VNET Options History — November 2015

In November 2015, VNET traded between $19.66 and $20.83. ATM implied volatility averaged 23.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 8.5% (HV 20d: 15.1%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 3.97.

Notable Days

  • 2015-11-20: Highest Volume — 49,209 contracts
  • 2015-11-11: Largest IV spike — 63.2% change
  • 2015-11-20: Highest IV Rank — 21.5%
  • 2015-11-20: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.97$19.66$20.83$20.29$20.83
Max Pain$19.47$19.00$20.00$19.00$19.00
ATM IV23.6%17.1%31.6%21.9%18.5%
Expected Move7.1%5.1%9.1%6.3%5.3%
HV 20d15.1%11.1%19.4%19.4%18.5%
HV 60d36.7%28.0%41.8%41.8%28.5%
IV Rank11.5%3.1%21.5%9.2%5.5%
IV Percentile10.7%2.8%19.8%5.6%4.8%
Term Structure0.9%-2.2%6.8%1.6%-0.8%
VWIV28.0%18.7%39.6%22.8%25.3%
Skew 25d13.0%4.4%20.6%7.6%4.4%
Skew 10d25.1%12.0%35.3%19.0%12.2%
Call IV 25d20.7%15.4%26.1%18.9%21.3%
Put IV 25d33.7%23.0%44.1%26.4%25.7%
Bid-Ask Spread %97.7987.98114.63100.4095.78
Gamma HHI0.410.290.530.350.29
Net GEX532.2K-1.1M3.7M-541.1K119.3K
Net DEX-17.2M-67.1M2.3M-20.8M-66.4M
Net VEX-332.9K-372.5K-280.7K-368.7K-280.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.970.0155.151.261.29
Total Volume15,529.57964849,20926,0747,926
Total OI176,070.632165,092196,015165,092171,927

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$20.29$19.0021.9%6.3%19.4%9.2%22.8%7.6%1.6%-541.1K-20.8M-368.7K1.26100.40N/AN/A11,54114,53377,02188,071
2015-11-04$20.09$19.0017.8%5.1%18.7%4.0%18.7%7.6%6.8%-817.8K-15.8M-361.2K0.6799.36N/AN/A13,7849,26279,09290,163
2015-11-05$19.89$20.0020.0%7.1%17.1%6.8%23.4%10.7%1.5%-896.9K-1.2M-326.7K0.6297.56N/AN/A13,6998,45679,65589,763
2015-11-06$20.03$20.0018.3%6.6%17.1%4.7%34.7%12.7%2.7%-1.1M-7.6M-323.2K0.71101.64N/AN/A38026880,47489,860
2015-11-09$19.82$20.0017.1%6.7%17.5%3.2%28.8%15.9%1.9%-1.0M635.5K-302.1K0.01101.44N/AN/A2,3711580,75290,051
2015-11-10$19.82$20.0017.1%6.7%16.3%3.1%19.9%10.0%1.8%-1.0M-1.7M-323.9K0.90104.88N/AN/A8,1987,34681,94890,068
2015-11-11$19.85$20.0027.8%8.0%16.3%16.7%23.0%10.9%-0.5%-350.1K-10.2M-351.6K0.90114.63N/AN/A8,1987,34684,02190,620
2015-11-12$19.88$20.0024.9%7.1%16.0%13.1%21.9%12.3%0.1%-331.9K-5.7M-316.5K0.3196.80N/AN/A18,1275,59184,47790,675
2015-11-13$19.66$20.0024.5%7.0%15.9%12.5%23.6%11.9%0.0%2.0M698.0K-317.4K0.86103.62N/AN/A6,5435,61192,81390,232
2015-11-16$19.68$20.0025.9%7.4%13.2%14.3%38.4%12.3%1.0%1.6M2.3M-316.7K55.1595.26N/AN/A1156,34293,15890,538
2015-11-17$19.81$20.0026.8%7.7%13.4%15.4%30.7%20.3%1.3%2.3M-12.1M-334.4K0.5995.19N/AN/A16,3259,70693,27491,726
2015-11-18$19.74$19.0027.7%7.9%12.7%16.5%29.3%16.6%-0.9%2.4M-9.4M-324.3K1.16104.47N/AN/A7,2998,49299,77091,742
2015-11-19$19.79$19.0028.8%8.3%12.8%18.0%36.8%18.1%-1.1%3.7M-21.5M-346.3K1.1693.13N/AN/A7,6398,830100,78991,632
2015-11-20$20.05$19.0031.6%9.1%13.7%21.5%39.6%17.2%-1.6%1.0M-67.1M-331.9K1.6392.99N/AN/A18,71230,497104,19491,821
2015-11-23$20.17$19.0025.9%7.4%13.8%14.2%32.5%18.0%1.9%981.9K-27.4M-371.8K2.3887.98N/AN/A7401,76087,32080,249
2015-11-24$20.12$19.0028.7%8.2%11.9%18.3%28.8%20.6%-2.2%825.5K-25.9M-372.5K2.8488.11N/AN/A34698286,69680,927
2015-11-25$20.00$19.0021.6%6.2%11.5%9.9%26.1%11.2%2.7%613.6K-20.3M-328.3K1.8791.95N/AN/A5,44910,16786,84881,265
2015-11-27$19.98$19.0022.8%6.5%11.1%11.5%27.3%8.2%1.4%574.0K-17.0M-326.1K1.0792.85N/AN/A6,0266,44088,54183,169
2015-11-30$20.83$19.0018.5%5.3%18.5%5.5%25.3%4.4%-0.8%119.3K-66.4M-280.7K1.2995.78N/AN/A3,4594,46788,45283,475