VNET Options History — June 2017

In June 2017, VNET traded between $5.03 and $5.67. ATM implied volatility averaged 51.5%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 13.5% (HV 20d: 38.0%). 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 13 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2017-06-28: Highest Volume — 2,509 contracts
  • 2017-06-30: Largest IV drop — 18.6% change
  • 2017-06-28: Highest IV Rank — 24.5%
  • 2017-06-01: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.46$5.03$5.67$5.30$5.03
Max Pain$5.25$5.00$5.50$5.50$5.50
ATM IV51.5%44.3%56.3%53.8%44.3%
Expected Move14.6%13.3%16.2%16.2%14.9%
HV 20d38.0%22.5%48.5%47.7%28.5%
HV 60d38.5%32.0%62.1%61.9%33.8%
IV Rank13.9%3.4%24.5%16.8%3.4%
IV Percentile35.2%3.2%67.1%47.6%3.2%
Term Structure1.9%-8.7%13.6%-0.8%11.1%
VWIV50.5%42.5%54.7%52.1%42.5%
Skew 25d4.7%-32.3%17.5%3.1%3.9%
Skew 10d6.2%-30.5%16.1%2.9%15.4%
Call IV 25d46.5%39.1%84.3%39.2%48.5%
Put IV 25d51.2%38.3%63.0%42.4%52.4%
Bid-Ask Spread %64.8633.39110.9360.9792.36
Gamma HHI0.460.300.660.500.43
Net GEX45.0K21.0K92.3K50.3K34.1K
Net DEX-776.4K-1.2M-445.3K-548.8K-445.3K
Net VEX-8.5K-9.3K-7.8K-8.7K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.621.771.130.82
Total Volume1,996.8641,4942,5092,3792,182
Total OI12,631.8189,58714,80514,70511,118

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$5.30$5.5053.8%16.2%47.7%16.8%52.1%3.1%-0.8%50.3K-548.8K-8.7K1.1360.97N/AN/A1,1151,26411,7442,961
2017-06-02$5.44$5.5051.5%14.8%48.0%13.4%49.7%-5.8%-3.2%63.3K-745.6K-9.2K1.1339.80N/AN/A1,1261,27411,8442,961
2017-06-05$5.46$5.0053.2%15.3%47.6%15.9%53.9%0.5%3.1%67.6K-929.7K-9.2K1.1237.18N/AN/A1,0131,13911,7972,836
2017-06-06$5.48$5.0054.9%15.3%47.6%18.5%53.1%6.3%-5.9%65.4K-907.1K-9.1K1.2948.40N/AN/A8821,13911,8082,836
2017-06-07$5.48$5.0051.8%15.3%47.6%13.8%51.9%8.3%-3.0%66.6K-932.9K-9.0K1.2833.39N/AN/A8971,14911,8152,836
2017-06-08$5.67$5.0054.6%14.4%48.5%17.9%52.9%14.8%-1.6%92.3K-1.2M-9.3K1.2547.83N/AN/A9161,14711,8152,856
2017-06-09$5.62$5.0050.5%15.0%48.1%11.9%52.4%-32.3%0.7%79.9K-1.1M-9.1K1.2463.76N/AN/A9231,14711,8272,856
2017-06-12$5.60$5.0053.6%15.5%47.7%16.5%52.8%14.2%2.5%51.3K-936.2K-8.7K1.2857.47N/AN/A8901,13711,7862,846
2017-06-13$5.64$5.0052.9%13.3%47.7%15.5%50.3%-1.8%-8.0%31.5K-922.3K-8.2K1.2344.75N/AN/A9281,13711,7722,846
2017-06-14$5.55$5.0053.3%13.3%48.0%16.0%52.7%14.8%-8.7%32.3K-752.0K-8.3K1.25110.93N/AN/A9081,13711,6732,846
2017-06-15$5.50$5.0052.9%15.6%48.2%15.5%54.7%3.2%3.8%21.0K-669.2K-8.1K1.1552.31N/AN/A9081,04711,6632,846
2017-06-16$5.56$5.0049.6%13.3%44.3%10.7%51.4%7.9%-4.2%34.5K-757.4K-8.0K1.27104.97N/AN/A8301,05011,6632,846
2017-06-19$5.55$5.0049.2%13.7%27.0%10.0%48.3%7.9%13.6%33.8K-779.4K-8.0K1.3846.63N/AN/A7039717,3942,193
2017-06-20$5.49$5.5049.2%14.0%26.3%10.1%50.6%3.7%0.9%33.6K-739.5K-7.9K1.4157.32N/AN/A7039917,4632,222
2017-06-21$5.48$5.5047.7%13.7%25.9%7.8%46.5%4.4%4.5%33.9K-704.4K-7.8K1.3952.24N/AN/A9081,2617,4632,242
2017-06-22$5.48$5.5048.6%13.9%25.6%9.2%46.3%1.3%0.8%34.7K-710.3K-8.6K1.3456.10N/AN/A7219647,6732,562
2017-06-23$5.62$5.5048.5%13.9%27.2%9.0%46.9%10.7%0.1%34.7K-838.5K-8.6K1.3490.23N/AN/A7219647,6912,565
2017-06-26$5.49$5.5053.6%15.0%22.6%16.4%49.3%12.3%13.3%32.2K-711.0K-8.4K1.61103.51N/AN/A5949587,6312,545
2017-06-27$5.48$5.5049.2%14.7%22.5%12.1%50.9%10.4%12.7%32.6K-685.9K-8.1K1.7764.65N/AN/A5409547,6362,559
2017-06-28$5.20$5.5056.3%15.1%29.4%24.5%50.1%-1.4%11.5%29.0K-484.3K-7.8K0.6273.16N/AN/A1,5459647,6362,541
2017-06-29$5.09$5.5054.4%15.0%30.3%21.1%50.6%17.5%-2.4%34.9K-612.8K-8.5K0.8389.05N/AN/A1,1939918,6462,541
2017-06-30$5.03$5.5044.3%14.9%28.5%3.4%42.5%3.9%11.1%34.1K-445.3K-8.0K0.8292.36N/AN/A1,1989848,5402,578