VNET Options History — June 2018

In June 2018, VNET traded between $8.24 and $9.65. ATM implied volatility averaged 50.2%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 15.0% (HV 20d: 65.2%). Max pain ranged from $6.00 to $9.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2018-06-28: Highest Volume — 1,978 contracts
  • 2018-06-05: Largest IV spike — 91.1% change
  • 2018-06-05: Highest IV Rank — 50.7%
  • 2018-06-25: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.75$8.24$9.65$8.24$9.65
Max Pain$8.29$6.00$9.00$6.00$8.50
ATM IV50.2%42.4%85.0%45.3%48.4%
Expected Move13.2%12.1%15.7%12.7%13.2%
HV 20d65.2%35.1%98.1%98.1%47.2%
HV 60d69.5%68.2%70.8%69.5%70.8%
IV Rank28.5%23.5%50.7%25.4%27.3%
IV Percentile20.2%0.8%97.2%4.0%15.1%
Term Structure-3.3%-33.1%3.1%0.3%1.5%
VWIV45.5%37.3%53.1%37.3%52.0%
Skew 25d3.8%-1.7%42.6%0.7%-1.3%
Skew 10d2.4%-11.9%26.6%-2.7%26.6%
Call IV 25d47.5%39.4%72.7%44.4%47.5%
Put IV 25d51.3%42.3%91.2%45.2%46.1%
Bid-Ask Spread %55.4711.14123.8937.28101.64
Gamma HHI0.250.140.550.550.21
Net GEX20.4K-10.2K90.1K80.1K2.4K
Net DEX-1.7M-4.0M-56.9K-1.9M-1.3M
Net VEX-13.3K-14.5K-12.5K-14.5K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.220.570.490.26
Total Volume1,563.1431,1301,9781,1301,654
Total OI10,310.6677,90912,72512,0878,536

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$8.24$6.0045.3%12.7%98.1%25.4%37.3%0.7%0.3%80.1K-1.9M-14.5K0.4937.28N/AN/A7563747,2734,814
2018-06-04$8.32$7.0044.5%12.9%97.7%24.9%44.6%-0.3%-0.1%77.0K-1.9M-14.2K0.3861.00N/AN/A1,1154297,1584,746
2018-06-05$8.45$7.0085.0%13.4%97.7%50.7%44.2%11.5%-33.1%90.1K-2.4M-14.3K0.3954.90N/AN/A1,1084337,5394,846
2018-06-06$8.78$7.0043.5%13.3%94.2%24.2%45.9%-0.4%0.4%69.6K-3.1M-13.9K0.3815.72N/AN/A1,1974517,6894,873
2018-06-07$9.28$7.0045.6%13.5%94.4%25.6%47.9%-1.0%0.9%40.9K-4.0M-13.9K0.4024.55N/AN/A1,1694727,8424,883
2018-06-08$9.18$9.0071.1%13.1%94.7%41.9%42.6%42.6%-4.5%15.3K-3.7M-13.5K0.3625.79N/AN/A1,3084727,7644,904
2018-06-11$8.99$9.0046.4%13.1%95.4%26.1%46.0%-0.4%-0.3%37.2K-3.4M-13.4K0.3313.00N/AN/A1,3374467,6274,877
2018-06-12$8.89$9.0047.8%13.7%93.2%27.0%46.0%0.2%-0.9%43.8K-3.2M-13.2K0.3913.09N/AN/A1,1354487,4954,878
2018-06-13$8.80$9.0049.8%13.5%92.5%28.3%47.7%-0.2%-1.3%20.2K-3.0M-12.9K0.57106.47N/AN/A1,1396487,3574,880
2018-06-14$8.81$9.0044.3%12.7%55.6%24.8%44.7%-1.7%-0.3%6.5K-2.9M-12.8K0.5611.14N/AN/A1,1536487,1555,080
2018-06-15$8.59$9.0050.3%12.2%56.1%28.6%41.9%7.7%-15.1%-7.0K-2.3M-12.6K0.49100.79N/AN/A1,1465596,7505,080
2018-06-18$8.66$9.0044.7%12.6%49.6%25.0%41.7%2.0%-1.5%-6.7K-259.1K-12.9K0.4028.78N/AN/A8973593,2134,704
2018-06-19$8.63$9.0047.4%13.6%39.9%26.7%46.9%4.1%-0.1%-6.0K-246.1K-12.8K0.3717.69N/AN/A9683623,2054,704
2018-06-20$8.52$8.5042.4%12.1%37.2%23.5%43.3%1.0%-14.9%-10.2K-186.3K-12.9K0.4897.84N/AN/A9614623,2684,707
2018-06-21$8.54$8.5046.2%13.4%35.1%26.0%46.3%6.8%-5.2%-6.8K-56.9K-12.8K0.48123.89N/AN/A9624623,2704,807
2018-06-22$8.80$8.5045.5%13.3%36.3%25.5%46.6%-0.7%-1.6%-6.4K-294.7K-13.5K0.4491.36N/AN/A1,0604623,2714,807
2018-06-25$8.50$8.5059.3%15.7%38.4%34.3%53.1%7.3%-0.5%-7.8K-103.7K-13.2K0.34102.13N/AN/A1,0413563,3074,789
2018-06-26$8.69$8.5045.6%12.8%38.8%25.6%45.1%3.0%1.7%-2.5K-320.4K-12.9K0.3414.51N/AN/A1,0413543,3074,799
2018-06-27$8.53$8.5047.5%13.0%39.6%26.8%43.8%-1.5%3.1%-918-132.1K-12.5K0.3148.05N/AN/A1,1503543,3044,801
2018-06-28$8.88$8.5054.0%13.7%37.9%31.0%48.8%1.2%2.2%208-442.1K-12.9K0.2275.36N/AN/A1,6243543,4144,801
2018-06-29$9.65$8.5048.4%13.2%47.2%27.3%52.0%-1.3%1.5%2.4K-1.3M-13.1K0.26101.64N/AN/A1,3103443,7354,801