VNET Options History — March 2015

In March 2015, VNET traded between $16.11 and $17.74. ATM implied volatility averaged 50.8%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 10.9% (HV 20d: 40.0%). Max pain ranged from $17.00 to $22.50. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.57.

Notable Days

  • 2015-03-06: Highest Volume — 20,074 contracts
  • 2015-03-10: Largest IV drop — 23.4% change
  • 2015-03-09: Highest IV Rank — 19.1%
  • 2015-03-04: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.09$16.11$17.74$16.55$17.63
Max Pain$17.75$17.00$22.50$22.50$17.00
ATM IV50.8%43.8%66.1%56.1%43.8%
Expected Move14.1%12.5%17.1%16.1%12.5%
HV 20d40.0%35.8%45.6%36.8%39.4%
HV 60d36.8%33.2%41.1%41.0%36.3%
IV Rank7.0%1.3%19.1%11.2%1.3%
IV Percentile23.7%1.6%75.0%50.4%1.6%
Term Structure1.5%-12.7%9.9%-6.6%2.7%
VWIV49.6%44.5%57.4%57.4%47.8%
Skew 25d5.6%1.6%12.5%4.6%8.5%
Skew 10d9.9%-17.9%29.8%-17.9%29.8%
Call IV 25d48.1%41.1%59.2%55.3%41.1%
Put IV 25d53.7%48.3%60.8%59.9%49.6%
Bid-Ask Spread %75.8642.9996.7374.5858.28
Gamma HHI0.200.140.470.170.14
Net GEX-200.3K-1.0M415.7K-506.3K-40.2K
Net DEX12.5M2.0M22.7M19.6M2.0M
Net VEX-111.8K-127.8K-102.5K-127.8K-105.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.570.1016.180.501.19
Total Volume4,108.2274920,0744,9554,994
Total OI46,368.54531,93159,86045,32934,397

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$16.55$22.5056.1%16.1%36.8%11.2%57.4%4.6%-6.6%-506.3K19.6M-127.8K0.5074.58N/AN/A3,3041,65111,45433,875
2015-03-03$16.11$22.5055.0%15.8%38.1%10.3%57.1%5.3%-4.5%-519.4K22.7M-126.5K0.4664.86N/AN/A3,2411,50011,53733,880
2015-03-04$16.64$22.5059.5%17.1%36.8%13.9%56.5%1.6%-12.7%-530.6K20.9M-127.8K2.4462.47N/AN/A3,3648,19611,58033,746
2015-03-05$16.62$17.0055.6%14.4%36.0%10.8%51.2%12.5%1.7%-505.6K18.2M-109.0K2.3580.75N/AN/A3,6308,52011,56329,827
2015-03-06$17.28$17.0056.8%14.3%38.1%11.7%49.5%5.5%-1.0%-486.1K16.2M-107.3K0.1071.30N/AN/A18,3211,75311,76130,081
2015-03-09$17.73$17.0066.1%14.2%38.6%19.1%49.4%7.8%-0.9%365.7K4.2M-124.2K0.3877.27N/AN/A1,92973726,70330,223
2015-03-10$17.27$17.0050.6%13.3%39.3%6.8%46.9%3.2%3.2%415.7K8.6M-117.9K0.1475.66N/AN/A8,2311,16627,94930,552
2015-03-11$17.74$17.0046.8%13.4%40.7%3.8%48.8%7.1%0.9%276.1K9.1M-116.1K16.1842.99N/AN/A781,26224,35631,188
2015-03-12$17.55$17.0044.8%12.8%40.8%2.1%46.1%3.5%4.7%196.6K11.7M-115.9K0.5558.34N/AN/A442424,30532,251
2015-03-13$17.39$17.0048.4%13.9%40.8%5.0%51.6%3.8%1.3%31.1K14.7M-114.3K1.6064.63N/AN/A589323,90532,251
2015-03-16$17.28$17.0050.4%14.5%35.8%6.7%51.8%5.7%-2.0%-162.4K17.1M-106.8K15.6366.98N/AN/A5789123,87832,229
2015-03-17$17.20$17.0048.9%14.0%35.8%5.5%48.2%3.7%2.5%-249.5K17.1M-106.2K3.1075.78N/AN/A299023,86532,841
2015-03-18$17.05$17.0048.1%13.8%35.8%4.8%47.2%6.1%2.0%-364.7K17.9M-105.8K5.9786.25N/AN/A10965123,84732,876
2015-03-19$16.19$17.0049.2%14.1%38.9%5.7%50.0%5.3%3.3%-1.0M22.3M-102.5K1.7885.85N/AN/A1,6142,87723,88033,022
2015-03-20$17.20$17.0048.8%14.0%45.6%5.4%47.9%5.2%3.1%-200.2K17.9M-108.8K0.5492.28N/AN/A60932725,29034,570
2015-03-23$17.18$17.0048.1%13.8%44.7%4.8%44.5%7.0%8.3%-205.7K6.1M-106.9K0.2693.83N/AN/A218579,50322,428
2015-03-24$17.09$17.0046.5%13.3%44.7%3.5%48.8%4.6%6.6%-196.9K5.8M-103.5K0.5383.78N/AN/A2201169,65522,450
2015-03-25$16.99$17.0049.1%14.1%44.3%5.6%48.7%8.0%3.9%-227.3K7.0M-105.4K0.1489.40N/AN/A701989,87522,558
2015-03-26$16.92$17.0051.1%14.6%44.1%7.2%47.8%4.4%9.9%-184.2K6.3M-108.4K0.4491.48N/AN/A3,8661,68510,48622,559
2015-03-27$16.98$17.0048.3%13.8%43.4%5.0%49.0%1.9%5.5%-151.4K4.8M-109.9K1.4596.73N/AN/A202911,08022,357
2015-03-30$17.29$17.0046.4%13.3%40.5%3.5%45.9%7.5%1.8%-123.8K4.7M-103.7K0.7675.53N/AN/A2,2791,74211,09722,378
2015-03-31$17.63$17.0043.8%12.5%39.4%1.3%47.8%8.5%2.7%-40.2K2.0M-105.6K1.1958.28N/AN/A2,2772,71711,97722,420