VNET Options History — December 2017

In December 2017, VNET traded between $6.03 and $8.09. ATM implied volatility averaged 54.2%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 5.2% (HV 20d: 59.4%). Max pain ranged from $4.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2017-12-05: Highest Volume — 5,054 contracts
  • 2017-12-05: Largest IV drop — 13.8% change
  • 2017-12-04: Highest IV Rank — 63.7%
  • 2017-12-05: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.35$6.03$8.09$7.07$7.99
Max Pain$7.80$4.00$8.00$4.00$8.00
ATM IV54.2%45.2%66.6%62.7%52.6%
Expected Move14.8%13.0%17.6%17.5%14.1%
HV 20d59.4%32.4%69.8%35.6%66.7%
HV 60d67.1%46.1%76.4%69.4%46.1%
IV Rank50.8%41.4%63.7%59.7%49.1%
IV Percentile39.8%3.2%90.5%79.8%29.4%
Term Structure1.8%-15.2%19.7%-5.2%9.2%
VWIV49.9%38.4%65.1%65.1%51.1%
Skew 25d2.2%-12.2%10.0%7.7%-1.4%
Skew 10d7.5%-54.9%63.6%1.6%14.3%
Call IV 25d54.0%46.1%74.7%56.5%52.0%
Put IV 25d56.2%45.2%70.2%64.2%50.6%
Bid-Ask Spread %49.3113.9296.1252.1942.70
Gamma HHI0.290.230.400.330.30
Net GEX49.5K34.2K81.5K67.7K42.5K
Net DEX-3.0M-5.5M-1.4M-4.3M-1.8M
Net VEX-7.3K-8.2K-5.9K-8.2K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.200.440.430.42
Total Volume2,754.81,9435,0542,8561,943
Total OI13,642.610,23116,69414,98410,656

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$7.07$4.0062.7%17.5%35.6%59.7%65.1%7.7%-5.2%67.7K-4.3M-8.2K0.4352.19N/AN/A1,99985712,3092,675
2017-12-04$7.10$8.0066.6%15.8%32.6%63.7%53.7%-12.2%5.7%59.2K-4.3M-7.6K0.4451.30N/AN/A1,98787312,2962,737
2017-12-05$7.00$8.0057.4%17.6%32.4%54.2%63.7%0.0%6.7%58.5K-4.3M-7.5K0.2664.90N/AN/A4,0211,03312,3602,762
2017-12-06$6.91$8.0054.9%16.0%32.6%51.5%56.8%1.2%-13.1%64.2K-3.9M-7.8K0.3140.99N/AN/A2,87788513,4153,279
2017-12-07$6.03$8.0056.9%14.4%56.6%53.6%52.9%-3.1%-15.2%36.2K-2.2M-5.9K0.3393.61N/AN/A2,90195313,3903,271
2017-12-08$6.31$8.0062.2%15.5%59.9%59.1%41.2%2.5%8.8%51.9K-2.5M-6.3K0.2848.58N/AN/A2,35165113,4163,228
2017-12-11$6.53$8.0056.4%14.9%61.4%53.1%38.5%10.0%-7.9%50.4K-2.9M-6.1K0.2345.20N/AN/A2,24752013,2493,086
2017-12-12$6.80$8.0054.6%15.2%63.6%51.2%45.5%3.5%-1.7%76.6K-3.7M-6.7K0.2258.59N/AN/A2,39651713,2573,088
2017-12-13$7.36$8.0061.3%15.4%69.8%58.2%46.2%9.4%-7.1%45.1K-5.1M-7.0K0.2096.12N/AN/A2,74754613,3923,085
2017-12-14$7.57$8.0053.5%13.7%67.2%50.1%50.4%2.4%-11.3%81.5K-5.2M-7.3K0.2828.06N/AN/A2,23362113,1613,116
2017-12-15$7.67$8.0052.4%14.7%67.2%48.9%48.3%5.1%-3.0%34.2K-5.5M-7.6K0.3124.33N/AN/A2,03262213,2643,168
2017-12-18$7.75$8.0050.6%14.8%67.1%47.0%49.4%5.2%19.7%36.3K-1.5M-7.4K0.4247.93N/AN/A1,4156007,7092,522
2017-12-19$7.57$8.0046.1%13.0%67.9%42.4%49.2%2.0%6.2%44.2K-1.4M-7.2K0.4313.92N/AN/A1,3976007,9312,638
2017-12-20$7.85$8.0045.2%13.0%68.4%41.4%47.1%-2.9%7.9%41.4K-1.8M-7.5K0.3488.96N/AN/A1,7035837,9342,658
2017-12-21$7.88$8.0050.2%14.0%68.0%46.6%48.5%0.3%8.8%42.1K-1.9M-8.0K0.3176.89N/AN/A1,8725818,2502,655
2017-12-22$7.79$8.0052.6%13.7%68.2%49.2%50.2%2.9%19.4%36.7K-1.8M-7.8K0.3329.20N/AN/A1,7675838,2762,655
2017-12-26$7.80$8.0052.6%15.3%67.8%49.2%54.1%6.8%11.3%36.4K-1.6M-7.7K0.3824.66N/AN/A1,5105697,9752,639
2017-12-27$7.92$8.0048.0%14.8%67.3%44.3%38.4%2.2%-2.5%39.8K-1.7M-7.6K0.3838.65N/AN/A1,5005748,0202,639
2017-12-28$8.09$8.0046.6%13.6%67.1%42.9%47.2%2.2%0.2%45.2K-1.9M-7.6K0.4019.49N/AN/A1,4555758,0602,631
2017-12-29$7.99$8.0052.6%14.1%66.7%49.1%51.1%-1.4%9.2%42.5K-1.8M-7.5K0.4242.70N/AN/A1,3685758,0242,632