VNET Options History — July 2015 In July 2015, VNET traded between $16.38 and $20.71. ATM implied volatility averaged 45.1%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 30.0% (HV 20d: 75.1%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.53.
Notable Days 2015-07-07 : Highest Volume — 23,995 contracts2015-07-06 : Largest IV spike — 139.9% change2015-07-08 : Highest IV Rank — 46.6%2015-07-08 : Largest Expected Move — 23.2%Monthly Statistics Metric Avg Min Max Open Close Price $19.59 $16.38 $20.71 $20.42 $20.27 Max Pain $20.18 $20.00 $21.00 $21.00 $20.00 ATM IV 45.1% 21.7% 85.8% 21.7% 37.2% Expected Move 12.3% 6.2% 23.2% 6.2% 10.7% HV 20d 75.1% 46.6% 82.0% 46.8% 79.6% HV 60d 55.9% 40.5% 59.2% 43.5% 59.1% IV Rank 20.0% 4.6% 46.6% 4.6% 14.8% IV Percentile 29.3% 3.6% 93.3% 3.6% 9.1% Term Structure 6.4% -8.3% 48.3% 2.5% 1.3% VWIV 45.2% 21.3% 80.2% 22.1% 36.4% Skew 25d 4.3% -9.8% 22.1% -1.5% 3.3% Skew 10d 11.1% -25.7% 44.2% -0.2% 16.4% Call IV 25d 45.8% 21.2% 104.2% 24.3% 35.5% Put IV 25d 50.1% 22.1% 96.4% 22.8% 38.9% Bid-Ask Spread % 107.61 72.79 133.50 87.66 78.52 Gamma HHI 0.18 0.13 0.46 0.46 0.19 Net GEX 355.5K -587.3K 919.7K -430.7K 675.6K Net DEX -4.2M -22.4M 25.9M 10.4M -12.3M Net VEX -230.2K -271.7K -147.9K -151.1K -240.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.36 0.87 0.49 0.36 Total Volume 16,471.182 11,591 23,995 11,591 13,958 Total OI 62,971.091 50,962 69,153 50,962 65,355
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-07-01 $20.42 $21.00 21.7% 6.2% 46.8% 4.6% 22.1% -1.5% 2.5% -430.7K 10.4M -151.1K 0.49 87.66 N/A N/A 7,767 3,824 23,188 27,774 2015-07-02 $20.40 $21.00 21.9% 6.3% 46.6% 4.8% 21.3% 0.8% 2.1% -587.3K 11.4M -163.9K 0.57 72.79 N/A N/A 7,767 4,392 23,192 28,177 2015-07-06 $18.25 $21.00 52.5% 12.5% 60.2% 24.8% 40.9% 8.3% 12.5% -196.2K 22.2M -148.3K 0.87 74.90 N/A N/A 7,820 6,773 23,192 28,764 2015-07-07 $16.38 $21.00 78.5% 20.4% 69.4% 41.8% 61.2% 14.5% -0.8% -148.0K 25.9M -147.9K 0.43 97.27 N/A N/A 16,836 7,159 23,352 30,506 2015-07-08 $16.43 $20.00 85.8% 23.2% 68.7% 46.6% 80.2% 22.1% -8.3% 81.5K 13.6M -217.1K 0.36 104.82 N/A N/A 17,054 6,079 37,858 30,451 2015-07-09 $18.68 $20.00 84.3% 17.3% 76.3% 45.6% 61.4% 1.2% 5.1% 229.2K 3.0M -257.0K 0.63 88.52 N/A N/A 12,769 7,998 38,224 30,007 2015-07-10 $19.50 $20.00 56.4% 16.6% 78.4% 27.4% 57.5% 5.8% -0.3% 205.9K -2.7M -264.0K 0.76 92.17 N/A N/A 11,199 8,535 38,617 29,236 2015-07-13 $19.52 $20.00 53.1% 15.9% 78.4% 25.2% 64.8% -9.8% 18.4% 141.9K -5.5M -271.5K 0.73 120.44 N/A N/A 10,924 7,980 38,717 29,964 2015-07-14 $20.08 $20.00 52.9% 13.5% 79.3% 25.1% 62.1% -0.9% -1.5% 124.5K -7.0M -271.7K 0.58 124.92 N/A N/A 11,099 6,388 38,728 29,680 2015-07-15 $19.23 $20.00 44.1% 12.6% 80.4% 19.3% 47.2% -0.9% 12.9% 264.6K -3.8M -251.2K 0.64 114.47 N/A N/A 10,260 6,526 38,452 30,125 2015-07-16 $19.45 $20.00 44.2% 12.7% 80.6% 19.4% 72.9% 0.6% 48.3% 489.9K -2.5M -249.1K 0.61 133.50 N/A N/A 10,260 6,223 38,649 30,254 2015-07-17 $19.84 $20.00 36.8% 10.6% 80.9% 14.5% 42.3% -0.0% 9.0% 404.5K -1.7M -248.8K 0.61 126.08 N/A N/A 10,260 6,265 38,649 30,504 2015-07-20 $20.10 $20.00 36.4% 10.4% 81.1% 14.3% 39.6% 3.7% 14.5% 518.4K -12.8M -252.6K 0.50 125.05 N/A N/A 10,943 5,502 35,872 23,630 2015-07-21 $20.29 $20.00 25.0% 7.2% 81.2% 6.8% 26.2% -1.1% 17.7% 633.6K -15.4M -241.6K 0.39 124.68 N/A N/A 11,123 4,311 37,148 23,686 2015-07-22 $20.50 $20.00 27.9% 8.0% 81.3% 8.7% 33.6% 11.2% -5.6% 761.9K -19.7M -245.7K 0.42 124.06 N/A N/A 10,230 4,296 38,148 23,720 2015-07-23 $20.71 $20.00 27.3% 7.8% 81.3% 8.4% 29.8% 7.6% 5.4% 919.7K -21.4M -245.5K 0.42 113.13 N/A N/A 10,015 4,169 38,884 23,767 2015-07-24 $20.56 $20.00 52.3% 15.0% 81.3% 24.7% 41.3% -2.8% -1.5% 668.5K -22.4M -253.0K 0.42 131.70 N/A N/A 10,015 4,169 39,100 23,767 2015-07-27 $19.91 $20.00 37.7% 10.8% 82.0% 15.1% 36.1% 15.2% 5.9% 872.4K -12.0M -230.8K 0.69 119.64 N/A N/A 10,407 7,135 38,971 23,767 2015-07-28 $19.90 $20.00 41.8% 12.0% 80.6% 17.8% 40.3% 7.7% -2.3% 885.9K -9.6M -222.6K 0.44 121.45 N/A N/A 10,349 4,533 38,895 24,719 2015-07-29 $20.12 $20.00 38.4% 11.0% 79.2% 15.6% 40.2% 3.9% 4.3% 606.4K -12.5M -247.7K 0.42 115.01 N/A N/A 10,350 4,394 38,785 25,667 2015-07-30 $20.50 $20.00 36.8% 10.5% 79.5% 14.5% 37.6% 5.2% 1.3% 699.0K -16.7M -242.7K 0.40 76.56 N/A N/A 10,240 4,070 38,995 26,228 2015-07-31 $20.27 $20.00 37.2% 10.7% 79.6% 14.8% 36.4% 3.3% 1.3% 675.6K -12.3M -240.8K 0.36 78.52 N/A N/A 10,266 3,692 39,171 26,184
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