VNET Options History — July 2017

In July 2017, VNET traded between $4.43 and $4.93. ATM implied volatility averaged 63.0%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 26.4% (HV 20d: 36.6%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-07-21: Highest Volume — 4,027 contracts
  • 2017-07-05: Largest IV spike — 30.2% change
  • 2017-07-25: Highest IV Rank — 61.8%
  • 2017-07-26: Largest Expected Move — 26.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.63$4.43$4.93$4.93$4.43
Max Pain$5.20$5.00$6.00$5.50$5.00
ATM IV63.0%52.1%77.5%57.4%65.3%
Expected Move17.2%14.3%26.2%14.6%18.9%
HV 20d36.6%28.1%40.6%28.9%38.1%
HV 60d37.2%33.8%38.8%33.8%38.7%
IV Rank36.3%17.1%61.8%26.5%40.3%
IV Percentile80.6%38.5%98.4%70.6%90.9%
Term Structure-0.1%-11.9%11.1%-9.8%5.5%
VWIV59.4%48.3%89.4%51.7%59.4%
Skew 25d12.1%-12.8%33.1%10.0%7.2%
Skew 10d5.0%-91.1%46.3%-19.5%2.8%
Call IV 25d50.0%41.6%63.0%50.0%55.2%
Put IV 25d62.1%37.9%89.3%59.9%62.3%
Bid-Ask Spread %84.9512.12150.10103.0936.88
Gamma HHI0.440.390.500.430.50
Net GEX35.2K29.9K40.2K32.5K33.9K
Net DEX-612.1K-900.7K-378.5K-425.6K-419.5K
Net VEX-7.9K-8.8K-6.9K-7.7K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.482.260.852.01
Total Volume3,213.452,1194,0272,1192,374
Total OI12,365.610,92112,84011,02312,813

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$4.93$5.5057.4%14.6%28.9%26.5%51.7%10.0%-9.8%32.5K-425.6K-7.7K0.85103.09N/AN/A1,1459748,4592,564
2017-07-05$4.86$5.5074.8%15.8%28.9%56.9%48.3%2.3%1.3%29.9K-438.7K-7.6K0.65133.28N/AN/A1,5861,0248,4602,461
2017-07-06$4.64$6.0065.1%15.7%32.1%39.9%52.8%23.6%-1.0%30.5K-378.5K-7.4K0.4972.60N/AN/A2,0981,0248,9862,511
2017-07-07$4.63$6.0062.0%15.0%28.1%34.5%59.8%18.1%9.3%34.3K-554.3K-8.5K0.49114.66N/AN/A2,0941,02510,0012,511
2017-07-10$4.50$6.0060.6%15.5%28.9%32.1%61.8%9.3%-11.9%32.6K-455.9K-7.8K0.48138.05N/AN/A2,1441,02510,0072,519
2017-07-11$4.74$5.0064.8%17.0%36.5%39.4%58.7%24.8%-6.8%37.3K-686.3K-8.8K0.72110.68N/AN/A2,1011,52110,0632,519
2017-07-12$4.56$5.0062.7%14.8%37.5%35.8%53.7%12.4%-8.3%35.6K-644.6K-7.9K0.7582.31N/AN/A2,1081,57110,0722,225
2017-07-13$4.66$5.0062.9%16.7%39.2%36.1%60.7%21.7%-3.9%36.2K-713.6K-8.1K0.74119.05N/AN/A2,1081,56610,0822,275
2017-07-14$4.66$5.0058.1%16.6%39.3%27.6%58.0%14.6%-0.7%36.9K-622.1K-7.9K0.68138.14N/AN/A2,2981,56810,0822,275
2017-07-17$4.55$5.0057.4%15.9%39.0%26.5%54.7%6.8%4.0%34.8K-636.9K-7.9K0.7037.94N/AN/A2,2031,54710,2772,269
2017-07-18$4.61$5.0058.3%16.7%39.8%28.0%57.7%-12.8%2.4%35.7K-715.3K-8.3K0.7019.46N/AN/A2,2131,54710,2882,269
2017-07-19$4.60$5.0054.2%15.6%39.8%20.9%54.5%-7.8%7.8%36.0K-665.7K-7.9K0.7019.86N/AN/A2,2061,54710,2992,269
2017-07-20$4.55$5.0052.1%14.3%39.7%17.1%50.8%-10.4%9.6%35.3K-551.5K-7.6K0.6624.07N/AN/A2,3551,54710,3032,269
2017-07-21$4.58$5.0057.1%15.6%40.0%26.0%53.2%-9.9%7.8%36.3K-572.3K-7.7K0.6212.12N/AN/A2,4801,54710,4532,219
2017-07-24$4.72$5.0063.6%19.5%40.6%37.4%68.3%27.0%11.1%40.2K-798.6K-8.2K0.9173.69N/AN/A1,7591,59610,3792,212
2017-07-25$4.67$5.0077.5%21.5%40.2%61.8%69.8%31.9%-8.7%38.4K-857.3K-8.3K0.91103.04N/AN/A1,7601,59610,3852,313
2017-07-26$4.68$5.0072.4%26.2%40.4%52.8%89.4%33.1%5.1%34.9K-900.7K-8.6K2.09150.10N/AN/A7621,59610,3982,293
2017-07-27$4.53$5.0071.9%18.6%38.0%52.0%65.1%26.6%-9.9%36.0K-596.1K-7.5K2.2683.22N/AN/A7071,59610,3992,293
2017-07-28$4.53$5.0062.1%19.9%37.7%34.8%59.8%13.1%-5.7%36.4K-608.2K-7.8K2.11126.67N/AN/A7551,59610,5472,293
2017-07-31$4.43$5.0065.3%18.9%38.1%40.3%59.4%7.2%5.5%33.9K-419.5K-6.9K2.0136.88N/AN/A7891,58510,5312,282