VNET Options History — February 2015

In February 2015, VNET traded between $16.50 and $19.06. ATM implied volatility averaged 50.7%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 19.3% (HV 20d: 31.4%). Max pain ranged from $17.00 to $22.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.38.

Notable Days

  • 2015-02-03: Highest Volume — 9,316 contracts
  • 2015-02-10: Largest IV spike — 12.1% change
  • 2015-02-11: Highest IV Rank — 9.6%
  • 2015-02-09: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.00$16.50$19.06$16.50$17.32
Max Pain$21.63$17.00$22.50$17.00$22.50
ATM IV50.7%46.0%54.2%50.3%50.9%
Expected Move14.9%13.5%16.0%14.4%14.6%
HV 20d31.4%27.7%34.8%32.5%33.5%
HV 60d49.9%40.3%55.8%55.7%40.3%
IV Rank6.9%3.1%9.6%6.6%7.0%
IV Percentile24.3%4.0%42.1%18.3%22.2%
Term Structure-0.9%-5.3%8.9%4.3%-2.0%
VWIV52.8%47.2%56.6%49.6%52.2%
Skew 25d5.5%2.5%7.6%4.7%6.3%
Skew 10d19.9%-0.4%30.0%29.5%7.6%
Call IV 25d50.2%44.3%54.5%49.1%51.4%
Put IV 25d55.7%49.7%59.5%53.8%57.7%
Bid-Ask Spread %82.1074.2588.0885.3477.97
Gamma HHI0.130.110.150.150.15
Net GEX-381.4K-488.6K-267.0K-433.1K-488.6K
Net DEX12.6M7.4M17.5M17.4M17.5M
Net VEX-135.1K-140.0K-128.0K-135.4K-136.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.0516.8616.860.52
Total Volume4,469.2633759,3163754,987
Total OI44,088.42141,37648,59041,37645,038

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$16.50$17.0050.3%14.4%32.5%6.6%49.6%4.7%4.3%-433.1K17.4M-135.4K16.8685.34N/AN/A213549,77631,600
2015-02-03$17.20$17.0047.3%13.5%34.7%4.1%47.2%5.6%8.9%-418.2K15.3M-137.9K1.6974.25N/AN/A3,4605,8569,78231,898
2015-02-04$17.53$17.0047.1%13.5%34.8%4.0%48.4%5.4%6.8%-372.8K13.4M-137.8K1.6479.03N/AN/A3,4845,73110,12931,899
2015-02-05$17.90$22.5047.1%15.3%33.9%4.0%54.0%6.0%-2.1%-377.8K12.2M-134.4K5.2485.22N/AN/A1,2126,35310,17331,916
2015-02-06$18.26$22.5047.9%15.3%28.5%4.6%56.6%4.9%0.8%-346.0K10.7M-138.5K3.6484.64N/AN/A1,5675,70210,20132,361
2015-02-09$18.01$22.5046.0%16.0%28.3%3.1%56.4%5.0%-4.3%-341.0K11.9M-137.1K1.2883.09N/AN/A1,2891,65410,59632,373
2015-02-10$17.98$22.5051.5%15.2%27.9%7.5%53.6%2.5%-0.6%-384.6K12.0M-136.3K0.6783.20N/AN/A1,28986110,60633,170
2015-02-11$18.01$22.5054.2%15.5%27.7%9.6%54.1%6.0%-3.4%-357.4K12.3M-135.9K0.7182.88N/AN/A1,25988910,60633,244
2015-02-12$18.13$22.5053.3%15.3%27.7%8.9%54.5%5.6%-1.4%-379.9K12.1M-132.8K0.9484.65N/AN/A95089110,60433,244
2015-02-13$19.06$22.5049.4%14.2%31.1%5.9%50.4%6.2%-1.2%-269.7K7.4M-130.5K1.9980.80N/AN/A1,4672,92410,60433,239
2015-02-17$19.03$22.5053.2%15.2%30.2%8.9%53.1%2.7%-4.1%-267.0K8.3M-133.9K2.2186.26N/AN/A1,4163,13011,08635,162
2015-02-18$19.02$22.5054.1%15.5%30.3%9.6%54.2%6.2%-4.1%-293.8K8.3M-132.4K2.4888.08N/AN/A1,2603,13011,13435,429
2015-02-19$18.57$22.5050.9%14.6%31.7%7.0%54.3%5.8%-1.9%-283.3K10.0M-128.0K0.0584.49N/AN/A2,39612810,95435,252
2015-02-20$18.33$22.5049.8%14.3%31.5%6.2%52.3%4.2%1.5%-415.1K9.8M-136.7K2.8587.32N/AN/A13739113,21035,380
2015-02-23$17.85$22.5052.9%15.2%33.2%8.6%51.9%7.3%-1.4%-437.8K14.0M-134.3K0.8379.74N/AN/A3,2652,69811,26432,522
2015-02-24$17.92$22.5051.6%14.8%32.9%7.6%53.6%7.6%-3.6%-435.8K15.2M-140.0K0.4779.56N/AN/A3,2101,52411,27332,992
2015-02-25$17.59$22.5053.3%15.3%33.6%9.0%54.1%6.3%-5.3%-459.4K16.4M-135.4K0.5378.15N/AN/A3,2111,70111,28333,101
2015-02-26$17.75$22.5053.3%15.3%32.8%9.0%53.4%6.1%-3.5%-485.0K16.0M-134.1K0.5875.21N/AN/A3,2421,87711,29233,287
2015-02-27$17.32$22.5050.9%14.6%33.5%7.0%52.2%6.3%-2.0%-488.6K17.5M-136.4K0.5277.97N/AN/A3,2811,70611,36133,677