VNET Options History — December 2014

In December 2014, VNET traded between $15.47 and $19.81. ATM implied volatility averaged 65.0%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded below realized volatility by 4.6% (HV 20d: 69.6%). Max pain ranged from $16.00 to $22.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2014-12-01: Highest Volume — 9,739 contracts
  • 2014-12-08: Largest IV spike — 15.2% change
  • 2014-12-16: Highest IV Rank — 26.2%
  • 2014-12-04: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.56$15.47$19.81$19.81$15.47
Max Pain$20.64$16.00$22.50$22.50$16.00
ATM IV65.0%57.4%74.9%65.3%59.4%
Expected Move19.7%16.9%22.3%18.7%17.2%
HV 20d69.6%50.1%80.3%77.9%50.1%
HV 60d82.8%74.3%116.2%116.2%74.3%
IV Rank18.3%12.3%26.2%18.5%13.8%
IV Percentile72.4%54.4%88.9%77.8%60.3%
Term Structure1.6%-15.3%10.6%1.5%0.7%
VWIV66.3%36.6%74.7%70.4%61.1%
Skew 25d4.0%-2.8%8.5%1.5%7.0%
Skew 10d3.1%-26.3%18.0%15.8%2.5%
Call IV 25d63.6%52.3%73.4%67.0%54.8%
Put IV 25d67.6%58.0%80.0%68.5%61.8%
Bid-Ask Spread %83.2168.8397.7268.8376.45
Gamma HHI0.300.160.850.170.26
Net GEX-217.8K-1.1M76.6K-3.8K-140.8K
Net DEX13.2M4.4M20.8M5.1M10.0M
Net VEX-45.3K-69.8K-32.3K-67.4K-33.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.394.581.441.30
Total Volume3,509.8641389,7399,739138
Total OI33,199.90915,96642,36237,53218,245

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$19.81$22.5065.3%18.7%77.9%18.5%70.4%1.5%1.5%-3.8K5.1M-67.4K1.4468.83N/AN/A3,9885,75117,56319,969
2014-12-02$19.35$22.5064.2%19.4%76.1%17.7%70.1%2.1%2.1%76.6K4.4M-69.8K2.7383.68N/AN/A1,7254,70919,72819,962
2014-12-03$18.54$22.5067.1%21.8%77.1%20.0%71.5%1.3%0.0%-6.8K8.0M-64.4K4.5882.25N/AN/A1,0264,69919,80320,126
2014-12-04$18.48$22.5060.9%22.3%75.9%15.0%36.6%-1.5%7.7%-3.2K8.3M-64.2K0.5479.74N/AN/A46025019,75420,243
2014-12-05$18.21$22.5060.4%20.0%71.8%14.6%70.2%1.9%3.5%-51.9K10.3M-59.3K4.4577.89N/AN/A1,0884,83719,86020,420
2014-12-08$17.01$22.5069.5%19.5%75.3%21.9%68.5%3.1%-15.3%-213.3K16.8M-46.2K1.2675.72N/AN/A1,0911,37119,84020,460
2014-12-09$16.11$22.5069.4%20.6%74.6%21.8%68.5%-2.8%1.6%-224.4K17.9M-46.4K0.3976.70N/AN/A3,4651,35819,94520,961
2014-12-10$15.52$22.5068.7%20.9%74.6%21.3%72.5%-0.0%-0.3%-244.5K19.7M-42.9K0.5093.22N/AN/A3,3851,70421,11921,243
2014-12-11$16.51$22.5066.0%21.7%79.1%19.1%68.3%5.0%10.6%-275.9K18.6M-45.7K1.2492.70N/AN/A1,4661,82019,30421,982
2014-12-12$15.70$22.5073.0%21.2%80.3%24.7%67.4%4.5%2.4%-276.4K19.5M-42.8K1.4487.82N/AN/A1,2381,78219,28621,871
2014-12-15$15.85$22.5072.6%21.7%77.3%24.4%67.2%6.2%4.7%-289.7K19.3M-41.8K2.2483.02N/AN/A1,1422,55619,26521,858
2014-12-16$15.51$22.5074.9%21.0%76.0%26.2%67.6%6.6%-1.2%-334.8K20.8M-39.3K1.9477.26N/AN/A1,2682,46119,33622,353
2014-12-17$16.03$22.5070.6%20.8%74.0%22.8%68.1%4.7%-0.6%-387.9K19.1M-40.7K1.8797.72N/AN/A1,2032,24819,45621,593
2014-12-18$15.70$22.5071.6%20.8%67.5%23.6%68.5%5.1%3.3%-491.8K18.5M-41.6K1.5494.12N/AN/A1,3152,02218,73721,533
2014-12-19$16.01$22.5064.0%18.9%68.3%17.5%68.8%2.9%2.7%-1.1M17.4M-39.1K1.8891.50N/AN/A9016919,10020,513
2014-12-22$15.71$0.0061.2%18.0%67.5%15.3%66.2%7.2%-1.8%-147.9K9.2M-35.9K0.6595.69N/AN/A2,6531,7324,17611,790
2014-12-23$15.91$16.0057.6%17.2%65.0%12.4%60.2%5.7%1.1%-113.8K9.2M-36.5K1.4677.26N/AN/A1,4582,1325,37012,063
2014-12-24$15.89$16.0058.0%17.4%64.4%12.7%60.5%8.5%2.6%-130.8K9.2M-36.9K0.8388.36N/AN/A1,4381,1875,37312,428
2014-12-26$15.67$16.0060.1%20.3%54.5%14.3%74.7%7.2%5.6%-132.1K9.3M-35.8K0.8781.65N/AN/A1,3801,2055,38012,433
2014-12-29$15.53$16.0057.9%17.5%54.0%12.6%61.1%6.2%3.3%-143.1K10.0M-32.3K1.2374.46N/AN/A8571,0535,43612,413
2014-12-30$15.80$16.0057.4%16.9%50.1%12.3%0.0%6.3%1.7%-141.1K10.0M-33.1K0.4874.52N/AN/A201965,50512,603
2014-12-31$15.47$16.0059.4%17.2%50.1%13.8%0.0%7.0%0.7%-140.8K10.0M-33.8K1.3076.45N/AN/A60785,61112,634