VNET Options History — May 2017

In May 2017, VNET traded between $4.98 and $5.61. ATM implied volatility averaged 61.5%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 32.6% (HV 20d: 28.9%). Max pain ranged from $5.00 to $5.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-05-01: Highest Volume — 2,922 contracts
  • 2017-05-02: Largest IV drop — 15.9% change
  • 2017-05-01: Highest IV Rank — 47.0%
  • 2017-05-01: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.33$4.98$5.61$5.37$5.32
Max Pain$5.11$5.00$5.50$5.50$5.50
ATM IV61.5%54.4%70.5%68.3%55.7%
Expected Move17.1%14.8%19.9%19.9%16.0%
HV 20d28.9%15.8%48.8%16.7%48.2%
HV 60d58.3%56.1%61.9%56.3%61.9%
IV Rank28.5%17.7%47.0%47.0%19.5%
IV Percentile70.0%51.2%86.1%81.7%57.5%
Term Structure0.5%-19.0%84.8%-9.1%-0.9%
VWIV55.4%37.8%64.0%42.6%49.6%
Skew 25d3.1%-14.9%25.0%5.7%-1.0%
Skew 10d4.9%-15.7%49.3%19.1%1.6%
Call IV 25d56.2%39.7%67.8%62.2%49.5%
Put IV 25d59.2%47.5%70.2%67.9%48.5%
Bid-Ask Spread %60.5418.50159.30157.4824.04
Gamma HHI0.520.460.600.580.53
Net GEX49.7K37.2K69.0K39.9K55.5K
Net DEX-726.6K-1.4M-275.8K-553.8K-688.0K
Net VEX-9.2K-10.6K-8.1K-9.0K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.721.300.721.22
Total Volume2,246.8181,7772,9222,9222,297
Total OI13,129.27312,21314,71212,34014,705

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$5.37$5.5068.3%19.9%16.7%47.0%42.6%5.7%-9.1%39.9K-553.8K-9.0K0.72157.48N/AN/A1,6971,2259,6082,732
2017-05-02$5.49$5.5057.4%15.0%16.8%32.6%37.8%4.5%84.8%44.4K-650.3K-9.7K0.7383.87N/AN/A1,6871,2259,6182,732
2017-05-03$5.38$5.5065.6%17.5%18.2%41.1%42.7%4.5%-5.7%43.8K-539.1K-9.2K0.75159.30N/AN/A1,6231,2259,6282,732
2017-05-04$5.27$5.0066.3%16.6%19.6%41.8%58.9%-8.9%0.4%41.0K-367.6K-8.6K0.86110.80N/AN/A1,5071,2959,6292,732
2017-05-05$5.20$5.0068.7%16.3%19.0%33.5%50.7%6.6%-19.0%38.1K-352.6K-8.6K0.8674.36N/AN/A1,5071,2999,6412,812
2017-05-08$5.20$5.0064.4%17.5%18.8%28.1%55.6%2.5%-1.8%37.5K-275.8K-8.2K0.8044.31N/AN/A1,3041,0449,6422,571
2017-05-09$5.19$5.0070.5%17.1%15.8%35.7%55.3%4.6%-12.1%43.1K-540.0K-9.1K0.8844.57N/AN/A1,1821,04210,3672,571
2017-05-10$5.13$5.0064.3%16.6%16.0%28.0%55.1%19.8%-6.3%40.2K-403.1K-8.6K0.8522.67N/AN/A1,2311,04210,3702,581
2017-05-11$5.27$5.0058.6%16.8%19.1%20.6%55.8%25.0%1.4%43.7K-505.5K-8.8K1.3047.93N/AN/A7741,00310,4302,581
2017-05-12$5.20$5.0058.4%17.2%19.1%20.4%56.3%-10.4%3.1%45.3K-529.6K-9.1K1.2627.49N/AN/A7991,00410,4582,581
2017-05-15$5.26$5.0059.0%16.8%19.7%24.3%57.4%-5.0%-7.1%49.9K-554.4K-8.3K1.2642.00N/AN/A78999610,4422,474
2017-05-16$5.22$5.0057.2%16.2%19.5%21.7%56.4%-6.2%3.4%46.3K-557.1K-8.7K1.1533.81N/AN/A86399610,4422,474
2017-05-17$5.23$5.0064.5%18.5%19.5%32.4%60.9%-4.6%-2.6%46.8K-601.1K-8.8K1.1577.88N/AN/A86399610,4522,474
2017-05-18$4.98$5.0059.4%17.2%25.4%24.9%57.4%-14.9%-4.0%37.2K-386.2K-8.1K1.0536.09N/AN/A92897010,4522,474
2017-05-19$5.50$5.0063.9%19.0%45.0%31.7%61.2%-0.5%-10.5%55.7K-1.2M-10.6K1.0870.11N/AN/A91098110,5732,504
2017-05-22$5.61$5.0059.4%17.7%45.5%25.0%63.6%6.6%1.0%65.0K-1.4M-10.4K1.1040.85N/AN/A89397910,8212,506
2017-05-23$5.54$5.0060.4%17.7%45.8%26.4%63.7%24.5%-0.7%64.3K-1.3M-10.1K0.9947.31N/AN/A99397910,9162,508
2017-05-24$5.60$5.0062.6%17.2%45.7%29.8%62.4%23.2%-6.2%67.8K-1.4M-10.5K1.19100.92N/AN/A8821,05211,0662,498
2017-05-25$5.59$5.0059.9%17.7%45.7%25.8%64.0%5.3%1.0%69.0K-1.4M-10.4K0.9918.50N/AN/A1,3091,29211,1642,551
2017-05-26$5.33$5.0054.7%14.8%48.8%18.1%55.3%-13.0%0.0%57.6K-968.3K-10.0K1.1236.96N/AN/A1,1571,29311,7282,892
2017-05-30$5.36$5.5054.4%16.5%48.8%17.7%56.3%-0.8%1.9%62.1K-859.8K-9.4K1.2230.59N/AN/A1,0331,26411,7472,965
2017-05-31$5.32$5.5055.7%16.0%48.2%19.5%49.6%-1.0%-0.9%55.5K-688.0K-9.1K1.2224.04N/AN/A1,0331,26411,7442,961