VNET Options History — September 2015 In September 2015, VNET traded between $16.71 and $18.36. ATM implied volatility averaged 49.0%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 6.6% (HV 20d: 55.6%). Max pain ranged from $17.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.24.
Notable Days 2015-09-28 : Highest Volume — 17,336 contracts2015-09-28 : Largest IV spike — 37.2% change2015-09-28 : Highest IV Rank — 59.2%2015-09-28 : Largest Expected Move — 17.6%Monthly Statistics Metric Avg Min Max Open Close Price $17.80 $16.71 $18.36 $17.15 $18.29 Max Pain $17.90 $17.00 $21.00 $21.00 $18.00 ATM IV 49.0% 39.9% 61.6% 60.8% 44.3% Expected Move 14.1% 11.4% 17.6% 17.4% 12.7% HV 20d 55.6% 42.7% 61.8% 53.7% 42.7% HV 60d 59.0% 51.0% 60.4% 60.4% 51.0% IV Rank 34.9% 19.6% 59.2% 30.3% 37.5% IV Percentile 40.5% 17.9% 75.4% 66.7% 21.8% Term Structure -2.9% -22.2% 6.2% 0.5% 1.3% VWIV 48.6% 38.1% 61.0% 61.0% 38.1% Skew 25d 17.0% 10.7% 28.3% 10.8% 18.7% Skew 10d 39.8% 6.5% 60.6% 6.5% 28.9% Call IV 25d 40.2% 22.4% 53.9% 53.9% 29.9% Put IV 25d 57.1% 48.6% 64.7% 64.7% 48.6% Bid-Ask Spread % 65.27 39.27 89.22 67.27 62.81 Gamma HHI 0.18 0.16 0.23 0.16 0.18 Net GEX 450.8K 47.3K 1.4M 168.3K 635.6K Net DEX 7.8M -1.2M 20.3M 13.5M -779.5K Net VEX -210.2K -238.1K -184.6K -221.4K -219.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.15 2.32 1.03 1.34 Total Volume 9,737.714 504 17,336 11,080 14,969 Total OI 81,959.286 68,434 88,093 80,809 85,236
Daily Data (21 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 2015-09-01 $17.15 $21.00 60.8% 17.4% 53.7% 30.3% 61.0% 10.8% 0.5% 168.3K 13.5M -221.4K 1.03 67.27 N/A N/A 5,457 5,623 47,946 32,863 2015-09-02 $16.71 $20.00 53.6% 15.4% 53.9% 25.5% 54.3% 13.6% 3.0% 47.3K 20.3M -199.9K 0.73 71.17 N/A N/A 5,827 4,259 48,404 34,448 2015-09-03 $18.03 $17.00 44.6% 13.2% 61.8% 19.6% 47.6% 18.0% -11.9% 187.3K 9.4M -238.1K 0.77 61.64 N/A N/A 4,023 3,090 49,307 34,881 2015-09-04 $18.00 $17.00 47.0% 13.5% 61.4% 21.2% 48.4% 19.7% 2.5% 175.6K 13.7M -217.4K 0.96 50.86 N/A N/A 3,344 3,218 50,221 35,066 2015-09-08 $18.31 $17.00 49.1% 14.1% 61.6% 22.6% 44.9% 20.1% 0.5% 229.7K 7.1M -231.0K 0.45 44.72 N/A N/A 1,705 767 50,377 35,021 2015-09-09 $18.36 $17.00 47.9% 13.7% 61.7% 21.8% 49.4% 13.7% 0.6% 333.6K 5.7M -232.6K 0.90 63.76 N/A N/A 3,786 3,415 51,624 34,915 2015-09-10 $18.17 $17.00 49.0% 14.1% 61.2% 27.5% 51.2% 19.7% -1.1% 322.2K 9.6M -221.3K 1.01 39.27 N/A N/A 3,945 3,969 51,787 34,939 2015-09-11 $18.27 $17.00 48.4% 13.9% 61.2% 28.6% 49.9% 18.5% 1.4% 301.5K 8.8M -219.5K 1.01 45.92 N/A N/A 3,984 4,026 52,459 34,710 2015-09-14 $17.68 $17.00 49.4% 14.2% 61.3% 36.2% 49.5% 20.1% -1.2% 191.1K 13.8M -202.4K 1.30 42.33 N/A N/A 4,221 5,508 52,801 34,612 2015-09-15 $17.57 $18.00 49.8% 14.3% 59.1% 38.0% 53.7% 15.2% -1.2% 217.8K 14.2M -205.6K 0.15 61.57 N/A N/A 440 64 53,286 33,899 2015-09-16 $18.06 $18.00 48.5% 13.9% 60.5% 38.6% 50.1% 19.4% -2.8% 389.4K 9.9M -199.6K 1.04 56.87 N/A N/A 4,411 4,569 53,681 33,885 2015-09-17 $17.85 $18.00 47.7% 13.7% 59.9% 41.7% 49.0% 16.8% -14.0% 464.2K 10.9M -210.1K 1.00 75.04 N/A N/A 4,516 4,521 53,989 33,847 2015-09-18 $18.03 $18.00 45.8% 13.1% 59.7% 39.4% 42.5% 16.1% -13.5% 1.4M 9.5M -202.1K 1.21 73.73 N/A N/A 4,804 5,796 54,463 33,630 2015-09-21 $17.91 $18.00 39.9% 11.4% 59.1% 32.0% 40.3% 14.7% 6.2% 691.5K 874.3K -197.3K 1.27 84.62 N/A N/A 3,582 4,565 45,430 23,004 2015-09-22 $17.21 $18.00 53.1% 15.2% 53.5% 48.5% 46.0% 16.9% -0.3% 623.6K 3.8M -184.6K 1.77 73.18 N/A N/A 4,492 7,945 46,040 23,069 2015-09-23 $17.04 $18.00 55.0% 15.8% 53.3% 50.9% 49.9% 18.5% -7.8% 552.4K 5.3M -189.6K 1.94 76.76 N/A N/A 4,094 7,928 47,703 26,419 2015-09-24 $17.70 $18.00 44.5% 12.7% 51.2% 37.7% 50.9% 11.1% 0.4% 655.0K 2.9M -197.8K 2.15 80.97 N/A N/A 3,994 8,596 47,802 26,444 2015-09-25 $17.87 $18.00 44.9% 12.9% 42.8% 38.2% 46.4% 28.3% -3.0% 704.5K 1.3M -201.7K 2.32 89.22 N/A N/A 3,995 9,253 47,802 27,249 2015-09-28 $17.48 $18.00 61.6% 17.6% 43.5% 59.2% 49.8% 15.4% -22.2% 594.4K 5.6M -193.7K 1.79 73.69 N/A N/A 6,217 11,119 47,803 27,984 2015-09-29 $18.04 $18.00 45.1% 12.9% 44.9% 38.4% 48.5% 10.7% 1.1% 598.1K -1.2M -228.4K 1.86 75.37 N/A N/A 5,055 9,400 49,872 32,227 2015-09-30 $18.29 $18.00 44.3% 12.7% 42.7% 37.5% 38.1% 18.7% 1.3% 635.6K -779.5K -219.8K 1.34 62.81 N/A N/A 6,390 8,579 50,938 34,298
« Aug 2015 | All History | Oct 2015 » Home VNET History September 2015