VNET Options History — January 2016

In January 2016, VNET traded between $18.50 and $20.74. ATM implied volatility averaged 32.5%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.7% (HV 20d: 27.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.16.

Notable Days

  • 2016-01-13: Highest Volume — 25,539 contracts
  • 2016-01-11: Largest IV spike — 84.1% change
  • 2016-01-12: Highest IV Rank — 67.5%
  • 2016-01-11: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.35$18.50$20.74$20.74$19.19
Max Pain$19.47$19.00$20.00$20.00$19.00
ATM IV32.5%19.6%62.6%24.1%27.6%
Expected Move8.3%4.8%10.8%5.4%7.9%
HV 20d27.8%15.8%34.5%16.5%32.9%
HV 60d21.5%17.2%23.9%18.1%23.6%
IV Rank25.1%7.1%67.5%13.3%18.3%
IV Percentile33.1%7.9%98.0%17.5%23.8%
Term Structure5.9%0.1%10.4%0.6%9.5%
VWIV29.1%16.5%37.5%16.8%28.2%
Skew 25d11.8%4.5%17.5%14.4%4.5%
Skew 10d14.6%-11.1%37.6%24.9%8.9%
Call IV 25d25.3%14.5%33.7%14.5%23.3%
Put IV 25d37.1%27.8%48.1%28.9%27.8%
Bid-Ask Spread %97.9152.68121.4583.63121.45
Gamma HHI0.330.250.500.490.26
Net GEX-306.4K-983.6K271.1K-983.6K271.1K
Net DEX46.9M24.4M97.7M36.7M24.4M
Net VEX-328.7K-362.9K-258.0K-361.6K-353.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.401.951.260.48
Total Volume9,490.7371,80825,5395,2651,808
Total OI117,574.84287,317162,257129,40797,440

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$20.74$20.0024.1%5.4%16.5%13.3%16.8%14.4%0.6%-983.6K36.7M-361.6K1.2683.63N/AN/A2,3282,93747,70081,707
2016-01-05$20.70$20.0022.7%5.0%15.8%11.4%16.5%13.2%0.1%-794.5K38.0M-355.3K1.25101.30N/AN/A2,3452,93747,88682,279
2016-01-06$20.59$20.0019.6%4.8%16.0%7.1%17.4%13.9%1.1%-878.9K43.2M-347.0K1.26107.24N/AN/A2,3182,91448,06382,268
2016-01-07$20.00$20.0033.9%7.7%19.2%27.1%25.3%15.7%0.5%-678.7K60.9M-316.4K1.9574.00N/AN/A2,5975,05748,10882,330
2016-01-08$19.79$20.0029.8%7.7%19.3%21.3%26.2%17.5%0.8%-720.9K76.2M-292.8K0.6785.32N/AN/A6,3994,29748,75384,711
2016-01-11$18.68$20.0054.8%10.8%27.8%56.5%37.5%14.4%1.5%-604.7K93.5M-258.0K1.2152.68N/AN/A5,1236,21550,47785,369
2016-01-12$18.50$20.0062.6%10.6%27.8%67.5%36.2%14.3%6.0%-668.5K97.7M-261.4K1.0887.00N/AN/A10,96611,87652,29186,269
2016-01-13$18.68$20.0031.9%9.2%28.3%24.4%35.2%15.0%8.9%-801.0K82.5M-297.7K0.94108.42N/AN/A13,15312,38657,01188,196
2016-01-14$19.21$19.0033.3%9.5%29.9%26.3%33.6%16.8%9.4%-82.0K54.4M-304.9K1.54102.22N/AN/A7,52011,56567,28989,424
2016-01-15$18.86$19.0034.6%9.9%30.3%28.1%36.5%12.4%10.4%-339.0K58.0M-323.1K1.0698.48N/AN/A5,6135,93671,14591,112
2016-01-19$19.53$20.0028.2%8.1%33.3%19.2%29.6%11.7%7.4%-262.1K25.5M-362.9K0.4098.91N/AN/A10,6514,28239,34547,972
2016-01-20$18.96$19.0037.4%10.7%34.5%32.1%37.0%12.3%5.2%-30.1K28.9M-349.4K1.4999.70N/AN/A3,0074,48643,46947,419
2016-01-21$19.18$19.0031.7%9.1%34.2%24.0%30.8%9.3%7.1%70.2K24.6M-360.8K1.7295.50N/AN/A2,0593,53344,28047,878
2016-01-22$19.11$19.0030.8%8.8%32.5%22.8%32.1%11.3%8.2%75.5K28.1M-345.0K1.29109.41N/AN/A2,4963,22444,84947,822
2016-01-25$19.00$19.0028.9%8.3%32.5%20.1%29.2%6.2%9.2%99.5K26.7M-349.4K0.8292.64N/AN/A2,5812,10645,52547,860
2016-01-26$19.04$19.0030.2%8.6%32.3%21.9%29.4%8.6%8.9%163.1K27.1M-346.2K1.01110.14N/AN/A2,4972,51046,85648,115
2016-01-27$18.90$19.0025.6%7.3%32.3%15.5%26.6%7.1%8.7%129.2K31.8M-331.8K1.12117.03N/AN/A2,6552,98647,10048,300
2016-01-28$18.98$19.0028.8%8.3%32.4%20.1%28.9%5.1%8.8%213.3K32.2M-329.1K1.52115.28N/AN/A1,9692,99248,36448,940
2016-01-29$19.19$19.0027.6%7.9%32.9%18.3%28.2%4.5%9.5%271.1K24.4M-353.3K0.48121.45N/AN/A1,21859048,38649,054