VNET Options History — February 2018

In February 2018, VNET traded between $7.50 and $8.96. ATM implied volatility averaged 63.0%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 14.6% (HV 20d: 48.4%). Max pain ranged from $6.00 to $7.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2018-02-12: Highest Volume — 5,854 contracts
  • 2018-02-06: Largest IV spike — 48.3% change
  • 2018-02-06: Highest IV Rank — 91.2%
  • 2018-02-28: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.05$7.50$8.96$8.96$7.63
Max Pain$6.08$6.00$7.50$6.00$7.50
ATM IV63.0%52.4%92.9%63.2%55.3%
Expected Move17.5%16.1%21.5%18.1%21.5%
HV 20d48.4%41.6%52.6%44.4%44.5%
HV 60d54.3%51.9%55.7%51.9%55.3%
IV Rank59.9%48.9%91.2%60.2%51.9%
IV Percentile59.8%16.7%98.0%77.8%34.9%
Term Structure-2.9%-37.7%15.5%15.5%-1.0%
VWIV61.9%51.1%83.2%69.0%79.6%
Skew 25d-1.9%-19.6%8.7%-7.9%-1.5%
Skew 10d-15.4%-160.4%13.8%-11.7%-6.9%
Call IV 25d60.2%48.1%70.3%66.2%56.6%
Put IV 25d58.3%50.8%68.0%58.3%55.1%
Bid-Ask Spread %91.0455.77119.5275.37119.52
Gamma HHI0.220.120.300.190.26
Net GEX18.6K-13.1K42.7K23.1K9.1K
Net DEX-1.4M-2.2M-560.9K-2.2M-560.9K
Net VEX-12.0K-14.9K-8.0K-9.1K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.191.480.421.48
Total Volume2,9791,9345,8541,9343,060
Total OI9,697.1057,15211,9627,30211,962

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$8.96$6.0063.2%18.1%44.4%60.2%69.0%-7.9%15.5%23.1K-2.2M-9.1K0.4275.37N/AN/A1,3635715,2592,043
2018-02-02$8.49$6.0053.7%16.6%48.3%50.3%68.6%-1.8%-7.6%18.2K-1.7M-8.6K0.3687.45N/AN/A1,5715725,3682,033
2018-02-05$8.30$6.0062.7%17.2%47.8%59.6%58.6%8.7%-4.9%16.8K-1.5M-8.3K0.3596.50N/AN/A2,0467235,1981,954
2018-02-06$8.15$6.0092.9%17.9%48.0%91.2%70.8%-10.1%-37.7%10.1K-1.7M-9.2K0.37101.03N/AN/A2,0467675,8142,185
2018-02-07$7.79$6.0061.8%17.4%48.4%58.7%58.6%-4.5%-1.4%7.1K-1.1M-8.4K0.4379.16N/AN/A1,8007675,8142,221
2018-02-08$7.80$6.0062.4%19.1%48.5%59.4%83.2%-2.9%5.5%9.9K-1.0M-8.6K0.43107.51N/AN/A1,8007775,8982,221
2018-02-09$7.55$6.0063.2%18.2%48.1%60.2%61.2%-19.6%1.2%10.5K-810.8K-8.0K0.1988.47N/AN/A3,6927125,9182,241
2018-02-12$7.98$6.0091.0%17.5%52.6%89.1%54.2%2.5%-2.7%15.7K-1.8M-10.4K0.6293.52N/AN/A3,6112,2437,1742,181
2018-02-13$7.87$6.0074.7%17.0%49.7%72.2%55.1%0.4%-1.3%4.8K-1.2M-14.3K0.7774.21N/AN/A1,6481,2617,1743,737
2018-02-14$8.07$6.0057.1%16.4%49.8%53.9%51.1%2.7%-4.4%-5.6K-1.4M-14.3K0.7475.29N/AN/A1,7111,2737,2293,807
2018-02-15$8.14$6.0055.5%16.1%49.9%52.2%51.8%8.1%-3.8%-13.1K-1.6M-14.5K0.7155.77N/AN/A1,7911,2737,3543,829
2018-02-16$8.23$6.0054.9%16.2%49.9%51.5%52.4%8.1%-4.2%37.8K-1.9M-14.6K0.7388.53N/AN/A1,7851,3037,4543,829
2018-02-20$8.17$6.0058.1%16.7%49.8%54.9%57.3%0.9%-3.2%38.2K-1.8M-14.2K0.7894.92N/AN/A1,6631,2937,3893,197
2018-02-21$8.33$6.0056.8%16.9%50.5%53.5%58.8%-5.1%-2.4%42.7K-2.0M-14.7K0.82107.59N/AN/A1,5691,2937,4203,237
2018-02-22$8.07$6.0059.1%16.8%51.5%56.0%60.2%-1.0%0.1%37.0K-1.7M-14.0K0.8593.47N/AN/A1,4511,2287,4353,237
2018-02-23$7.98$6.0052.4%16.9%51.1%48.9%57.7%-3.1%-0.6%34.0K-1.6M-13.9K0.6997.45N/AN/A1,4519997,4413,237
2018-02-26$7.91$6.0062.9%18.8%41.6%59.8%65.2%-0.4%-2.4%31.3K-1.3M-14.2K0.6692.86N/AN/A1,4379447,2773,366
2018-02-27$7.50$6.0058.4%17.8%44.2%55.2%62.7%-8.9%0.9%25.5K-588.1K-14.2K1.42101.18N/AN/A1,2821,8257,3913,721
2018-02-28$7.63$7.5055.3%21.5%44.5%51.9%79.6%-1.5%-1.0%9.1K-560.9K-14.9K1.48119.52N/AN/A1,2351,8257,4514,511