VNET Options History — March 2016

In March 2016, VNET traded between $18.98 and $20.30. ATM implied volatility averaged 31.8%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 16.3% (HV 20d: 48.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.92.

Notable Days

  • 2016-03-21: Highest Volume — 23,197 contracts
  • 2016-03-15: Largest IV spike — 42.4% change
  • 2016-03-15: Highest IV Rank — 40.7%
  • 2016-03-15: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.84$18.98$20.30$18.98$19.95
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV31.8%25.1%43.5%42.8%25.1%
Expected Move9.3%7.2%12.5%12.3%7.2%
HV 20d48.1%26.2%66.9%65.0%26.2%
HV 60d44.2%42.4%45.0%42.4%44.9%
IV Rank24.3%14.8%40.7%39.6%14.8%
IV Percentile34.3%20.6%57.1%52.4%20.6%
Term Structure2.1%-5.2%20.5%3.9%1.1%
VWIV35.7%26.0%52.0%45.9%30.2%
Skew 25d16.4%5.7%36.8%18.6%6.6%
Skew 10d19.9%-50.9%48.7%48.7%-0.4%
Call IV 25d25.4%16.9%36.6%36.6%25.3%
Put IV 25d41.8%30.2%55.2%55.2%31.9%
Bid-Ask Spread %113.19102.68127.21106.06113.81
Gamma HHI0.270.190.390.200.27
Net GEX606.2K-89.8K1.2M28.7K574.7K
Net DEX-231.7K-15.7M17.9M17.1M6.9M
Net VEX-334.0K-355.9K-298.4K-333.4K-344.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.757.921.112.57
Total Volume11,397.9556,00223,19710,2198,389
Total OI101,395.40977,803116,49298,25293,085

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$18.98$20.0042.8%12.3%65.0%39.6%45.9%18.6%3.9%28.7K17.1M-333.4K1.11106.06N/AN/A4,8515,36847,88150,371
2016-03-02$19.85$20.0033.6%9.6%66.9%26.7%40.8%19.6%4.1%183.1K-2.8M-355.9K0.86102.88N/AN/A7,8646,78549,27450,987
2016-03-03$19.83$20.0034.7%10.9%66.8%28.2%31.7%36.8%-5.2%672.9K-6.5M-355.8K1.75103.24N/AN/A2,6874,70354,00852,472
2016-03-04$20.30$20.0031.6%9.9%66.9%23.8%33.4%18.4%1.3%736.5K-14.1M-349.2K0.83102.68N/AN/A7,1285,94953,77852,872
2016-03-07$20.27$20.0032.4%9.8%66.1%25.0%33.7%17.5%-0.6%758.7K-9.5M-339.7K1.91106.42N/AN/A3,1175,96454,72854,492
2016-03-08$19.91$20.0031.1%9.9%59.0%23.2%39.8%28.9%1.8%918.5K-11.0M-344.5K1.82104.21N/AN/A2,9525,36854,75054,741
2016-03-09$19.99$20.0032.8%9.4%51.7%25.6%38.4%28.6%5.5%955.0K-12.2M-344.7K1.87107.32N/AN/A2,6995,03454,94854,726
2016-03-10$19.94$20.0033.4%9.6%50.7%26.5%35.2%18.1%1.4%884.1K-8.6M-336.6K1.39113.61N/AN/A3,2894,55854,62054,798
2016-03-11$20.30$20.0030.2%8.7%48.4%22.0%38.9%19.6%5.0%836.7K-14.0M-330.1K2.79111.22N/AN/A1,5964,45154,21154,914
2016-03-14$20.29$20.0030.6%8.8%43.6%22.5%43.5%16.2%2.5%1.1M-15.7M-316.3K2.96108.82N/AN/A1,5164,48654,38454,997
2016-03-15$19.45$20.0043.5%12.5%42.6%40.7%52.0%20.3%-4.5%1.1M8.5M-298.4K7.92117.74N/AN/A1,89214,99454,47655,163
2016-03-16$19.81$20.0033.3%9.5%42.1%26.3%41.6%19.7%-0.2%1.2M-4.2M-317.5K7.10127.21N/AN/A2,08514,80754,28258,880
2016-03-17$19.73$20.0030.9%8.9%42.2%22.9%43.9%17.1%0.0%1.2M4.7M-299.1K5.68121.06N/AN/A3,28918,69254,41159,001
2016-03-18$20.16$20.0026.5%7.6%42.7%16.7%29.8%7.9%3.9%-1.4K-14.8M-326.4K2.65120.38N/AN/A5,87215,55753,64062,852
2016-03-21$20.23$20.0031.0%8.9%41.9%23.1%26.3%13.6%20.5%-89.8K5.8M-333.5K0.75113.24N/AN/A13,2469,95135,81641,987
2016-03-22$20.02$20.0026.2%7.5%41.7%16.3%26.0%5.7%4.0%587.5K2.6M-346.7K2.16116.88N/AN/A4,1158,89644,60343,593
2016-03-23$19.60$20.0026.8%7.7%42.2%17.1%29.6%9.8%3.8%469.0K9.9M-342.9K6.31114.53N/AN/A1,2527,89945,08144,026
2016-03-24$19.55$20.0027.1%7.8%40.4%17.6%30.0%9.3%1.2%416.4K10.7M-345.4K3.00124.38N/AN/A1,7925,36745,19344,298
2016-03-28$19.27$20.0032.7%9.4%40.9%25.4%33.6%9.9%-1.5%160.3K17.9M-316.6K3.12120.97N/AN/A1,7285,38445,67444,589
2016-03-29$19.32$20.0036.3%10.4%39.8%30.5%30.9%11.1%-1.9%192.8K14.3M-333.4K3.50119.50N/AN/A1,5485,42146,07644,789
2016-03-30$19.72$20.0028.2%8.1%30.4%19.2%30.1%8.7%-0.7%437.0K10.0M-336.8K2.27114.04N/AN/A2,5145,70046,34544,887
2016-03-31$19.95$20.0025.1%7.2%26.2%14.8%30.2%6.6%1.1%574.7K6.9M-344.3K2.57113.81N/AN/A2,3526,03747,46545,620