VNET Options History — January 2015

In January 2015, VNET traded between $15.50 and $17.60. ATM implied volatility averaged 54.8%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 17.3% (HV 20d: 37.5%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.32.

Notable Days

  • 2015-01-08: Highest Volume — 15,378 contracts
  • 2015-01-14: Largest IV spike — 10.4% change
  • 2015-01-05: Highest IV Rank — 17.3%
  • 2015-01-07: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.95$15.50$17.60$15.50$16.55
Max Pain$16.80$16.00$17.00$16.00$17.00
ATM IV54.8%48.7%63.7%58.6%50.4%
Expected Move16.1%14.0%18.8%18.0%14.4%
HV 20d37.5%31.1%50.0%48.8%32.4%
HV 60d61.0%55.7%72.6%72.6%55.7%
IV Rank10.2%5.3%17.3%13.2%6.6%
IV Percentile39.4%11.9%67.9%57.5%19.0%
Term Structure3.4%-1.7%6.7%4.2%5.9%
VWIV55.9%48.4%65.1%59.5%49.2%
Skew 25d4.5%1.3%7.9%4.0%1.3%
Skew 10d14.3%-4.4%32.0%9.8%2.9%
Call IV 25d54.1%44.6%60.7%57.1%50.0%
Put IV 25d58.6%50.0%68.6%61.1%51.3%
Bid-Ask Spread %76.1062.3895.2473.2991.80
Gamma HHI0.180.140.270.270.14
Net GEX-267.7K-416.1K-114.1K-138.9K-374.3K
Net DEX12.5M8.5M16.1M9.9M16.1M
Net VEX-103.7K-140.0K-33.1K-33.5K-137.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.320.0118.360.971.83
Total Volume7,043.818215,3781,6789,465
Total OI33,037.418,30840,88018,30840,880

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$15.50$16.0058.6%18.0%48.8%13.2%59.5%4.0%4.2%-138.9K9.9M-33.5K0.9773.29N/AN/A8508285,64412,664
2015-01-05$15.83$16.0063.7%18.1%50.0%17.3%63.3%6.8%1.7%-134.4K9.4M-34.5K0.8975.40N/AN/A1291155,68712,701
2015-01-06$15.70$16.0063.0%18.4%49.9%16.7%0.0%7.9%-0.6%-131.7K9.6M-33.1K1.6474.53N/AN/A691135,73912,734
2015-01-07$16.20$16.0060.4%18.8%46.2%14.6%65.1%7.6%-1.7%-120.4K8.5M-35.1K8.6472.76N/AN/A1,45712,5925,79212,836
2015-01-08$17.15$17.0055.8%16.9%46.5%11.0%59.9%6.3%2.4%-220.6K11.7M-97.6K7.6762.38N/AN/A1,77313,6056,95225,358
2015-01-09$17.50$17.0054.4%16.9%44.3%9.8%60.0%5.7%4.2%-236.7K10.9M-101.5K10.1266.59N/AN/A1,34113,5747,30926,190
2015-01-12$17.28$17.0057.8%17.3%39.5%12.5%61.6%2.8%2.6%-208.6K11.2M-98.0K9.8068.00N/AN/A1,37013,4267,34326,034
2015-01-13$17.16$17.0053.6%17.1%34.5%9.2%60.6%4.2%1.6%-182.7K11.2M-98.5K4.1668.50N/AN/A1,6937,0417,49126,054
2015-01-14$17.25$17.0059.2%17.0%34.4%13.6%59.6%5.2%1.9%-114.1K11.3M-102.8K4.1973.94N/AN/A1,7397,2957,97327,286
2015-01-15$16.90$17.0058.9%16.9%34.3%13.4%59.2%2.4%2.8%-121.1K12.7M-112.1K4.8971.84N/AN/A1,5587,6188,33728,672
2015-01-16$17.35$17.0056.9%16.3%33.7%11.8%55.9%4.4%5.2%-259.6K12.1M-121.9K1.9174.61N/AN/A3907468,58430,623
2015-01-20$17.40$17.0055.8%16.0%32.4%11.0%57.1%4.5%2.3%-362.1K13.9M-123.1K18.3677.08N/AN/A458266,02527,946
2015-01-21$17.60$17.0051.6%14.8%32.0%7.6%52.4%2.0%5.0%-370.5K13.8M-125.2K3.7976.78N/AN/A3011,1416,05828,681
2015-01-22$17.31$17.0051.4%14.7%31.8%7.4%51.2%3.6%2.7%-388.8K14.7M-130.1K1.9975.01N/AN/A3,4626,8896,35729,777
2015-01-23$17.31$17.0049.0%14.0%31.7%5.5%48.8%5.1%4.4%-398.6K14.5M-140.0K1.8872.74N/AN/A3,4706,5308,51930,396
2015-01-26$17.53$17.0048.9%14.0%31.8%5.4%49.1%2.8%5.6%-416.1K14.6M-136.1K0.0178.48N/AN/A24338,51930,414
2015-01-27$17.50$17.0049.2%14.1%31.1%5.7%48.4%5.3%4.7%-400.1K14.4M-137.2K0.3485.54N/AN/A4461528,73430,411
2015-01-28$17.13$17.0049.6%14.2%32.2%6.0%49.6%4.0%6.7%-377.8K14.3M-137.2K1.6295.24N/AN/A3,6625,9419,13130,474
2015-01-29$16.86$17.0048.7%14.0%32.6%5.3%51.0%4.9%5.7%-395.9K15.9M-138.5K1.6587.38N/AN/A3,3825,5969,51630,907
2015-01-30$16.55$17.0050.4%14.4%32.4%6.6%49.2%1.3%5.9%-374.3K16.1M-137.6K1.8391.80N/AN/A3,3496,1169,77731,103