VNET Options History — February 2016

In February 2016, VNET traded between $15.71 and $19.10. ATM implied volatility averaged 48.4%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 0.0% (HV 20d: 48.3%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-02-08: Highest Volume — 19,305 contracts
  • 2016-02-08: Largest IV spike — 39.6% change
  • 2016-02-11: Highest IV Rank — 85.2%
  • 2016-02-11: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.97$15.71$19.10$19.10$17.59
Max Pain$20.00$19.00$21.00$19.00$20.00
ATM IV48.4%28.9%75.2%29.3%53.8%
Expected Move14.3%8.3%21.6%8.4%15.4%
HV 20d48.3%31.8%58.4%32.7%58.4%
HV 60d33.7%23.4%40.1%23.5%39.2%
IV Rank47.5%20.2%85.2%20.7%55.0%
IV Percentile69.1%27.4%98.8%27.4%90.9%
Term Structure5.1%-9.3%48.4%8.8%0.7%
VWIV52.6%29.2%77.9%29.2%66.6%
Skew 25d19.1%4.4%32.4%4.9%19.2%
Skew 10d41.7%-7.3%130.2%8.0%31.5%
Call IV 25d42.4%24.2%61.4%26.2%52.0%
Put IV 25d61.4%31.1%90.5%31.1%71.2%
Bid-Ask Spread %100.4587.56111.04100.53105.60
Gamma HHI0.210.180.250.250.18
Net GEX-67.6K-276.8K295.7K295.7K-133.6K
Net DEX33.3M15.6M52.6M25.4M33.6M
Net VEX-313.8K-361.7K-246.0K-342.1K-275.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.793.831.341.35
Total Volume8,482.854,35719,3054,7307,985
Total OI105,259.9596,028120,92797,05097,467

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$19.10$19.0029.3%8.4%32.7%20.7%29.2%4.9%8.8%295.7K25.4M-342.1K1.34100.53N/AN/A2,0182,71248,46248,588
2016-02-02$19.05$19.0028.9%8.3%32.1%20.2%30.3%4.4%10.3%282.0K27.7M-340.2K3.8399.65N/AN/A1,4385,51448,49348,697
2016-02-03$18.88$19.0029.0%8.3%32.1%20.3%30.5%8.8%10.5%128.6K34.8M-316.5K1.5996.60N/AN/A1,7782,83448,52750,614
2016-02-04$18.63$21.0030.3%10.9%32.3%22.2%36.0%20.3%-1.3%21.0K35.9M-318.3K1.0793.27N/AN/A2,4452,61348,79350,853
2016-02-05$18.19$21.0035.6%13.3%31.8%29.6%41.0%18.6%-2.5%-104.6K41.2M-300.7K1.1393.83N/AN/A2,0452,31249,45650,883
2016-02-08$16.81$21.0049.7%15.4%41.3%49.4%55.3%12.6%-1.9%-222.4K52.6M-246.0K2.5492.24N/AN/A5,46013,84550,61151,045
2016-02-09$15.71$20.0052.6%16.8%43.0%53.5%61.2%14.5%1.7%-276.8K46.6M-284.5K0.79106.41N/AN/A5,2084,09354,63356,426
2016-02-10$16.38$20.0061.5%17.6%46.6%65.9%61.4%22.8%-3.9%-219.2K52.5M-258.0K1.09100.83N/AN/A5,2025,69156,90957,968
2016-02-11$15.87$20.0075.2%21.6%47.0%85.2%77.9%29.0%-3.9%-195.5K50.4M-258.4K1.4391.56N/AN/A2,9174,15858,29157,084
2016-02-12$17.01$20.0072.2%20.7%53.1%80.9%69.1%32.4%-7.3%-217.0K39.9M-310.4K2.1687.56N/AN/A3,6517,87658,61356,818
2016-02-16$18.08$20.0065.6%18.8%58.0%71.7%57.2%22.7%-7.6%-216.5K37.4M-343.5K1.3392.42N/AN/A3,8965,16759,24461,671
2016-02-17$18.55$20.0054.4%15.6%57.3%56.0%58.6%25.6%-9.3%-3.5K30.3M-361.7K1.01100.78N/AN/A5,1385,20459,55761,370
2016-02-18$18.57$20.0046.5%13.3%56.4%44.9%59.3%19.6%1.3%61.9K22.6M-340.6K0.94111.04N/AN/A5,1784,88359,68056,607
2016-02-19$18.55$20.0046.9%13.5%56.2%45.4%56.0%17.8%-1.5%-52.0K19.4M-351.5K1.10105.13N/AN/A4,2074,63959,62756,663
2016-02-22$19.05$20.0042.1%12.1%57.1%38.6%52.2%29.4%39.6%-74.9K15.6M-347.7K1.09108.36N/AN/A3,8144,14646,55249,476
2016-02-23$18.81$20.0042.8%12.3%57.2%39.7%44.0%22.3%7.6%-67.1K23.8M-326.6K0.99108.35N/AN/A4,0494,01546,51949,648
2016-02-24$18.56$20.0047.8%13.7%57.4%46.6%58.5%19.4%48.4%-115.1K22.5M-330.2K0.99108.65N/AN/A4,1214,06046,35449,684
2016-02-25$18.00$20.0050.3%14.4%58.3%50.2%50.9%18.7%5.4%-125.2K26.3M-317.4K1.06100.63N/AN/A3,8804,12346,66649,756
2016-02-26$17.98$20.0052.3%15.0%58.2%53.0%57.3%18.8%7.3%-117.7K28.4M-307.3K1.27105.47N/AN/A3,2294,11347,10449,790
2016-02-29$17.59$20.0053.8%15.4%58.4%55.0%66.6%19.2%0.7%-133.6K33.6M-275.2K1.35105.60N/AN/A3,3954,59047,57949,888