VNET Options History — November 2017

In November 2017, VNET traded between $6.79 and $7.50. ATM implied volatility averaged 63.1%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 35.8% (HV 20d: 27.2%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2017-11-16: Highest Volume — 3,353 contracts
  • 2017-11-02: Largest IV spike — 1540.0% change
  • 2017-11-02: Highest IV Rank — 87.5%
  • 2017-11-27: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.14$6.79$7.50$7.50$7.15
Max Pain$4.05$4.00$5.00$5.00$4.00
ATM IV63.1%5.5%89.4%5.5%66.2%
Expected Move18.4%16.8%21.1%17.7%18.5%
HV 20d27.2%20.5%35.5%27.9%35.5%
HV 60d71.1%69.3%73.3%73.3%69.8%
IV Rank60.1%0.0%87.5%0.0%63.3%
IV Percentile78.9%0.0%98.0%0.0%89.7%
Term Structure5.1%-13.1%120.8%-0.4%-6.9%
VWIV63.1%50.6%71.8%51.8%64.8%
Skew 25d7.4%-61.1%110.4%-61.1%9.7%
Skew 10d15.0%-9.7%88.8%17.4%18.0%
Call IV 25d63.6%21.1%128.4%128.4%52.3%
Put IV 25d71.0%56.1%131.5%67.3%62.0%
Bid-Ask Spread %60.7023.79154.05154.0557.78
Gamma HHI0.270.230.350.260.35
Net GEX52.9K46.9K60.6K51.4K60.6K
Net DEX-4.3M-4.9M-3.6M-4.9M-4.5M
Net VEX-8.8K-10.0K-8.0K-8.9K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.420.850.450.44
Total Volume2,953.7142,7033,3533,1192,841
Total OI14,739.95214,24915,12714,24914,945

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$7.50$5.005.5%17.7%27.9%0.0%51.8%-61.1%-0.4%51.4K-4.9M-8.9K0.45154.05N/AN/A2,15096911,6192,630
2017-11-02$7.44$4.0089.4%18.4%27.2%87.5%64.9%110.4%-13.1%50.9K-4.6M-10.0K0.4593.04N/AN/A2,15096911,6642,631
2017-11-03$7.14$4.0078.0%18.7%27.1%75.6%69.2%8.3%-5.8%46.9K-4.2M-8.7K0.83102.91N/AN/A1,5211,26911,6642,631
2017-11-06$7.25$4.0077.3%20.4%20.9%74.9%71.8%-0.1%-1.6%47.8K-4.3M-9.2K0.8585.14N/AN/A1,5171,28311,7202,930
2017-11-07$7.21$4.0072.5%18.0%20.5%69.8%65.0%1.6%-5.2%51.4K-4.2M-9.6K0.8560.03N/AN/A1,5171,28311,7212,943
2017-11-08$7.37$4.0067.5%18.7%21.7%64.6%64.9%8.5%-2.6%50.1K-4.5M-9.8K0.8482.65N/AN/A1,5171,27811,7212,933
2017-11-09$7.25$4.0066.0%19.1%22.3%63.1%66.4%20.8%3.9%51.2K-4.3M-9.6K0.8483.73N/AN/A1,5241,27811,7212,921
2017-11-10$7.31$4.0064.2%16.9%22.6%61.2%59.2%2.0%-8.0%49.6K-4.5M-9.3K0.8247.63N/AN/A1,5541,27811,7282,921
2017-11-13$7.25$4.0060.4%16.8%22.7%57.2%58.9%9.0%7.0%54.4K-4.4M-8.7K0.7730.95N/AN/A1,6541,26611,7382,917
2017-11-14$7.17$4.0062.0%17.3%22.7%58.9%61.2%6.7%1.2%56.6K-4.3M-8.8K0.7736.64N/AN/A1,6541,26611,8582,917
2017-11-15$6.79$4.0061.2%17.5%26.9%58.1%69.6%6.8%1.0%52.7K-3.6M-9.0K0.7843.71N/AN/A1,6161,26811,8582,917
2017-11-16$6.88$4.0062.9%18.3%27.9%59.9%62.6%-1.2%-5.5%54.4K-3.8M-8.2K0.6138.69N/AN/A2,0851,26811,8742,755
2017-11-17$6.84$4.0061.2%17.7%27.8%58.1%59.2%2.2%-5.6%55.8K-4.0M-8.7K0.6138.12N/AN/A2,0811,26312,3722,755
2017-11-20$6.84$4.0059.7%18.8%27.9%56.6%62.0%-4.2%6.7%54.0K-4.0M-8.5K0.6059.20N/AN/A1,9491,17112,3212,637
2017-11-21$7.02$4.0059.8%17.0%30.0%56.6%62.2%7.5%3.6%56.2K-4.2M-8.5K0.5123.79N/AN/A1,95099412,3222,640
2017-11-22$7.20$4.0060.8%18.2%31.7%57.7%67.8%3.3%10.5%51.3K-4.5M-8.9K0.4749.43N/AN/A2,13799612,3312,658
2017-11-24$7.24$4.0062.3%17.3%31.8%59.2%50.6%5.0%1.4%54.0K-4.6M-8.7K0.4652.65N/AN/A2,14799612,4572,655
2017-11-27$7.12$4.0060.9%21.1%32.1%57.7%56.3%10.8%120.8%53.5K-4.4M-8.4K0.4954.83N/AN/A1,84591012,1392,655
2017-11-28$6.98$4.0064.5%18.5%32.6%61.6%67.2%4.6%3.2%54.1K-4.1M-8.1K0.4743.19N/AN/A1,84286112,1892,668
2017-11-29$6.90$4.0062.6%20.9%32.6%59.6%70.5%5.2%2.7%53.6K-4.0M-8.0K0.4236.60N/AN/A2,04886312,1952,668
2017-11-30$7.15$4.0066.2%18.5%35.5%63.3%64.8%9.7%-6.9%60.6K-4.5M-8.1K0.4457.78N/AN/A1,97886312,2672,678