VNET Options History — August 2015

In August 2015, VNET traded between $16.64 and $21.40. ATM implied volatility averaged 40.8%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 3.6% (HV 20d: 37.2%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 10.35.

Notable Days

  • 2015-08-24: Highest Volume — 17,717 contracts
  • 2015-08-24: Largest IV spike — 44.6% change
  • 2015-08-26: Highest IV Rank — 34.9%
  • 2015-08-26: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.63$16.64$21.40$20.04$17.81
Max Pain$20.48$20.00$21.00$20.00$21.00
ATM IV40.8%30.6%67.9%36.5%57.4%
Expected Move11.8%8.8%19.5%10.5%16.4%
HV 20d37.2%22.8%68.2%68.2%53.0%
HV 60d59.1%57.7%60.5%58.9%60.4%
IV Rank17.2%10.5%34.9%14.4%28.0%
IV Percentile23.2%7.9%75.8%8.3%60.7%
Term Structure-1.1%-13.1%31.1%2.0%-4.4%
VWIV39.4%29.5%62.2%32.6%56.1%
Skew 25d9.0%3.6%25.7%5.0%5.9%
Skew 10d18.5%-0.1%44.9%-0.1%16.1%
Call IV 25d37.8%29.9%59.2%32.1%56.7%
Put IV 25d46.8%34.5%82.6%37.1%62.6%
Bid-Ask Spread %56.2417.00107.6479.5189.62
Gamma HHI0.190.160.270.200.17
Net GEX617.1K112.7K1.3M638.6K185.1K
Net DEX-5.8M-26.4M19.0M-10.2M13.6M
Net VEX-221.9K-239.7K-190.0K-235.1K-217.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.350.37186.0014.800.46
Total Volume8,875.8115817,71715812,334
Total OI69,904.76265,40577,34865,40577,348

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$20.04$20.0036.5%10.5%68.2%14.4%32.6%5.0%2.0%638.6K-10.2M-235.1K14.8079.51N/AN/A1014839,17426,231
2015-08-04$20.27$20.0037.0%10.6%53.6%14.7%35.9%10.2%0.8%660.4K-11.0M-231.3K0.3779.33N/AN/A10,5033,87639,16426,329
2015-08-05$20.29$20.0036.3%10.4%53.6%14.2%35.4%6.5%1.1%683.9K-13.2M-230.4K1.0084.08N/AN/A3,8683,87639,28526,323
2015-08-06$20.43$20.0035.3%10.6%30.7%13.6%32.4%7.4%-3.8%737.1K-13.3M-228.8K1.1043.47N/AN/A3,8684,25539,47626,323
2015-08-07$20.67$20.0032.8%9.9%27.3%11.9%32.0%7.7%-1.0%770.6K-16.5M-233.8K1.0844.19N/AN/A3,8684,16939,47626,773
2015-08-10$20.95$20.0034.2%10.2%27.5%12.9%32.1%8.2%-4.0%846.8K-20.0M-235.7K1.1643.24N/AN/A3,5894,15839,47626,773
2015-08-11$20.68$20.0033.3%9.9%26.5%12.2%35.7%6.4%-2.1%814.4K-16.5M-231.4K1.6045.57N/AN/A36458239,32826,809
2015-08-12$20.15$20.0037.1%10.6%23.1%14.8%34.3%7.3%-3.8%658.8K-10.6M-222.6K0.9643.88N/AN/A3,8973,73739,68227,206
2015-08-13$20.25$20.0037.5%10.8%22.9%15.0%31.0%6.9%-3.6%731.3K-11.2M-226.4K0.9236.31N/AN/A3,8673,57440,18227,414
2015-08-14$20.64$20.0035.0%10.0%22.8%13.4%29.5%9.1%-3.5%901.1K-15.9M-227.8K0.8142.91N/AN/A3,9023,17340,19127,515
2015-08-17$21.40$20.0034.9%10.0%25.6%13.3%29.5%5.9%-13.1%1.3M-26.4M-220.2K0.7627.75N/AN/A4,6613,55240,53727,566
2015-08-18$21.04$21.0030.6%8.8%26.5%10.5%31.8%4.1%-3.7%1.2M-23.1M-221.6K1.0017.00N/AN/A3,9363,92341,43228,003
2015-08-19$20.42$21.0031.3%9.0%28.5%11.0%32.5%5.2%-4.6%928.0K-13.6M-212.2K186.0023.62N/AN/A61,11641,36228,530
2015-08-20$19.90$21.0031.1%8.9%29.6%10.8%32.5%4.1%-2.8%604.8K-3.7M-205.1K1.1325.71N/AN/A3,7994,29141,45829,876
2015-08-21$19.34$21.0036.0%10.3%31.1%14.0%35.3%3.6%-2.8%450.4K5.8M-204.3K0.9924.71N/AN/A7,0606,96342,26931,475
2015-08-24$17.83$21.0052.0%14.9%40.6%24.5%51.5%25.7%31.1%233.8K11.8M-221.4K0.77107.64N/AN/A10,0097,70842,48130,136
2015-08-25$17.57$21.0055.0%15.8%40.7%26.5%58.0%14.4%3.8%267.1K6.9M-239.7K0.7589.66N/AN/A8,6086,45843,17931,013
2015-08-26$16.64$21.0067.9%19.5%43.5%34.9%62.2%23.4%-3.7%112.7K19.0M-190.0K0.6085.99N/AN/A8,4015,02643,51231,556
2015-08-27$18.01$21.0053.2%15.3%53.0%25.3%55.1%11.8%-1.6%124.8K14.6M-202.8K0.4670.41N/AN/A6,1372,80843,54732,755
2015-08-28$18.00$21.0052.2%15.0%53.0%24.7%52.2%9.6%-2.3%152.1K11.6M-222.0K0.6076.34N/AN/A6,4383,87443,88632,949
2015-08-31$17.81$21.0057.4%16.4%53.0%28.0%56.1%5.9%-4.4%185.1K13.6M-217.3K0.4689.62N/AN/A8,4753,85944,59832,750