VNET Options History — April 2015

In April 2015, VNET traded between $17.08 and $20.70. ATM implied volatility averaged 46.8%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 4.4% (HV 20d: 42.3%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2015-04-22: Highest Volume — 11,128 contracts
  • 2015-04-27: Largest IV spike — 6.8% change
  • 2015-04-13: Highest IV Rank — 6.8%
  • 2015-04-13: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.78$17.08$20.70$17.08$20.60
Max Pain$19.29$17.00$20.00$17.00$20.00
ATM IV46.8%44.0%50.7%44.7%46.5%
Expected Move13.5%12.6%14.5%12.8%13.3%
HV 20d42.3%36.8%48.3%40.0%36.8%
HV 60d38.6%35.6%39.5%36.8%38.0%
IV Rank3.7%1.5%6.8%2.1%3.5%
IV Percentile9.7%2.0%28.6%2.4%9.5%
Term Structure-0.2%-2.9%3.0%2.3%-0.5%
VWIV45.3%41.3%49.8%45.4%44.5%
Skew 25d4.2%0.4%7.0%4.0%2.5%
Skew 10d12.0%8.7%18.3%12.5%10.2%
Call IV 25d45.4%43.8%47.3%44.8%45.5%
Put IV 25d49.6%46.4%53.0%48.8%48.0%
Bid-Ask Spread %45.0032.7964.8564.8541.02
Gamma HHI0.130.100.190.150.10
Net GEX136.3K-89.6K309.6K-89.6K205.2K
Net DEX-5.3M-11.2M4.2M4.2M-5.2M
Net VEX-111.3K-130.4K-96.7K-104.6K-130.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.101.821.190.23
Total Volume8,032.1431,51111,1284,98110,623
Total OI35,758.28631,36638,74634,65636,654

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$17.08$17.0044.7%12.8%40.0%2.1%45.4%4.0%2.3%-89.6K4.2M-104.6K1.1964.85N/AN/A2,2782,70311,98722,669
2015-04-02$17.38$19.0046.5%13.5%40.4%3.5%47.7%7.0%1.9%-71.1K3.3M-101.4K1.1845.06N/AN/A2,2882,70311,99622,676
2015-04-06$18.10$19.0044.9%13.7%40.6%2.2%48.2%5.7%-0.2%-12.0K-149.2K-100.0K0.8446.83N/AN/A2,7662,33311,99922,676
2015-04-07$18.47$19.0045.3%13.6%40.2%2.5%45.2%5.5%0.6%48.7K-2.4M-99.8K1.8232.79N/AN/A1,0211,85712,31922,771
2015-04-08$19.95$19.0047.8%13.7%46.7%4.5%45.6%5.4%-0.8%42.1K-6.9M-96.7K0.1042.99N/AN/A1,37613511,59322,761
2015-04-09$19.86$19.0048.3%13.9%46.3%5.0%46.9%4.6%-2.0%119.3K-7.5M-97.0K0.3446.64N/AN/A5,6361,91212,63922,870
2015-04-10$19.76$19.0048.8%14.0%46.1%5.3%46.2%5.4%-2.2%174.8K-8.7M-106.3K0.3134.36N/AN/A5,3901,69214,41622,862
2015-04-13$20.50$19.0050.7%14.5%47.0%6.8%49.8%6.1%-2.9%157.8K-10.6M-105.3K0.2733.20N/AN/A6,2031,69114,40722,901
2015-04-14$19.99$19.0048.4%13.9%48.2%5.0%47.1%6.4%-1.4%237.8K-8.4M-104.5K0.2447.50N/AN/A6,8181,66414,47522,911
2015-04-15$20.47$19.0048.6%13.9%48.3%5.2%44.8%3.9%-1.8%309.6K-11.1M-108.7K0.2943.42N/AN/A5,4881,61715,83522,911
2015-04-16$20.60$19.0046.4%13.3%47.9%3.4%46.5%4.7%-0.2%259.3K-11.2M-107.0K0.3045.90N/AN/A5,9971,80415,55822,914
2015-04-17$20.48$19.0048.1%13.8%42.6%4.8%45.9%4.3%-0.6%123.5K-10.5M-110.6K0.2845.59N/AN/A6,1741,75715,58123,106
2015-04-20$19.99$19.0046.7%13.4%40.3%3.7%46.0%5.1%-0.0%113.3K-2.6M-109.4K0.2334.82N/AN/A8,0411,84112,40618,960
2015-04-21$20.00$20.0047.0%13.5%40.2%3.9%44.4%3.9%-0.7%155.3K-3.6M-120.4K0.2339.90N/AN/A7,9891,85314,71219,165
2015-04-22$20.00$20.0044.3%12.7%40.1%1.8%44.1%1.8%3.0%156.4K-3.8M-120.4K0.2549.89N/AN/A8,8772,25114,69219,167
2015-04-23$20.16$20.0045.0%12.9%39.7%2.3%42.8%2.2%0.3%162.9K-4.1M-121.5K0.2253.39N/AN/A8,8971,94615,56419,676
2015-04-24$20.20$20.0044.0%12.6%39.5%1.5%41.3%2.2%1.1%168.8K-4.6M-122.8K0.2149.99N/AN/A8,9101,86615,57419,771
2015-04-27$20.47$20.0047.0%13.5%39.5%3.9%44.0%0.4%0.3%184.0K-5.3M-118.6K0.2346.42N/AN/A8,7552,04015,61519,881
2015-04-28$20.70$20.0046.8%13.4%39.4%3.8%43.3%3.9%-0.6%216.9K-6.0M-124.3K0.2550.90N/AN/A8,7372,17015,76920,136
2015-04-29$20.56$20.0046.4%13.3%39.6%3.5%42.1%2.6%0.6%199.6K-5.2M-127.7K0.2349.54N/AN/A8,6251,95115,75220,597
2015-04-30$20.60$20.0046.5%13.3%36.8%3.5%44.5%2.5%-0.5%205.2K-5.2M-130.4K0.2341.02N/AN/A8,6551,96815,75420,900