VNET Options History — December 2015

In December 2015, VNET traded between $20.18 and $21.25. ATM implied volatility averaged 26.8%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.0% (HV 20d: 18.8%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.22.

Notable Days

2015-12-17: Highest Volume — 47,855 contracts
2015-12-21: Largest IV drop — 49.9% change
2015-12-18: Highest IV Rank — 34.1%
2015-12-18: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.64	$20.18	$21.25	$20.71	$21.20
Max Pain	$20.41	$19.00	$22.00	$19.00	$21.00
ATM IV	26.8%	16.8%	38.9%	21.3%	18.6%
Expected Move	7.6%	4.8%	11.1%	6.1%	5.3%
HV 20d	18.8%	15.3%	21.2%	18.7%	15.4%
HV 60d	21.5%	17.8%	24.4%	24.2%	17.8%
IV Rank	17.1%	3.2%	34.1%	9.5%	5.6%
IV Percentile	16.4%	2.8%	37.3%	7.1%	6.7%
Term Structure	-2.8%	-8.0%	2.7%	-3.6%	-1.1%
VWIV	26.9%	16.5%	42.9%	23.1%	16.5%
Skew 25d	15.3%	3.3%	32.8%	4.7%	12.8%
Skew 10d	20.1%	-41.6%	46.3%	14.9%	15.4%
Call IV 25d	19.2%	11.1%	26.5%	22.8%	11.1%
Put IV 25d	34.5%	21.6%	47.8%	27.5%	23.9%
Bid-Ask Spread %	101.01	91.96	106.41	101.61	104.48
Gamma HHI	0.46	0.22	0.74	0.30	0.70
Net GEX	-614.9K	-2.6M	923.5K	269.0K	-2.6M
Net DEX	-22.3M	-76.4M	31.4M	-59.1M	15.3M
Net VEX	-344.2K	-422.2K	-286.1K	-308.5K	-353.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.24	3.20	0.35	0.62
Total Volume	12,625.409	2,500	47,855	2,908	6,295
Total OI	165,432	114,530	219,489	175,589	128,668

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
2015-12-01	$20.71	$19.00	21.3%	6.1%	18.7%	9.5%	23.1%	4.7%	-3.6%	269.0K	-59.1M	-308.5K	0.35	101.61	N/A	N/A	2,157	751	89,967	85,622
2015-12-02	$20.80	$19.00	20.3%	5.8%	18.4%	8.1%	21.0%	3.3%	-1.0%	-95.0K	-76.4M	-286.1K	1.38	100.09	N/A	N/A	5,206	7,198	89,519	86,200
2015-12-03	$20.49	$20.00	29.4%	8.2%	18.9%	20.8%	24.3%	17.8%	-5.5%	339.7K	-46.7M	-336.9K	0.96	103.67	N/A	N/A	9,131	8,747	90,500	87,930
2015-12-04	$20.24	$20.00	34.3%	9.4%	19.1%	27.8%	33.0%	16.6%	-8.0%	369.3K	-22.8M	-396.9K	1.09	100.98	N/A	N/A	8,260	9,037	95,209	92,166
2015-12-07	$20.26	$20.00	33.2%	9.7%	19.0%	26.2%	42.9%	19.5%	-6.8%	806.7K	-27.7M	-416.4K	0.24	100.83	N/A	N/A	2,010	490	100,008	94,503
2015-12-08	$20.24	$20.00	33.8%	9.3%	18.5%	27.0%	32.1%	20.0%	-4.2%	923.5K	-30.2M	-422.2K	0.71	101.66	N/A	N/A	4,941	3,485	101,234	94,524
2015-12-09	$20.38	$20.00	33.0%	9.5%	18.6%	25.9%	35.3%	21.6%	-4.8%	642.8K	-46.0M	-384.3K	1.22	105.38	N/A	N/A	3,266	3,993	99,715	94,576
2015-12-10	$20.34	$20.00	32.5%	9.3%	18.7%	25.2%	34.5%	18.3%	-3.9%	294.1K	-48.3M	-372.4K	1.55	105.73	N/A	N/A	2,422	3,761	99,712	94,368
2015-12-11	$20.25	$20.00	32.8%	9.4%	18.8%	25.6%	31.5%	19.3%	-5.7%	274.7K	-41.3M	-357.7K	1.53	95.77	N/A	N/A	2,679	4,103	99,805	94,412
2015-12-14	$20.18	$20.00	34.4%	9.9%	18.3%	27.9%	41.5%	21.3%	-4.2%	262.9K	-39.8M	-344.8K	0.51	97.67	N/A	N/A	7,902	4,033	99,827	93,378
2015-12-15	$20.45	$20.00	32.9%	9.4%	18.8%	25.7%	40.8%	17.0%	-4.3%	-437.5K	-50.4M	-334.0K	0.69	98.22	N/A	N/A	5,886	4,054	97,147	93,390
2015-12-16	$20.27	$20.00	29.3%	8.4%	19.1%	20.8%	18.7%	17.2%	-1.1%	-540.5K	-44.5M	-310.3K	1.08	101.25	N/A	N/A	12,223	13,189	96,762	93,405
2015-12-17	$20.27	$20.00	35.3%	10.1%	19.0%	29.2%	21.2%	18.6%	-6.1%	404.7K	-51.2M	-317.7K	3.20	96.76	N/A	N/A	11,395	36,460	101,606	94,018
2015-12-18	$20.41	$22.00	38.9%	11.1%	19.1%	34.1%	29.5%	32.8%	-7.8%	-1.2M	-37.2M	-346.0K	1.63	91.96	N/A	N/A	8,827	14,429	106,294	113,195
2015-12-21	$20.73	$22.00	19.4%	5.6%	19.3%	6.8%	21.3%	16.9%	1.8%	-1.5M	31.4M	-342.3K	2.28	98.30	N/A	N/A	4,815	10,971	42,666	73,660
2015-12-22	$21.25	$21.00	16.8%	4.8%	21.0%	3.2%	18.4%	6.1%	2.7%	-1.7M	6.3M	-305.8K	1.03	99.49	N/A	N/A	4,936	5,080	44,017	70,513
2015-12-23	$21.08	$21.00	17.7%	5.1%	21.2%	4.4%	18.3%	6.5%	1.9%	-1.6M	16.1M	-321.3K	0.97	103.50	N/A	N/A	4,311	4,187	43,365	72,654
2015-12-24	$21.22	$21.00	18.3%	5.2%	21.1%	5.2%	21.9%	6.8%	0.9%	-2.1M	10.0M	-320.3K	2.01	101.53	N/A	N/A	3,380	6,785	43,502	72,725
2015-12-28	$21.15	$21.00	19.0%	5.4%	21.1%	6.2%	21.1%	13.8%	0.2%	-2.2M	16.0M	-326.3K	0.95	103.68	N/A	N/A	4,712	4,497	43,896	76,147
2015-12-29	$21.19	$21.00	18.0%	5.2%	15.4%	4.8%	19.2%	12.5%	2.0%	-2.3M	14.4M	-336.8K	1.26	106.41	N/A	N/A	3,303	4,175	45,619	78,446
2015-12-30	$21.08	$21.00	19.8%	5.7%	15.3%	7.3%	25.3%	13.7%	-2.5%	-1.9M	20.7M	-331.6K	1.61	103.35	N/A	N/A	3,937	6,340	45,846	78,788
2015-12-31	$21.20	$21.00	18.6%	5.3%	15.4%	5.6%	16.5%	12.8%	-1.1%	-2.6M	15.3M	-353.4K	0.62	104.48	N/A	N/A	3,893	2,402	47,140	81,528