VNET Options History — October 2015 In October 2015, VNET traded between $18.06 and $20.38. ATM implied volatility averaged 29.2%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.3% (HV 20d: 28.9%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.89.
Notable Days 2015-10-30 : Highest Volume — 29,606 contracts2015-10-12 : Largest IV spike — 36.4% change2015-10-01 : Highest IV Rank — 37.9%2015-10-01 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $19.46 $18.06 $20.38 $18.06 $20.07 Max Pain $18.59 $18.00 $19.00 $18.00 $19.00 ATM IV 29.2% 20.1% 44.7% 44.7% 20.1% Expected Move 8.1% 5.8% 12.8% 12.8% 5.8% HV 20d 28.9% 19.6% 41.7% 41.7% 19.6% HV 60d 42.7% 41.7% 51.1% 51.1% 41.8% IV Rank 18.4% 7.0% 37.9% 37.9% 7.0% IV Percentile 9.7% 3.2% 23.0% 23.0% 3.2% Term Structure 2.0% -5.0% 13.3% -0.4% 3.3% VWIV 31.6% 19.2% 66.0% 43.3% 20.7% Skew 25d 11.5% 4.6% 26.2% 17.0% 5.5% Skew 10d 22.5% 11.0% 42.1% 26.7% 11.0% Call IV 25d 24.5% 17.9% 41.8% 32.9% 20.3% Put IV 25d 35.9% 25.8% 68.0% 49.9% 25.8% Bid-Ask Spread % 90.28 56.83 109.40 58.93 85.62 Gamma HHI 0.23 0.16 0.36 0.19 0.36 Net GEX 212.2K -563.4K 745.5K 654.9K -563.4K Net DEX -11.8M -31.0M 5.3M -401.4K -12.1M Net VEX -300.3K -364.0K -219.4K -222.6K -353.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.89 1.13 2.81 1.26 1.14 Total Volume 18,690.455 2,756 29,606 12,620 29,606 Total OI 126,867.136 88,231 159,359 88,231 159,359
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 2015-10-01 $18.06 $18.00 44.7% 12.8% 41.7% 37.9% 43.3% 17.0% -0.4% 654.9K -401.4K -222.6K 1.26 58.93 N/A N/A 5,576 7,044 52,593 35,638 2015-10-02 $18.44 $18.00 42.5% 12.2% 32.7% 35.2% 66.0% 26.2% -5.0% 745.5K -11.4M -268.9K 2.35 102.17 N/A N/A 4,206 9,899 52,748 36,080 2015-10-05 $18.35 $18.00 39.1% 10.7% 32.7% 30.9% 39.1% 12.5% 13.3% 655.7K -813.8K -235.6K 1.82 59.89 N/A N/A 979 1,777 53,192 39,281 2015-10-06 $18.06 $18.00 36.4% 11.2% 32.7% 27.5% 42.6% 13.7% 5.9% 508.3K 5.3M -219.4K 2.00 56.83 N/A N/A 4,959 9,933 54,155 40,912 2015-10-07 $18.60 $18.00 36.5% 10.2% 34.4% 27.6% 38.9% 16.3% 0.0% 730.4K -5.2M -245.3K 1.63 109.40 N/A N/A 7,066 11,512 55,689 42,664 2015-10-08 $18.66 $18.00 35.2% 10.2% 34.2% 25.9% 39.6% 13.7% -0.3% 742.3K -6.0M -285.3K 2.41 85.67 N/A N/A 5,932 14,289 58,660 47,438 2015-10-09 $18.88 $18.00 30.3% 8.9% 34.3% 19.8% 36.0% 17.1% 1.3% 511.0K -5.8M -273.6K 2.81 96.39 N/A N/A 4,353 12,243 59,273 52,342 2015-10-12 $19.25 $18.00 41.3% 8.2% 32.3% 33.7% 28.3% 13.6% 2.6% 571.4K -9.2M -259.8K 2.75 86.17 N/A N/A 4,587 12,614 60,156 53,411 2015-10-13 $19.31 $18.00 36.9% 9.0% 32.1% 28.1% 29.5% 19.2% 0.8% 621.8K -11.9M -281.2K 2.40 76.01 N/A N/A 5,553 13,355 60,926 56,955 2015-10-14 $19.52 $19.00 25.3% 7.2% 31.0% 13.5% 27.7% 11.4% -0.4% 269.9K -7.5M -308.4K 2.81 100.31 N/A N/A 4,904 13,777 62,397 63,736 2015-10-15 $19.77 $19.00 26.9% 7.7% 30.6% 15.5% 31.2% 9.9% -0.5% 163.7K -15.4M -319.0K 2.30 102.48 N/A N/A 5,975 13,744 63,402 67,849 2015-10-16 $20.24 $19.00 25.7% 7.4% 31.3% 14.0% 30.8% 11.7% -2.0% 218.5K -31.0M -305.3K 1.55 90.39 N/A N/A 10,126 15,683 65,770 70,292 2015-10-19 $20.27 $19.00 23.2% 6.7% 31.0% 10.9% 28.6% 5.2% 2.5% 209.4K -21.1M -329.3K 1.22 89.97 N/A N/A 8,227 10,022 65,973 71,211 2015-10-20 $20.01 $19.00 23.5% 6.7% 26.9% 11.2% 28.6% 6.0% 1.5% 56.5K -16.7M -317.3K 1.25 90.54 N/A N/A 8,162 10,175 66,396 71,588 2015-10-21 $20.02 $19.00 22.4% 6.4% 26.2% 9.8% 27.6% 7.6% 1.1% 176.3K -20.4M -318.5K 1.13 90.82 N/A N/A 11,009 12,411 67,686 70,861 2015-10-22 $19.99 $19.00 21.1% 6.0% 23.9% 8.2% 26.1% 8.4% 3.0% 3.1K -14.6M -329.3K 1.83 107.10 N/A N/A 7,500 13,749 70,944 75,383 2015-10-23 $19.99 $19.00 21.9% 6.3% 23.9% 9.2% 26.2% 7.9% 3.2% -89.4K -19.2M -364.0K 1.84 91.56 N/A N/A 6,796 12,505 71,725 78,277 2015-10-26 $20.38 $19.00 24.2% 6.9% 22.0% 12.2% 22.0% 10.1% -0.4% -218.2K -22.1M -333.5K 1.91 102.50 N/A N/A 6,723 12,821 71,677 79,782 2015-10-27 $20.17 $19.00 22.3% 6.4% 21.0% 9.7% 19.5% 7.1% 1.7% -308.0K -13.0M -352.3K 1.91 94.45 N/A N/A 6,897 13,155 71,736 81,850 2015-10-28 $20.00 $19.00 20.3% 5.8% 21.3% 7.3% 19.2% 4.6% 3.3% -506.8K -12.2M -326.1K 1.97 102.91 N/A N/A 6,799 13,376 72,027 83,065 2015-10-29 $19.99 $19.00 22.3% 6.4% 20.4% 9.7% 24.3% 7.9% 9.4% -484.3K -8.1M -358.3K 1.36 106.14 N/A N/A 8,972 12,199 72,133 83,845 2015-10-30 $20.07 $19.00 20.1% 5.8% 19.6% 7.0% 20.7% 5.5% 3.3% -563.4K -12.1M -353.5K 1.14 85.62 N/A N/A 13,848 15,758 74,037 85,322
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