VNET Options History — June 2015

In June 2015, VNET traded between $18.86 and $21.87. ATM implied volatility averaged 28.0%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 25.7% (HV 20d: 53.7%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2015-06-10: Highest Volume — 13,989 contracts
  • 2015-06-29: Largest IV spike — 57.6% change
  • 2015-06-09: Highest IV Rank — 9.7%
  • 2015-06-09: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.96$18.86$21.87$18.86$20.51
Max Pain$20.45$19.00$21.00$19.00$21.00
ATM IV28.0%14.6%50.2%45.3%22.4%
Expected Move7.9%4.2%13.5%13.0%6.4%
HV 20d53.7%38.6%59.9%38.6%48.3%
HV 60d42.9%38.9%46.0%38.9%43.6%
IV Rank3.2%0.0%9.7%6.0%5.1%
IV Percentile7.5%0.0%38.5%9.5%4.0%
Term Structure1.0%-3.1%5.9%-3.1%2.2%
VWIV27.5%13.5%47.8%46.8%22.7%
Skew 25d-0.5%-6.1%5.4%0.1%5.4%
Skew 10d2.2%-10.5%31.2%2.9%15.3%
Call IV 25d28.0%14.9%46.9%45.3%20.6%
Put IV 25d27.5%12.2%49.4%45.4%26.0%
Bid-Ask Spread %67.6139.58102.9939.5850.19
Gamma HHI0.200.090.450.090.44
Net GEX-3.5K-708.7K659.3K8.3K-445.6K
Net DEX488.2K-12.6M20.3M2.3M11.0M
Net VEX-127.2K-157.7K-89.9K-115.3K-157.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.312.700.370.48
Total Volume8,687.7732,99713,9896,18511,472
Total OI46,805.31839,99257,20739,99250,414

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$18.86$19.0045.3%13.0%38.6%6.0%46.8%0.1%-3.1%8.3K2.3M-115.3K0.3739.58N/AN/A4,5241,66115,99623,996
2015-06-02$20.31$19.0047.1%13.5%47.6%7.3%47.3%2.7%-1.6%171.6K-3.3M-122.0K1.1545.45N/AN/A1,3911,60616,53724,001
2015-06-03$21.00$19.0045.6%13.1%48.7%6.2%45.4%1.3%-2.0%271.0K-6.5M-139.6K0.3949.72N/AN/A6,0542,33917,45524,994
2015-06-04$21.21$20.0046.6%12.5%48.3%7.0%44.7%4.5%2.3%413.7K-9.5M-142.2K0.4542.37N/AN/A5,3082,37319,10025,042
2015-06-05$21.50$20.0046.0%12.5%46.9%6.5%43.9%2.4%1.7%433.5K-10.3M-144.3K0.5050.11N/AN/A4,1262,04919,05025,127
2015-06-08$20.75$20.0049.6%13.1%48.9%9.3%47.2%3.4%1.5%370.3K-6.9M-138.7K0.4841.62N/AN/A4,3312,08019,04525,451
2015-06-09$19.92$20.0050.2%13.5%50.3%9.7%47.8%2.5%0.6%295.1K-3.3M-135.6K0.3165.11N/AN/A6,1861,89119,19325,585
2015-06-10$21.87$20.0022.8%6.5%59.5%0.0%23.0%0.2%0.7%659.3K-12.6M-89.9K0.7671.67N/AN/A7,9556,03419,34325,661
2015-06-11$21.70$20.0022.9%6.6%59.4%0.1%20.9%-2.8%-0.0%403.1K-8.3M-118.4K0.5588.85N/AN/A7,0033,84320,43229,587
2015-06-12$21.72$21.0021.9%6.3%59.4%0.0%20.7%-2.4%0.7%391.5K-8.9M-120.0K0.71102.99N/AN/A6,4994,60321,22130,318
2015-06-15$21.78$21.0022.5%6.4%59.3%0.4%21.7%-0.5%0.2%287.0K-7.2M-131.0K0.8071.92N/AN/A6,5215,22321,43332,138
2015-06-16$21.43$21.0020.4%5.8%59.8%0.0%19.6%-4.0%1.0%130.9K-512.2K-135.7K0.7977.46N/AN/A6,2734,94421,33733,357
2015-06-17$21.37$21.0014.6%4.2%59.9%0.0%18.2%-6.1%5.9%191.0K-1.5M-129.7K0.8193.92N/AN/A6,1804,97821,41733,915
2015-06-18$21.60$21.0017.4%5.0%59.6%1.8%18.5%-2.5%0.8%-67.0K-123.1K-133.7K0.9379.28N/AN/A6,1865,73721,57534,795
2015-06-19$21.29$21.0016.0%4.6%59.7%0.9%16.2%-2.7%1.9%-370.2K1.6M-124.7K0.8796.79N/AN/A5,8975,12021,57735,630
2015-06-22$21.28$21.0015.3%4.4%59.7%0.5%13.8%-0.5%1.0%-468.5K8.3M-123.0K2.5493.37N/AN/A1,5924,04216,72325,464
2015-06-23$21.20$21.0015.8%4.5%57.5%0.8%13.5%-2.5%2.1%-493.3K8.8M-121.6K2.1880.49N/AN/A1,5883,46916,65125,331
2015-06-24$20.96$21.0016.5%4.7%51.6%1.3%16.3%-4.2%1.2%-502.5K9.9M-117.7K2.5159.33N/AN/A1,5823,97716,67225,198
2015-06-25$20.71$21.0016.3%4.7%52.1%1.1%15.8%-3.3%-0.2%-645.1K13.9M-116.7K2.6259.37N/AN/A1,6344,27716,67225,759
2015-06-26$20.52$21.0015.7%4.5%52.3%0.7%16.1%1.5%4.4%-708.7K13.5M-124.6K2.7084.18N/AN/A1,5944,31116,80426,401
2015-06-29$19.67$21.0024.7%7.1%53.1%6.6%24.6%-3.4%0.2%-402.0K20.3M-115.5K0.6543.68N/AN/A7,6705,00816,80426,516
2015-06-30$20.51$21.0022.4%6.4%48.3%5.1%22.7%5.4%2.2%-445.6K11.0M-157.7K0.4850.19N/AN/A7,7523,72022,86227,552