VNET Options History — April 2017

In April 2017, VNET traded between $5.35 and $5.55. ATM implied volatility averaged 59.4%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 13.2% (HV 20d: 46.2%). Max pain ranged from $5.50 to $6.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.03.

Notable Days

  • 2017-04-03: Highest Volume — 3,169 contracts
  • 2017-04-25: Largest IV spike — 57.2% change
  • 2017-04-25: Highest IV Rank — 78.6%
  • 2017-04-25: Largest Expected Move — 44.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.47$5.35$5.55$5.39$5.41
Max Pain$5.89$5.50$6.00$5.50$5.50
ATM IV59.4%44.8%99.3%60.4%62.5%
Expected Move16.2%12.8%44.2%15.4%15.5%
HV 20d46.2%18.1%94.7%94.7%18.1%
HV 60d57.7%56.8%58.6%58.3%56.8%
IV Rank42.7%30.1%78.6%44.4%42.0%
IV Percentile61.6%9.5%97.2%72.6%74.2%
Term Structure-0.2%-19.9%20.3%-3.2%-8.5%
VWIV51.1%41.2%67.2%67.2%41.2%
Skew 25d1.4%-49.5%14.8%9.7%-1.3%
Skew 10d9.1%-16.2%47.0%11.4%18.1%
Call IV 25d57.8%44.5%136.3%57.1%65.6%
Put IV 25d59.1%48.3%86.8%66.8%64.3%
Bid-Ask Spread %106.8155.61163.5981.75142.56
Gamma HHI0.480.390.620.480.52
Net GEX31.2K23.2K39.0K30.9K39.0K
Net DEX-497.4K-687.0K-319.8K-450.1K-687.0K
Net VEX-9.7K-10.8K-8.9K-9.9K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.541.490.560.76
Total Volume2,625.8422,1833,1693,1693,018
Total OI11,711.52611,34512,58211,62812,582

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$5.39$5.5060.4%15.4%94.7%44.4%67.2%9.7%-3.2%30.9K-450.1K-9.9K0.5681.75N/AN/A2,0341,1358,7842,844
2017-04-04$5.35$5.5056.7%14.9%94.7%41.1%46.0%10.8%-1.8%31.1K-348.7K-9.7K0.5755.61N/AN/A1,9841,1358,7842,864
2017-04-05$5.36$5.5070.2%12.9%94.4%53.4%49.8%1.3%-19.9%29.2K-422.8K-9.9K0.5890.03N/AN/A1,9471,1358,7842,864
2017-04-06$5.45$6.0054.7%15.1%55.7%39.3%44.8%5.6%-0.8%32.1K-502.3K-10.2K0.6198.87N/AN/A1,9191,1648,7882,864
2017-04-07$5.40$6.0057.7%16.0%55.4%42.0%48.8%-4.4%-3.1%31.0K-356.4K-9.4K0.6189.45N/AN/A1,9191,1648,7882,885
2017-04-10$5.54$6.0056.3%14.9%55.8%40.7%47.2%14.8%-4.7%31.7K-560.8K-10.2K0.5872.05N/AN/A1,8431,0718,7382,805
2017-04-11$5.52$6.0056.2%15.2%47.8%40.6%51.3%-6.2%-2.0%32.9K-665.0K-10.4K0.5469.80N/AN/A1,9701,0718,7862,815
2017-04-12$5.46$6.0053.8%12.9%42.7%38.4%53.6%8.6%-15.6%32.1K-543.7K-9.8K1.35108.46N/AN/A9781,3168,8622,805
2017-04-13$5.51$6.0052.2%14.4%41.5%36.9%45.7%6.3%-2.2%30.5K-575.8K-10.2K1.3584.60N/AN/A9781,3258,8783,050
2017-04-17$5.51$6.0059.8%15.1%41.1%43.9%58.9%3.5%20.3%30.7K-663.1K-10.8K1.47129.72N/AN/A8901,3088,7303,041
2017-04-18$5.55$6.0053.1%15.1%35.9%37.7%49.3%3.3%9.0%27.9K-432.1K-8.9K1.43100.24N/AN/A9141,3088,7303,041
2017-04-19$5.52$6.0044.8%12.8%35.9%30.1%48.7%0.4%12.5%27.7K-495.2K-9.7K1.30106.42N/AN/A9591,2468,7503,041
2017-04-20$5.53$6.0050.9%13.9%35.8%35.8%51.1%5.6%10.0%23.2K-536.7K-9.6K1.4092.75N/AN/A9591,3468,8383,047
2017-04-21$5.53$6.0054.2%13.9%33.7%38.2%50.4%0.9%15.3%24.5K-511.3K-9.4K1.31143.82N/AN/A9601,2548,8283,147
2017-04-24$5.50$6.0063.1%15.6%28.6%45.7%47.8%10.0%-13.4%37.8K-449.4K-9.0K1.49125.51N/AN/A8771,3068,6022,743
2017-04-25$5.49$6.0099.3%44.2%22.8%78.6%60.5%-49.5%13.9%32.0K-319.8K-9.3K1.49163.59N/AN/A8771,3068,6022,810
2017-04-26$5.43$6.0059.9%13.6%21.7%39.9%52.8%0.2%-4.5%34.4K-418.3K-9.1K1.38131.60N/AN/A9471,3068,6362,810
2017-04-27$5.45$6.0061.9%16.0%20.7%41.9%55.4%6.3%-4.3%34.5K-512.6K-9.2K0.76142.54N/AN/A1,7161,3068,7432,810
2017-04-28$5.41$5.5062.5%15.5%18.1%42.0%41.2%-1.3%-8.5%39.0K-687.0K-10.4K0.76142.56N/AN/A1,7161,3029,7722,810