VNET Options History — January 2018

In January 2018, VNET traded between $8.24 and $9.46. ATM implied volatility averaged 62.3%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 11.4% (HV 20d: 50.9%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2018-01-05: Highest Volume — 2,548 contracts
  • 2018-01-05: Largest IV spike — 29.9% change
  • 2018-01-05: Highest IV Rank — 74.8%
  • 2018-01-10: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.80$8.24$9.46$8.45$9.10
Max Pain$7.90$6.00$8.00$8.00$8.00
ATM IV62.3%48.6%77.2%53.3%57.7%
Expected Move18.9%13.7%22.0%13.7%17.5%
HV 20d50.9%41.7%71.2%68.7%49.1%
HV 60d49.3%46.9%52.5%47.1%52.5%
IV Rank59.3%45.0%74.8%49.9%54.4%
IV Percentile67.6%9.9%95.6%34.1%53.2%
Term Structure10.6%-15.9%135.8%3.5%135.8%
VWIV68.9%48.5%91.0%48.5%69.1%
Skew 25d0.4%-13.3%18.1%7.2%1.4%
Skew 10d-16.1%-82.4%29.4%20.0%29.4%
Call IV 25d63.2%49.1%84.0%49.1%59.2%
Put IV 25d63.7%51.7%79.9%56.2%60.6%
Bid-Ask Spread %103.0425.55124.1125.55113.68
Gamma HHI0.200.130.300.300.17
Net GEX45.3K22.0K70.3K49.1K26.9K
Net DEX-2.7M-4.0M-2.0M-2.3M-2.3M
Net VEX-7.8K-9.4K-6.6K-7.2K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.331.170.410.55
Total Volume2,030.4761,0932,5481,9541,947
Total OI9,843.4295,31812,77610,6587,278

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$8.45$8.0053.3%13.7%68.7%49.9%48.5%7.2%3.5%49.1K-2.3M-7.2K0.4125.55N/AN/A1,3815738,0282,630
2018-01-03$8.99$8.0048.6%14.3%71.2%45.0%55.0%1.3%5.4%45.8K-3.1M-7.4K0.48111.71N/AN/A1,3536568,0332,630
2018-01-04$8.99$6.0059.5%17.2%70.6%56.3%53.9%11.3%3.2%44.5K-3.0M-7.4K0.47102.78N/AN/A1,4236677,9992,711
2018-01-05$9.20$8.0077.2%21.4%70.1%74.8%78.8%2.6%2.2%46.4K-3.6M-8.3K0.33108.79N/AN/A1,9166328,4882,722
2018-01-08$9.14$8.0065.8%18.3%43.0%62.9%67.9%-13.3%-3.1%67.2K-4.0M-8.8K0.42108.13N/AN/A1,7977469,5872,718
2018-01-09$8.77$8.0055.8%21.0%47.3%52.4%81.3%-0.2%10.8%69.3K-3.2M-8.5K0.44108.74N/AN/A1,7187539,6042,834
2018-01-10$8.69$8.0058.5%22.0%47.6%55.3%91.0%-2.0%14.8%65.4K-3.1M-8.3K0.47119.78N/AN/A1,5867469,6132,942
2018-01-11$8.90$8.0065.6%21.8%46.8%62.7%87.6%-8.9%13.4%66.2K-3.3M-8.3K0.43124.11N/AN/A1,7257389,5632,942
2018-01-12$8.68$8.0068.5%21.9%41.7%65.7%87.6%-1.1%12.0%70.3K-2.9M-8.0K0.43121.71N/AN/A1,6557049,6512,942
2018-01-16$8.24$8.0068.5%18.8%46.1%65.7%68.4%18.1%0.2%53.9K-2.1M-7.2K0.41100.66N/AN/A1,6666779,6002,940
2018-01-17$8.43$8.0074.8%21.4%46.5%72.3%74.6%0.2%-15.9%59.0K-2.3M-7.2K0.4097.58N/AN/A1,6726769,5983,015
2018-01-18$8.46$8.0074.1%21.5%46.4%71.5%75.8%-12.2%-6.0%58.0K-2.4M-7.1K0.42113.37N/AN/A1,6596989,5983,025
2018-01-19$8.56$8.0064.7%18.3%45.3%61.8%69.4%9.9%3.1%33.4K-2.7M-6.9K0.39108.17N/AN/A1,7986959,7233,053
2018-01-22$8.62$8.0066.5%20.0%43.9%63.7%69.4%-0.1%0.3%35.1K-2.1M-6.6K0.7843.08N/AN/A6885374,428890
2018-01-23$8.61$8.0061.0%17.0%43.9%57.9%65.8%2.0%4.1%33.8K-2.1M-6.7K1.17102.09N/AN/A6777904,4671,102
2018-01-24$8.65$8.0056.1%18.3%43.5%52.8%63.2%-0.4%2.5%26.7K-2.0M-7.3K0.89119.83N/AN/A6926134,4691,561
2018-01-25$8.78$8.0058.3%17.9%43.6%55.1%61.2%-1.2%-1.1%29.3K-2.2M-7.7K0.78118.52N/AN/A6154784,5261,820
2018-01-26$9.46$8.0056.8%18.0%49.9%53.5%55.5%-1.9%3.4%23.1K-2.7M-7.7K0.69109.96N/AN/A8595894,5251,834
2018-01-29$9.23$8.0059.2%17.5%51.1%56.0%60.2%-1.3%-7.2%22.0K-2.4M-8.3K0.55108.08N/AN/A1,2376824,5181,856
2018-01-30$8.95$8.0058.7%18.1%52.4%55.5%61.8%-2.1%42.1%25.0K-2.2M-9.3K0.5597.44N/AN/A1,2446825,2212,028
2018-01-31$9.10$8.0057.7%17.5%49.1%54.4%69.1%1.4%135.8%26.9K-2.3M-9.4K0.55113.68N/AN/A1,2566915,2502,028