VNET Options History — April 2016

In April 2016, VNET traded between $19.88 and $21.03. ATM implied volatility averaged 20.2%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.4% (HV 20d: 18.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2016-04-15: Highest Volume — 11,043 contracts
  • 2016-04-25: Largest IV spike — 57.0% change
  • 2016-04-04: Highest IV Rank — 21.8%
  • 2016-04-06: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.59$19.88$21.03$19.88$20.18
Max Pain$19.05$19.00$20.00$20.00$19.00
ATM IV20.2%11.9%30.1%26.2%21.4%
Expected Move5.7%3.4%8.4%7.5%6.1%
HV 20d18.8%12.2%26.2%26.2%12.2%
HV 60d42.3%41.2%44.9%44.9%41.3%
IV Rank9.3%0.0%21.8%16.3%12.9%
IV Percentile12.6%0.0%33.3%23.4%16.3%
Term Structure3.0%-1.4%6.4%0.0%0.3%
VWIV24.3%17.2%33.0%30.6%22.4%
Skew 25d10.5%1.7%19.1%7.7%8.7%
Skew 10d12.2%-61.5%27.6%15.3%16.2%
Call IV 25d16.0%10.6%24.7%24.7%18.1%
Put IV 25d26.4%17.5%34.9%32.4%26.8%
Bid-Ask Spread %113.8794.25130.20110.00113.03
Gamma HHI0.420.280.760.290.32
Net GEX1.7M-119.1K9.0M614.8K131.0K
Net DEX-7.7M-23.9M5.1M5.1M1.9M
Net VEX-324.8K-357.1K-291.2K-341.8K-291.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.683.382.682.67
Total Volume6,314.0484,48711,0438,3315,186
Total OI93,595.61988,751100,60494,77190,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$19.88$20.0026.2%7.5%26.2%16.3%30.6%7.7%0.0%614.8K5.1M-341.8K2.68110.00N/AN/A2,2626,06948,17446,597
2016-04-04$20.16$19.0030.1%7.8%25.3%21.8%22.8%19.1%4.5%703.3K1.7M-342.3K2.60110.84N/AN/A2,1865,69348,25946,607
2016-04-05$20.26$19.0024.1%8.1%25.4%13.3%25.3%13.7%-1.4%1.1M1.9M-343.2K2.98113.81N/AN/A1,8745,58048,35947,727
2016-04-06$20.49$19.0025.4%8.4%24.7%15.2%29.2%15.7%-1.2%1.3M-5.8M-352.1K1.88123.44N/AN/A2,0573,86348,39247,712
2016-04-07$20.38$19.0030.0%7.6%24.8%21.7%26.1%15.4%4.0%980.2K-2.6M-351.9K1.43115.08N/AN/A1,8482,63948,58547,693
2016-04-08$20.60$19.0019.8%5.6%25.0%7.3%26.7%15.0%3.0%1.8M-10.2M-357.1K0.6894.25N/AN/A3,4102,30248,67447,860
2016-04-11$20.81$19.0022.9%5.0%24.5%11.7%33.0%14.4%5.4%3.1M-18.1M-345.4K1.9494.78N/AN/A1,9673,82149,36047,848
2016-04-12$20.99$19.0023.0%5.1%24.6%11.8%18.6%1.7%3.7%3.6M-22.0M-335.1K1.80130.20N/AN/A2,1233,81649,53949,401
2016-04-13$21.03$19.0021.0%6.0%18.4%9.0%27.7%7.8%1.5%7.8M-23.9M-331.5K2.02128.08N/AN/A1,8353,71249,76949,385
2016-04-14$20.90$19.0014.7%4.2%17.9%0.1%17.5%8.7%3.4%5.2M-18.8M-335.8K1.0998.63N/AN/A3,5323,85749,71049,534
2016-04-15$20.99$19.0015.4%4.4%17.7%1.1%24.2%10.2%6.4%9.0M-21.6M-333.8K1.09110.13N/AN/A5,2885,75550,95049,654
2016-04-18$20.99$19.0016.1%4.6%16.3%2.1%25.6%9.6%5.0%-119.1K-12.7M-320.8K1.49110.72N/AN/A2,7644,12540,83047,990
2016-04-19$21.00$19.0013.3%3.8%16.3%0.0%24.3%9.7%4.6%-29.4K-13.0M-328.4K1.29115.14N/AN/A2,7273,53140,80648,222
2016-04-20$20.94$19.0011.9%3.4%15.8%0.0%23.8%10.5%5.2%-77.0K-13.5M-314.2K3.11126.97N/AN/A1,1313,52040,69148,250
2016-04-21$20.90$19.0012.9%3.7%13.2%1.3%23.5%5.6%4.6%-97.5K-15.9M-295.2K3.03111.95N/AN/A1,2753,86740,50148,250
2016-04-22$20.65$19.0014.4%4.1%14.2%3.4%17.2%3.6%2.7%-14.8K-5.5M-299.2K3.29119.12N/AN/A1,1663,83440,52048,633
2016-04-25$20.37$19.0022.6%6.5%14.1%14.5%18.8%9.6%0.7%83.3K2.6M-298.7K2.07108.54N/AN/A2,4205,01740,46848,673
2016-04-26$20.40$19.0020.2%5.8%14.1%11.2%24.3%8.2%3.5%63.6K1.7M-304.4K3.38106.37N/AN/A1,2824,33840,67749,461
2016-04-27$20.33$19.0019.3%5.5%12.5%10.0%23.3%10.7%4.6%65.3K3.9M-304.4K3.09125.13N/AN/A1,4034,33240,71049,688
2016-04-28$20.20$19.0020.2%5.8%12.3%11.2%25.7%14.0%3.1%24.7K3.9M-295.4K2.54125.01N/AN/A1,4653,72340,79049,729
2016-04-29$20.18$19.0021.4%6.1%12.2%12.9%22.4%8.7%0.3%131.0K1.9M-291.2K2.67113.03N/AN/A1,4133,77340,85049,980