VNET Options History — October 2017

In October 2017, VNET traded between $5.78 and $7.87. ATM implied volatility averaged 62.2%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 35.3% (HV 20d: 97.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2017-10-04: Highest Volume — 4,341 contracts
  • 2017-10-26: Largest IV spike — 58.9% change
  • 2017-10-30: Highest IV Rank — 100.0%
  • 2017-10-04: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.36$5.78$7.87$5.78$7.50
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV62.2%53.5%101.4%56.1%77.5%
Expected Move16.0%15.1%17.7%15.9%16.7%
HV 20d97.5%54.4%113.9%103.0%54.4%
HV 60d73.8%69.9%74.9%70.2%73.2%
IV Rank34.3%19.0%100.0%24.2%59.3%
IV Percentile70.2%45.2%100.0%64.3%97.6%
Term Structure7.8%-20.9%151.9%1.5%-20.9%
VWIV57.2%44.7%63.1%44.7%60.7%
Skew 25d5.0%-6.2%20.2%4.6%20.2%
Skew 10d20.5%-5.3%86.2%12.4%74.9%
Call IV 25d55.8%49.3%70.7%52.7%70.7%
Put IV 25d60.8%53.6%90.8%57.4%90.8%
Bid-Ask Spread %70.7217.75121.0823.2790.88
Gamma HHI0.340.240.410.280.24
Net GEX58.9K45.3K73.7K48.6K48.1K
Net DEX-5.2M-6.6M-2.1M-2.1M-4.8M
Net VEX-10.1K-11.6K-8.3K-8.4K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.210.430.370.43
Total Volume3,246.7732,7324,3412,7323,227
Total OI14,697.40913,57315,43013,57314,203

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$5.78$5.0056.1%15.9%103.0%24.2%44.7%4.6%1.5%48.6K-2.1M-8.4K0.3723.27N/AN/A1,98974311,1422,431
2017-10-03$5.81$5.0057.3%15.6%102.9%26.4%46.2%8.8%-2.0%46.4K-2.2M-8.3K0.3720.07N/AN/A1,98974311,1652,431
2017-10-04$6.67$5.0060.1%17.7%113.2%31.2%60.7%9.5%-0.3%59.3K-3.7M-9.5K0.2166.14N/AN/A3,57376811,1652,431
2017-10-05$6.85$5.0057.3%17.0%112.7%26.3%46.4%4.0%-3.7%73.7K-4.6M-11.5K0.2731.95N/AN/A2,72472612,6952,464
2017-10-06$7.17$5.0057.4%16.4%113.3%26.5%62.1%7.1%5.5%72.9K-5.2M-11.2K0.3136.90N/AN/A2,44875512,7072,464
2017-10-09$7.53$5.0053.7%15.6%113.9%19.9%56.0%5.0%-0.2%69.8K-5.9M-11.3K0.2225.92N/AN/A3,43775312,8872,412
2017-10-10$7.60$5.0055.7%15.8%113.6%23.5%57.5%3.6%1.1%71.3K-6.0M-11.6K0.3217.75N/AN/A2,45679012,9612,469
2017-10-11$7.69$5.0055.6%15.3%113.6%23.3%57.2%3.6%-2.5%69.1K-6.2M-11.0K0.3126.76N/AN/A2,48276912,9052,506
2017-10-12$7.69$5.0056.4%16.0%113.5%24.8%57.9%3.2%-1.3%70.9K-6.2M-10.6K0.3285.37N/AN/A2,42878212,8812,507
2017-10-13$7.69$5.0055.6%15.8%111.7%22.8%54.8%1.9%-1.9%65.6K-6.2M-10.5K0.3380.32N/AN/A2,38778212,8892,520
2017-10-16$7.65$5.0056.1%16.1%111.3%23.7%55.8%1.4%7.1%64.8K-6.1M-10.6K0.3088.48N/AN/A2,30068812,7932,387
2017-10-17$7.69$5.0055.9%16.0%111.1%23.3%58.2%-6.2%4.0%62.0K-6.2M-10.3K0.3285.54N/AN/A2,28373712,7932,387
2017-10-18$7.87$5.0053.5%15.3%111.0%19.0%58.2%2.6%5.2%55.0K-6.6M-10.1K0.3383.46N/AN/A2,28574512,8092,434
2017-10-19$7.80$5.0053.6%15.1%111.2%19.2%56.8%5.4%4.5%58.3K-6.5M-10.1K0.3384.53N/AN/A2,28774512,8142,442
2017-10-20$7.71$5.0055.7%15.7%111.6%22.9%60.3%4.5%3.0%51.7K-6.4M-9.9K0.3387.22N/AN/A2,30775212,8132,442
2017-10-23$7.67$5.0058.4%15.6%111.0%27.8%63.1%3.6%3.9%53.1K-5.4M-9.7K0.3293.06N/AN/A2,19669311,7572,341
2017-10-24$7.60$5.0064.2%15.2%93.7%38.0%58.1%1.6%-4.0%52.0K-5.3M-9.8K0.3294.94N/AN/A2,19669311,7222,352
2017-10-25$7.54$5.0061.1%16.2%55.1%32.6%59.0%8.6%12.7%53.5K-5.1M-9.6K0.30105.20N/AN/A2,32569211,7112,352
2017-10-26$7.49$5.0097.2%15.6%54.9%96.3%59.3%5.7%151.9%54.2K-5.1M-9.8K0.38109.14N/AN/A2,36989211,8802,350
2017-10-27$7.43$5.0067.9%16.9%54.4%44.5%63.0%4.5%25.0%51.1K-4.9M-10.0K0.36121.08N/AN/A2,78499311,8802,551
2017-10-30$7.48$5.00101.4%15.7%54.4%100.0%61.4%7.1%-16.4%45.3K-4.8M-9.2K0.3597.93N/AN/A2,74697011,4712,627
2017-10-31$7.50$5.0077.5%16.7%54.4%59.3%60.7%20.2%-20.9%48.1K-4.8M-10.0K0.4390.88N/AN/A2,25797011,5732,630