VNET Options History — August 2017

In August 2017, VNET traded between $4.25 and $5.17. ATM implied volatility averaged 61.0%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 17.4% (HV 20d: 43.6%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.19.

Notable Days

  • 2017-08-23: Highest Volume — 2,940 contracts
  • 2017-08-18: Largest IV drop — 13.5% change
  • 2017-08-10: Highest IV Rank — 48.8%
  • 2017-08-07: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.54$4.25$5.17$4.45$5.17
Max Pain$4.93$4.50$5.00$4.50$4.50
ATM IV61.0%51.2%70.1%63.2%51.2%
Expected Move17.1%14.1%20.0%16.7%15.6%
HV 20d43.6%30.0%55.7%37.9%54.8%
HV 60d39.9%34.0%43.6%38.7%43.6%
IV Rank32.7%15.6%48.8%36.7%15.6%
IV Percentile78.9%32.5%96.0%88.1%32.5%
Term Structure0.4%-9.6%10.4%0.9%1.1%
VWIV57.7%46.3%67.1%54.3%47.6%
Skew 25d10.1%-7.5%21.5%4.6%18.2%
Skew 10d9.7%-21.7%45.1%7.1%14.9%
Call IV 25d51.8%36.2%66.7%58.1%38.8%
Put IV 25d61.9%53.2%69.3%62.7%57.0%
Bid-Ask Spread %24.9013.0745.9639.5242.22
Gamma HHI0.560.450.650.550.52
Net GEX42.9K26.7K74.8K34.6K74.8K
Net DEX-648.8K-1.9M-162.2K-369.8K-1.9M
Net VEX-6.8K-7.8K-6.1K-6.8K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.552.091.791.05
Total Volume2,257.2171,8292,9402,4691,970
Total OI13,61212,91314,43012,91314,289

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$4.45$4.5063.2%16.7%37.9%36.7%54.3%4.6%0.9%34.6K-369.8K-6.8K1.7939.52N/AN/A8841,58510,5812,332
2017-08-02$4.26$4.5062.8%17.6%40.2%35.9%61.6%-4.2%7.1%27.7K-199.6K-6.3K1.9639.11N/AN/A8091,58510,6812,332
2017-08-03$4.34$5.0062.4%17.9%38.2%35.3%60.6%17.9%3.3%30.8K-274.2K-6.6K2.0945.96N/AN/A7571,58510,7042,332
2017-08-04$4.44$5.0063.1%17.9%39.4%36.5%60.3%8.8%1.3%34.2K-331.1K-6.6K2.0813.07N/AN/A7611,58510,7032,332
2017-08-07$4.45$5.0065.1%20.0%38.1%40.0%62.9%13.7%4.3%34.4K-362.4K-6.6K1.4713.42N/AN/A7621,11810,7062,332
2017-08-08$4.48$5.0062.6%18.2%32.9%35.7%58.7%16.5%2.4%36.3K-397.5K-6.7K1.4716.99N/AN/A7591,11810,7062,334
2017-08-09$4.46$5.0065.8%18.7%30.0%41.3%60.2%12.7%1.1%35.1K-366.7K-6.5K0.9615.16N/AN/A1,1621,11810,7072,334
2017-08-10$4.25$5.0070.1%17.7%33.1%48.8%60.4%-7.5%-8.3%26.7K-162.2K-6.1K0.8218.09N/AN/A1,3661,11811,1092,334
2017-08-11$4.39$5.0065.4%18.6%35.6%40.6%61.6%7.4%-1.2%34.3K-344.5K-6.5K1.2922.63N/AN/A8641,11811,2222,334
2017-08-14$4.42$5.0058.6%16.8%34.9%28.5%60.3%6.6%6.7%35.4K-365.4K-6.5K1.2922.75N/AN/A8651,11811,2822,334
2017-08-15$4.45$5.0066.3%19.1%34.6%42.2%60.3%9.3%10.4%35.6K-384.9K-6.5K1.2920.56N/AN/A8651,11811,2832,334
2017-08-16$4.49$5.0062.1%17.8%34.8%34.7%58.7%-0.8%-4.9%39.0K-566.5K-7.1K1.2922.21N/AN/A8761,12811,2832,334
2017-08-17$4.38$5.0064.8%18.9%35.6%39.4%62.8%2.2%-9.6%35.3K-529.7K-6.8K1.0544.86N/AN/A1,0731,12811,3702,331
2017-08-18$4.83$5.0056.0%15.8%50.2%24.0%58.9%20.9%2.1%50.7K-1.0M-7.5K1.1037.40N/AN/A1,0291,12811,4652,331
2017-08-21$4.60$5.0060.9%18.0%52.3%32.6%62.8%14.1%4.6%46.8K-774.4K-7.0K1.3419.92N/AN/A7801,04911,4092,201
2017-08-22$4.58$5.0061.7%19.1%52.2%33.9%58.7%14.5%-2.8%47.6K-816.8K-7.0K0.7622.69N/AN/A1,4441,10311,4462,252
2017-08-23$4.39$5.0058.7%15.9%54.2%28.7%67.1%-2.4%-5.3%37.3K-436.3K-6.2K0.5720.25N/AN/A1,8671,07311,6172,357
2017-08-24$4.51$5.0059.2%14.6%54.0%29.7%50.6%13.0%0.5%48.1K-757.5K-6.9K0.5526.16N/AN/A1,8371,01712,1332,297
2017-08-25$4.62$5.0054.2%14.1%54.7%20.9%51.2%12.3%4.7%53.1K-957.4K-7.1K0.6624.17N/AN/A1,6221,06712,1332,297
2017-08-28$4.64$5.0058.5%15.3%54.0%28.3%53.6%20.0%-1.6%52.2K-772.2K-6.8K0.6715.17N/AN/A1,45998211,8402,278
2017-08-29$4.83$5.0055.2%14.6%55.7%22.7%48.7%21.5%-7.8%63.6K-1.2M-7.3K0.7316.78N/AN/A1,34798211,8402,191
2017-08-30$5.07$5.0053.9%15.2%54.8%20.4%46.3%12.1%-0.5%72.9K-1.6M-7.8K0.9913.70N/AN/A97296311,8432,191
2017-08-31$5.17$4.5051.2%15.6%54.8%15.6%47.6%18.2%1.1%74.8K-1.9M-7.7K1.0542.22N/AN/A9591,01112,0972,192