1.94124.60N/AN/A5681,1013,5394,584
2017-01-24$7.14$7.0046.5%13.7%34.4%31.7%47.8%9.6%5.9%-13.5K1.7M-8.8K1.85133.92N/AN/A5941,1013,5614,626
2017-01-25$7.38$7.0046.6%13.4%36.2%31.8%47.2%2.1%1.5%-15.9K1.6M-8.6K1.70106.04N/AN/A6201,0563,5924,626
2017-01-26$7.29$7.0044.7%12.8%35.8%30.1%45.2%6.2%9.8%-13.4K1.5M-9.0K1.78136.39N/AN/A5931,0563,6414,628
2017-01-27$7.25$7.0045.7%14.1%35.8%31.0%48.6%11.6%11.0%-14.4K1.6M-8.6K1.77109.76N/AN/A5981,0563,6414,633
2017-01-30$7.06$7.0051.0%14.3%36.6%35.9%50.4%-0.7%6.6%-13.1K1.7M-7.9K1.73109.57N/AN/A5981,0363,5554,615
2017-01-31$7.19$7.0053.7%14.3%36.6%38.3%49.4%4.4%-3.1%-13.3K1.7M-8.2K1.7478.36N/AN/A6031,0503,5794,617