VNET Options History — March 2018

In March 2018, VNET traded between $6.91 and $8.29. ATM implied volatility averaged 54.0%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 14.9% (HV 20d: 39.1%). Max pain ranged from $6.00 to $9.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2018-03-29: Highest Volume — 3,278 contracts
  • 2018-03-28: Largest IV spike — 41.2% change
  • 2018-03-09: Highest IV Rank — 92.9%
  • 2018-03-01: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.78$6.91$8.29$7.72$6.95
Max Pain$7.67$6.00$9.00$7.50$8.00
ATM IV54.0%37.0%94.5%59.6%47.7%
Expected Move15.3%12.0%21.1%21.1%13.6%
HV 20d39.1%34.6%45.9%44.2%38.8%
HV 60d46.9%43.6%55.6%55.3%44.2%
IV Rank50.6%32.8%92.9%56.4%44.0%
IV Percentile30.4%0.4%98.8%59.1%5.6%
Term Structure10.8%-21.1%79.1%-4.4%0.7%
VWIV56.5%37.6%83.3%65.3%37.6%
Skew 25d1.2%-6.3%10.9%1.4%-0.7%
Skew 10d-2.0%-73.6%46.3%17.9%9.9%
Call IV 25d50.9%42.1%62.7%56.9%51.5%
Put IV 25d52.1%41.8%69.7%58.3%50.8%
Bid-Ask Spread %104.9168.36139.18112.30117.67
Gamma HHI0.270.170.420.260.32
Net GEX12.3K-4.2K33.9K9.7K8.3K
Net DEX-419.1K-1.5M872.0K-669.7K872.0K
Net VEX-15.3K-16.6K-14.3K-15.3K-14.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.632.531.482.53
Total Volume2,737.191,8653,2783,0593,278
Total OI10,935.3818,74012,84511,9779,814

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$7.72$7.5059.6%21.1%44.2%56.4%65.3%1.4%-4.4%9.7K-669.7K-15.3K1.48112.30N/AN/A1,2351,8247,4664,511
2018-03-02$7.94$7.5043.2%15.5%45.9%39.3%71.5%0.5%-1.4%14.0K-994.0K-15.1K1.49120.87N/AN/A1,2251,8247,4664,509
2018-03-05$7.79$6.0054.7%15.0%42.7%51.3%51.9%-1.8%0.2%10.3K-779.2K-14.6K1.6084.72N/AN/A1,1321,8067,2694,500
2018-03-06$7.82$7.0064.5%16.1%42.2%61.5%56.1%-1.3%42.7%7.2K-875.5K-14.6K0.7681.75N/AN/A1,0578087,2914,501
2018-03-07$7.92$7.0057.6%16.3%42.1%54.4%83.3%-4.4%60.9%10.7K-958.1K-14.6K0.76105.09N/AN/A1,0648097,2944,503
2018-03-08$7.91$7.0071.4%15.8%38.8%68.7%70.8%-6.3%57.6%9.9K-965.5K-14.7K0.6386.62N/AN/A1,1827407,2954,504
2018-03-09$8.28$7.0094.5%16.7%42.0%92.9%74.5%0.6%79.1%23.3K-1.5M-15.0K1.20102.61N/AN/A1,1731,4087,4194,505
2018-03-12$8.29$7.0056.3%15.6%39.9%53.0%57.3%9.6%0.3%17.1K-1.2M-16.6K1.6768.36N/AN/A1,0131,6907,1355,081
2018-03-13$8.21$9.0037.0%14.3%35.3%32.8%60.8%5.9%13.8%17.4K-1.0M-16.0K1.68124.72N/AN/A1,0081,6907,1485,333
2018-03-14$8.05$8.0049.0%14.4%35.7%45.4%54.7%2.0%1.2%12.6K-934.8K-16.1K1.6285.92N/AN/A9771,5837,2585,329
2018-03-15$8.04$8.0059.1%14.2%34.6%55.9%52.1%1.4%-21.1%33.9K-909.6K-15.9K0.9475.94N/AN/A1,6191,5237,2545,429
2018-03-16$7.83$8.0046.6%13.4%35.6%42.9%45.1%-3.5%-0.3%532-392.3K-15.6K0.8599.77N/AN/A1,7371,4827,4285,417
2018-03-19$8.07$8.0049.9%13.6%37.1%46.3%55.1%6.3%-0.0%1.9K-53.5K-16.4K1.29103.92N/AN/A1,1001,4164,6914,086
2018-03-20$7.84$8.0044.5%12.7%38.4%40.7%44.0%-1.1%-0.9%-4.2K151.0K-15.5K0.9289.05N/AN/A1,4841,3624,7214,094
2018-03-21$7.87$8.0043.8%12.6%37.6%40.0%43.8%0.7%2.6%7.1K47.9K-15.9K1.28102.05N/AN/A1,0611,3635,2804,094
2018-03-22$7.89$8.0045.8%13.2%36.1%42.1%44.2%10.9%-3.9%16.9K-23.9K-15.7K1.28134.70N/AN/A1,0611,3585,2784,095
2018-03-23$7.71$8.0042.8%12.0%36.8%38.9%43.3%-2.0%1.8%25.0K262.0K-15.3K1.48115.06N/AN/A1,0861,6085,2784,095
2018-03-26$7.43$8.0047.6%15.6%38.8%43.9%58.0%-0.8%-1.0%20.0K33.7K-14.3K2.49138.04N/AN/A9152,2754,9993,741
2018-03-27$7.01$8.0049.0%19.5%39.7%45.4%61.5%0.4%-1.7%7.5K587.0K-14.6K2.34139.18N/AN/A9752,2835,0004,709
2018-03-28$6.91$8.0069.2%19.4%39.1%66.4%56.1%7.1%1.4%9.4K600.6K-15.5K2.40114.83N/AN/A9552,2925,1054,718
2018-03-29$6.95$8.0047.7%13.6%38.8%44.0%37.6%-0.7%0.7%8.3K872.0K-14.6K2.53117.67N/AN/A9292,3495,1354,679