VNET Options History — February 2017

In February 2017, VNET traded between $7.21 and $7.50. ATM implied volatility averaged 56.7%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 28.5% (HV 20d: 28.2%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.65.

Notable Days

  • 2017-02-10: Highest Volume — 2,936 contracts
  • 2017-02-22: Largest IV spike — 83.4% change
  • 2017-02-24: Highest IV Rank — 79.4%
  • 2017-02-28: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.34$7.21$7.50$7.23$7.25
Max Pain$8.89$7.00$9.00$7.00$9.00
ATM IV56.7%45.0%98.5%49.7%49.1%
Expected Move14.9%13.0%16.9%13.0%16.9%
HV 20d28.2%22.8%36.1%34.8%22.8%
HV 60d38.6%38.0%39.2%38.5%38.1%
IV Rank41.0%30.3%79.4%34.6%34.1%
IV Percentile53.8%24.6%96.8%39.7%36.5%
Term Structure2.0%-19.9%16.2%-0.6%5.1%
VWIV51.5%41.7%72.8%47.8%72.8%
Skew 25d7.1%-27.3%112.3%-2.5%-27.3%
Skew 10d1.5%-68.9%46.6%-2.8%-68.9%
Call IV 25d58.7%45.0%123.3%49.2%77.1%
Put IV 25d65.8%43.5%166.3%46.7%49.8%
Bid-Ask Spread %94.2218.45139.45130.6766.02
Gamma HHI0.290.210.450.400.30
Net GEX-4.6K-16.6K9.6K-13.3K9.6K
Net DEX1.3M929.6K1.7M1.7M1.0M
Net VEX-8.2K-9.0K-7.5K-8.1K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.651.082.991.931.10
Total Volume1,991.8951,5932,9361,5932,200
Total OI8,148.7897,7178,5818,2078,581

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$7.23$7.0049.7%13.0%34.8%34.6%47.8%-2.5%-0.6%-13.3K1.7M-8.1K1.93130.67N/AN/A5431,0503,5744,633
2017-02-02$7.45$9.0049.0%14.8%36.1%34.0%53.0%2.5%11.1%-16.4K1.6M-8.5K1.8159.07N/AN/A5801,0503,5704,633
2017-02-03$7.49$9.0045.0%14.1%30.1%30.3%50.9%7.1%4.0%-16.6K1.5M-8.7K1.61101.96N/AN/A6531,0543,6014,633
2017-02-06$7.28$9.0050.9%15.0%31.7%35.7%55.6%-0.2%0.2%-13.3K1.6M-8.7K2.0295.79N/AN/A6131,2363,6484,603
2017-02-07$7.22$9.0057.6%14.6%30.3%41.8%47.7%1.0%-7.6%-11.2K1.6M-8.3K1.8957.66N/AN/A6371,2063,6754,518
2017-02-08$7.30$9.0046.4%14.2%30.5%31.6%46.2%4.2%7.0%-11.2K1.6M-8.3K1.9318.45N/AN/A6271,2133,7134,540
2017-02-09$7.21$9.0053.8%14.4%30.7%38.4%48.8%6.4%1.8%-10.6K1.6M-8.2K1.9526.43N/AN/A6221,2133,7304,540
2017-02-10$7.27$9.0050.9%15.0%30.4%35.7%64.6%-4.9%4.0%-11.1K1.4M-9.0K2.99106.42N/AN/A7352,2013,8174,540
2017-02-13$7.43$9.0053.7%14.8%27.9%38.3%43.3%-7.1%-3.8%-5.2K1.1M-8.4K1.75102.00N/AN/A6791,1893,8503,966
2017-02-14$7.40$9.0054.8%15.3%26.1%39.3%49.2%-9.0%-1.2%-4.8K1.0M-8.2K1.73104.26N/AN/A6861,1893,8523,879
2017-02-15$7.50$9.0049.7%14.2%26.2%34.6%49.3%-1.5%3.3%-3.2K1.1M-8.3K1.17102.08N/AN/A1,0111,1813,8383,879
2017-02-16$7.47$9.0054.2%14.9%25.9%38.8%49.5%-3.3%15.9%-1.1K929.6K-8.6K1.45112.57N/AN/A8361,2084,1573,921
2017-02-17$7.38$9.0050.4%14.3%26.5%35.3%45.5%-4.6%2.3%3.4K1.2M-7.5K1.45108.90N/AN/A8331,2084,2023,928
2017-02-21$7.36$9.0050.7%15.5%26.5%35.6%51.2%0.4%5.2%6651.0M-8.3K1.39120.34N/AN/A8621,1944,1713,851
2017-02-22$7.32$9.0093.0%15.1%26.6%74.4%51.9%42.5%-1.7%2.9K1.1M-8.0K1.43133.94N/AN/A8361,1944,2853,851
2017-02-23$7.24$9.0065.8%15.8%24.1%49.4%51.7%17.4%16.2%3.2K1.1M-7.6K1.38117.90N/AN/A8361,1574,3003,851
2017-02-24$7.25$9.0098.5%15.3%23.7%79.4%41.7%112.3%-19.9%4.1K1.1M-7.7K1.23139.45N/AN/A9421,1574,3003,864
2017-02-27$7.36$9.0053.4%16.2%24.2%38.0%57.8%0.9%-3.4%6.1K1.0M-7.8K1.0886.32N/AN/A1,0631,1524,4823,851
2017-02-28$7.25$9.0049.1%16.9%22.8%34.1%72.8%-27.3%5.1%9.6K1.0M-7.9K1.1066.02N/AN/A1,0481,1524,7233,858