VNET Options History — May 2018

In May 2018, VNET traded between $5.09 and $8.26. ATM implied volatility averaged 57.9%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 13.6% (HV 20d: 71.6%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2018-05-10: Highest Volume — 2,913 contracts
  • 2018-05-09: Largest IV spike — 206.6% change
  • 2018-05-09: Highest IV Rank — 100.0%
  • 2018-05-02: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.43$5.09$8.26$5.21$8.26
Max Pain$5.41$5.00$6.00$6.00$6.00
ATM IV57.9%44.6%162.3%66.9%46.6%
Expected Move14.9%11.4%18.5%11.4%13.0%
HV 20d71.6%39.1%101.6%45.5%97.9%
HV 60d54.9%39.6%69.6%41.7%69.6%
IV Rank39.5%25.0%100.0%64.0%26.2%
IV Percentile33.8%3.2%100.0%88.1%6.7%
Term Structure-3.1%-112.8%87.8%87.8%-1.5%
VWIV48.1%39.4%56.5%39.4%43.4%
Skew 25d-3.4%-105.1%19.9%19.9%1.8%
Skew 10d2.0%-17.3%37.4%15.9%20.2%
Call IV 25d55.6%42.2%146.3%52.2%46.4%
Put IV 25d52.3%35.8%72.2%72.2%48.2%
Bid-Ask Spread %44.5413.86153.75153.7530.61
Gamma HHI0.340.210.570.280.57
Net GEX26.7K-5.4K73.9K-4.9K73.9K
Net DEX280.6K-1.8M1.6M1.6M-1.8M
Net VEX-10.5K-15.1K-6.2K-6.4K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.331.771.770.43
Total Volume2,074.51,1612,9131,6751,207
Total OI11,285.4099,61712,5059,61711,985

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$5.21$6.0066.9%11.4%45.5%64.0%39.4%19.9%87.8%-4.9K1.6M-6.4K1.77153.75N/AN/A6041,0715,0404,577
2018-05-02$5.22$6.0064.0%18.5%45.8%61.0%40.6%-6.5%-56.9%-5.4K1.6M-6.6K1.13141.82N/AN/A9491,0735,0724,574
2018-05-03$5.23$5.0059.9%16.9%45.7%56.7%51.5%6.6%-0.2%-1.4K1.6M-6.4K1.4923.03N/AN/A7181,0735,4234,577
2018-05-04$5.21$5.0059.5%16.3%42.8%56.3%52.9%4.9%-0.2%-1.4K1.5M-6.6K1.4019.14N/AN/A7661,0745,5134,577
2018-05-07$5.38$5.0057.9%15.7%45.2%54.7%48.9%3.0%-0.9%-3371.5M-6.7K1.4452.63N/AN/A7441,0725,5674,559
2018-05-08$5.13$5.0052.9%15.8%39.1%49.5%49.4%1.9%2.6%-1.7K1.5M-6.2K1.1228.95N/AN/A9591,0725,6744,474
2018-05-09$5.16$5.00162.3%15.2%39.7%100.0%54.6%-105.1%-112.8%-6331.5M-6.5K0.6794.10N/AN/A1,6361,1005,9494,474
2018-05-10$5.13$5.0050.7%15.6%39.5%28.8%56.5%-17.3%5.3%1.1K1.4M-7.1K0.6713.86N/AN/A1,7451,1686,6064,507
2018-05-11$5.09$5.0056.8%16.0%39.3%32.7%48.6%-2.0%-2.8%2.9K1.4M-6.8K0.7134.36N/AN/A1,5781,1256,8444,557
2018-05-14$5.59$5.0055.0%15.3%53.1%31.6%45.3%2.9%1.5%8.1K1.2M-8.3K0.6931.56N/AN/A1,6311,1296,8984,549
2018-05-15$5.47$5.0057.6%16.3%52.7%33.2%50.6%3.3%17.9%7.2K1.2M-8.2K0.7153.12N/AN/A1,5931,1296,8784,558
2018-05-16$6.83$5.0056.4%16.2%97.4%32.4%56.4%2.2%-3.9%22.7K161.1K-12.5K0.7632.12N/AN/A1,6331,2446,8904,558
2018-05-17$7.11$5.0055.1%15.8%95.9%31.6%45.8%-0.4%0.3%28.7K-199.7K-13.6K0.4018.25N/AN/A1,5426147,0264,691
2018-05-18$6.69$5.0050.3%14.9%97.4%28.6%48.9%-5.9%-3.7%20.3K328.6K-12.4K0.5231.77N/AN/A1,5147817,4395,066
2018-05-21$7.34$5.0047.0%15.1%100.7%26.5%51.1%2.8%-0.8%44.6K-413.4K-13.9K0.4534.49N/AN/A1,5406877,0534,744
2018-05-22$7.72$6.0046.7%13.3%101.6%26.3%45.6%3.3%-0.1%65.1K-1.1M-14.7K0.4330.73N/AN/A1,2865587,3284,955
2018-05-23$8.02$6.0046.3%13.4%100.2%26.1%47.9%-1.1%0.3%60.3K-1.7M-15.1K0.3773.67N/AN/A1,4805417,4014,977
2018-05-24$8.00$6.0044.6%12.8%100.4%25.0%44.3%2.3%0.4%66.2K-1.5M-14.9K0.4115.20N/AN/A1,2114997,3064,996
2018-05-25$7.89$6.0045.5%13.1%99.0%25.5%46.3%2.7%0.1%62.7K-1.3M-14.7K0.4433.25N/AN/A1,1525117,4365,010
2018-05-29$7.85$6.0046.5%12.8%98.1%26.1%44.7%4.6%0.6%68.0K-1.0M-14.3K0.3316.17N/AN/A1,1083617,1744,811
2018-05-30$7.84$6.0046.4%13.8%97.6%26.1%46.2%2.1%-0.0%70.5K-1.1M-14.3K0.4517.20N/AN/A8003617,1744,812
2018-05-31$8.26$6.0046.6%13.0%97.9%26.2%43.4%1.8%-1.5%73.9K-1.8M-14.4K0.4330.61N/AN/A8453627,1734,812