VNET Options History — September 2017

In September 2017, VNET traded between $5.26 and $7.15. ATM implied volatility averaged 53.3%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 4.5% (HV 20d: 57.8%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2017-09-27: Highest Volume — 3,050 contracts
  • 2017-09-27: Largest IV spike — 14.9% change
  • 2017-09-27: Highest IV Rank — 31.8%
  • 2017-09-27: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.83$5.26$7.15$5.29$5.69
Max Pain$4.97$4.50$5.00$4.50$5.00
ATM IV53.3%49.4%60.5%49.4%55.4%
Expected Move15.5%12.3%18.0%12.3%17.0%
HV 20d57.8%36.2%103.7%54.8%103.1%
HV 60d49.5%43.3%70.8%43.3%70.2%
IV Rank19.3%12.3%31.8%12.3%22.9%
IV Percentile46.1%23.0%80.2%23.0%61.1%
Term Structure1.3%-7.6%10.9%3.6%3.8%
VWIV53.2%44.4%73.6%49.3%44.8%
Skew 25d6.7%-1.0%19.3%19.3%0.0%
Skew 10d0.2%-133.8%36.7%24.5%16.9%
Call IV 25d49.1%33.7%66.0%34.2%54.8%
Put IV 25d55.8%48.7%68.6%53.4%54.8%
Bid-Ask Spread %54.3716.78132.4418.4862.87
Gamma HHI0.370.250.710.440.27
Net GEX66.4K33.5K169.1K74.0K45.3K
Net DEX-2.7M-4.2M-2.0M-2.1M-2.0M
Net VEX-8.1K-8.8K-7.4K-7.7K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.351.440.930.39
Total Volume2,061.31,3993,0502,1102,753
Total OI13,624.311,38416,29414,36513,526

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$5.29$4.5049.4%12.3%54.8%12.3%49.3%19.3%3.6%74.0K-2.1M-7.7K0.9318.48N/AN/A1,0911,01912,0942,271
2017-09-05$5.26$5.0051.9%15.9%55.0%16.8%55.6%6.5%-1.3%72.8K-2.0M-7.4K0.4917.53N/AN/A1,25461812,0292,271
2017-09-06$5.26$5.0052.8%16.7%55.1%18.3%57.5%5.8%1.6%75.0K-2.0M-7.5K0.3529.53N/AN/A1,72559912,2202,348
2017-09-07$5.49$5.0052.3%16.0%56.2%17.5%54.6%11.9%-2.9%84.1K-2.7M-7.8K0.4916.78N/AN/A1,30063912,7042,372
2017-09-08$5.49$5.0053.5%16.2%52.0%19.6%53.3%4.6%1.5%80.8K-2.8M-7.8K0.4937.25N/AN/A1,33565112,7732,426
2017-09-11$5.63$5.0052.5%15.1%51.7%17.9%55.2%0.2%1.0%84.4K-3.0M-7.4K0.6035.66N/AN/A1,00860212,7992,354
2017-09-12$5.84$5.0051.7%14.9%52.3%16.5%53.5%6.8%0.9%114.0K-3.6M-7.8K0.5072.45N/AN/A1,25662712,8302,355
2017-09-13$5.97$5.0051.1%14.1%52.3%15.4%50.4%-1.0%0.3%169.1K-4.1M-8.1K0.4153.08N/AN/A1,51562713,3802,380
2017-09-14$5.94$5.0052.0%14.8%52.8%17.0%44.4%-0.8%0.5%145.0K-4.2M-8.5K0.4138.59N/AN/A1,57163813,9142,380
2017-09-15$5.69$5.0049.9%15.5%54.9%13.2%45.8%12.1%10.9%33.5K-2.1M-8.0K0.43116.99N/AN/A1,50764211,6002,393
2017-09-18$5.95$5.0055.1%15.7%46.7%22.4%57.7%14.6%1.5%35.9K-2.2M-8.2K0.58124.33N/AN/A1,1636729,1982,186
2017-09-19$5.89$5.0052.3%15.0%41.9%17.5%44.5%4.8%4.0%35.4K-2.1M-8.3K0.5427.83N/AN/A1,2416729,2052,256
2017-09-20$6.06$5.0056.1%16.1%41.8%24.1%48.4%13.5%6.7%36.4K-2.3M-8.2K0.58132.44N/AN/A1,1756789,2922,256
2017-09-21$6.09$5.0051.3%14.6%36.4%15.8%44.8%10.7%1.2%35.9K-2.4M-8.3K0.8552.45N/AN/A9317899,3422,266
2017-09-22$6.16$5.0051.1%14.7%36.2%15.4%46.4%17.5%2.3%39.3K-2.6M-8.5K0.7035.54N/AN/A1,1267899,7742,397
2017-09-25$6.02$5.0057.5%16.0%38.5%26.7%49.8%0.8%-4.3%40.9K-2.5M-8.8K0.7536.76N/AN/A1,05378710,0602,353
2017-09-26$7.15$5.0052.6%15.1%68.0%18.0%59.8%4.0%2.2%35.3K-4.0M-8.7K1.4499.82N/AN/A57482510,0502,354
2017-09-27$5.85$5.0060.5%18.0%103.7%31.8%73.6%-0.9%-7.6%41.6K-2.3M-8.6K0.3861.24N/AN/A2,21783310,1852,431
2017-09-28$5.79$5.0057.2%16.9%102.9%26.1%73.5%4.2%0.3%49.5K-2.2M-8.5K0.3817.84N/AN/A1,97874611,0502,412
2017-09-29$5.69$5.0055.4%17.0%103.1%22.9%44.8%0.0%3.8%45.3K-2.0M-8.4K0.3962.87N/AN/A1,98776611,0732,453