VNET Options History — May 2015

In May 2015, VNET traded between $17.50 and $20.77. ATM implied volatility averaged 44.4%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 17.9% (HV 20d: 26.5%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2015-05-01: Highest Volume — 10,447 contracts
  • 2015-05-27: Largest IV drop — 24.6% change
  • 2015-05-26: Highest IV Rank — 11.1%
  • 2015-05-26: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.27$17.50$20.77$20.64$18.07
Max Pain$19.05$19.00$20.00$20.00$19.00
ATM IV44.4%37.6%52.7%46.6%37.6%
Expected Move13.0%10.8%15.1%13.4%10.8%
HV 20d26.5%20.8%36.8%36.8%34.5%
HV 60d37.7%36.9%38.8%37.8%38.0%
IV Rank4.0%0.0%11.1%3.6%0.0%
IV Percentile8.5%0.0%50.8%10.3%0.0%
Term Structure-2.0%-8.1%2.2%-0.4%-0.3%
VWIV45.7%35.9%56.1%41.2%37.6%
Skew 25d3.1%1.0%5.9%2.3%3.2%
Skew 10d4.0%-12.1%23.0%10.0%9.3%
Call IV 25d44.2%35.6%51.6%45.0%35.6%
Put IV 25d47.4%38.8%57.5%47.3%38.8%
Bid-Ask Spread %64.0321.7885.3046.0050.24
Gamma HHI0.110.090.160.100.09
Net GEX24.3K-230.7K242.3K202.6K-136.5K
Net DEX1.3M-5.6M8.7M-4.7M6.4M
Net VEX-116.4K-128.5K-97.7K-128.5K-102.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.014.810.210.31
Total Volume6,331.957610,44710,4475,597
Total OI37,211.235,24639,93636,74339,936

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$20.64$20.0046.6%13.4%36.8%3.6%41.2%2.3%-0.4%202.6K-4.7M-128.5K0.2146.00N/AN/A8,6351,81215,76420,979
2015-05-04$20.77$19.0044.3%12.9%34.8%1.8%46.9%3.5%-0.6%242.3K-5.6M-126.8K3.1459.48N/AN/A6620715,78420,987
2015-05-05$20.40$19.0045.2%13.3%35.5%2.5%46.2%2.6%-2.5%210.7K-4.4M-126.3K0.2270.70N/AN/A8,5751,87115,83721,175
2015-05-06$20.06$19.0045.7%13.3%23.9%2.9%47.9%4.9%-3.1%144.3K-2.3M-122.9K0.2271.12N/AN/A8,5731,87115,72221,250
2015-05-07$19.49$19.0044.0%13.6%26.0%1.5%47.6%4.3%-2.5%84.3K-316.0K-121.3K0.2766.88N/AN/A7,7892,07415,72221,250
2015-05-08$19.76$19.0038.4%12.9%26.5%0.0%45.4%4.6%-2.1%111.8K-633.1K-124.3K0.0969.85N/AN/A70615,68121,769
2015-05-11$19.24$19.0044.8%13.4%24.3%4.9%47.0%3.3%-2.6%34.7K1.2M-119.9K4.8170.99N/AN/A6732215,73121,768
2015-05-12$19.00$19.0043.4%13.2%23.2%3.8%47.0%2.8%1.2%-63.0K2.7M-117.7K0.2282.77N/AN/A7,7041,69715,77121,906
2015-05-13$18.83$19.0045.7%13.1%21.1%5.6%46.3%2.6%1.0%-124.7K3.7M-114.5K0.2276.12N/AN/A7,6731,69715,77121,964
2015-05-14$18.83$19.0045.3%13.0%20.8%5.3%45.9%2.7%2.2%-189.4K3.4M-114.5K0.2273.43N/AN/A7,8231,70115,77221,964
2015-05-15$19.17$19.0046.1%13.2%22.2%5.9%45.5%2.7%-2.2%37.4K2.2M-113.2K0.2275.34N/AN/A7,7821,70815,90821,972
2015-05-18$19.29$19.0046.2%13.2%21.0%6.0%44.7%3.3%-3.4%65.0K721.5K-119.0K0.0185.30N/AN/A262214,38020,866
2015-05-19$19.28$19.0046.9%13.5%21.0%6.6%47.9%1.7%-3.8%76.6K608.8K-118.6K4.7269.00N/AN/A11855714,62620,868
2015-05-20$19.70$19.0045.2%13.0%22.6%5.3%49.1%1.0%-3.7%99.4K692.5K-121.0K0.2177.85N/AN/A5,3981,14314,64121,416
2015-05-21$19.49$19.0045.8%13.1%22.6%5.7%47.7%3.6%-3.5%79.6K750.7K-116.8K0.2267.38N/AN/A5,8131,28514,67221,392
2015-05-22$19.42$19.0045.8%13.1%22.6%5.7%48.2%1.4%-3.0%57.8K833.7K-113.6K0.2257.23N/AN/A5,9081,31914,58721,554
2015-05-26$18.67$19.0052.7%15.1%25.4%11.1%56.1%5.9%-8.1%-18.4K3.3M-111.2K0.6145.64N/AN/A4,3352,63314,69821,527
2015-05-27$17.50$19.0039.8%11.4%32.5%1.0%40.3%3.5%-2.6%-230.7K8.7M-97.7K0.4821.78N/AN/A4,4862,17015,47423,338
2015-05-28$17.74$19.0038.7%11.1%33.4%0.2%35.9%2.8%-0.6%-198.1K8.1M-98.1K0.2943.52N/AN/A4,5501,34015,80423,998
2015-05-29$18.07$19.0037.6%10.8%34.5%0.0%37.6%3.2%-0.3%-136.5K6.4M-102.3K0.3150.24N/AN/A4,2571,34015,94023,996