VNET Options History — May 2016

In May 2016, VNET traded between $12.94 and $20.00. ATM implied volatility averaged 74.8%, placing in the 62.0% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded below realized volatility by 18.7% (HV 20d: 93.4%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2016-05-09: Highest Volume — 30,206 contracts
  • 2016-05-05: Largest IV spike — 118.3% change
  • 2016-05-09: Highest IV Rank — 100.0%
  • 2016-05-09: Largest Expected Move — 34.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.54$12.94$20.00$19.90$14.39
Max Pain$19.71$19.00$21.00$19.00$19.00
ATM IV74.8%26.7%121.0%26.7%55.9%
Expected Move21.2%7.7%34.9%7.7%16.1%
HV 20d93.4%11.4%128.6%12.2%128.6%
HV 60d64.9%35.3%75.6%41.3%75.6%
IV Rank62.0%20.0%100.0%20.0%40.3%
IV Percentile87.0%31.3%100.0%31.3%88.1%
Term Structure-13.7%-44.2%2.7%-5.5%-0.1%
VWIV70.2%27.1%110.9%30.6%60.1%
Skew 25d23.4%5.4%107.3%6.0%8.3%
Skew 10d22.9%-57.5%89.0%17.2%17.1%
Call IV 25d63.6%24.6%105.8%27.2%52.0%
Put IV 25d87.0%31.4%183.4%33.2%60.3%
Bid-Ask Spread %78.8142.07116.0596.7482.73
Gamma HHI0.200.140.290.260.24
Net GEX-86.9K-302.8K150.9K14.0K-63.4K
Net DEX34.5M8.9M49.2M11.9M36.1M
Net VEX-178.3K-297.8K-88.6K-297.8K-114.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.413.481.171.81
Total Volume13,791.2387,89530,2068,1998,814
Total OI97,459.95287,100106,47290,90099,119

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$19.90$19.0026.7%7.7%12.2%20.0%30.6%6.0%-5.5%14.0K11.9M-297.8K1.1796.74N/AN/A3,7714,42840,86250,038
2016-05-03$19.88$19.0027.9%8.0%12.0%21.7%27.1%6.4%-1.8%122.0K12.1M-297.1K1.08109.75N/AN/A3,8564,15641,89250,655
2016-05-04$20.00$19.0026.9%7.7%11.4%20.3%29.6%8.2%2.7%150.9K8.9M-294.0K1.08104.65N/AN/A3,7994,09642,00751,012
2016-05-05$19.35$21.0058.8%12.8%16.0%63.4%50.2%29.2%-10.4%-96.5K23.8M-290.4K1.4798.79N/AN/A5,1527,55042,01551,232
2016-05-06$18.64$21.0059.6%14.5%19.5%64.6%59.1%30.6%-10.0%-198.7K33.3M-279.3K1.0993.56N/AN/A4,3584,76742,50954,160
2016-05-09$14.37$21.00105.9%34.9%92.2%100.0%96.4%25.6%-44.2%-167.9K34.8M-222.1K3.48116.05N/AN/A6,74623,46042,67054,893
2016-05-10$16.30$20.00110.9%28.6%105.3%100.0%86.7%50.5%-39.3%-148.2K32.2M-234.8K0.5084.58N/AN/A15,7757,92245,30349,274
2016-05-11$14.97$20.0097.7%28.0%108.2%86.7%86.1%107.3%-7.7%9.9K29.2M-220.2K2.1199.76N/AN/A7,76016,35150,24847,799
2016-05-12$13.31$20.00121.0%34.7%113.8%100.0%110.9%42.4%-27.8%-141.9K47.7M-127.3K3.0672.17N/AN/A5,06315,50850,94352,122
2016-05-13$13.61$20.00101.2%29.0%114.5%81.8%97.7%29.1%-9.8%-180.2K44.8M-145.1K2.9161.02N/AN/A5,56416,18451,76752,865
2016-05-16$15.00$20.00102.0%29.3%121.9%82.6%89.1%32.1%-27.5%-93.4K37.6M-182.2K0.9342.07N/AN/A7,6607,11852,74351,512
2016-05-17$14.69$20.0099.7%28.6%121.7%80.5%87.7%26.5%-27.1%-148.4K39.0M-163.1K0.8566.50N/AN/A7,6706,48353,00151,265
2016-05-18$14.82$20.0082.8%23.7%122.0%65.0%77.0%22.3%-22.0%-302.8K45.2M-136.5K1.1073.72N/AN/A5,9836,56952,76950,780
2016-05-19$14.45$20.0083.8%24.0%121.9%65.9%80.7%12.4%-17.9%-268.9K46.9M-124.6K0.8371.01N/AN/A6,4155,35153,64351,363
2016-05-20$14.42$20.0074.7%21.4%122.0%57.6%72.4%13.9%-14.6%17.0K49.2M-112.7K1.0449.49N/AN/A5,5185,72554,91351,559
2016-05-23$13.99$19.0066.8%19.2%122.1%50.3%64.8%12.3%-6.3%-56.5K38.5M-100.1K0.5155.21N/AN/A6,1463,10546,81140,289
2016-05-24$13.75$19.0066.8%19.1%121.9%50.3%62.4%5.4%-8.7%-80.5K39.3M-90.1K0.4156.48N/AN/A7,3713,04847,55240,925
2016-05-25$12.94$19.0075.0%21.5%122.5%57.9%72.2%6.2%-5.8%-90.4K39.5M-88.6K0.4674.77N/AN/A7,9433,65649,72841,806
2016-05-26$13.82$19.0068.4%20.2%126.4%51.8%73.3%9.5%-1.3%45035.1M-123.3K1.1467.26N/AN/A4,7265,39352,48942,910
2016-05-27$13.71$19.0057.6%16.4%126.3%41.9%59.3%7.6%-1.6%-101.5K38.3M-100.3K1.5778.63N/AN/A3,3625,29452,97844,238
2016-05-31$14.39$19.0055.9%16.1%128.6%40.3%60.1%8.3%-0.1%-63.4K36.1M-114.7K1.8182.73N/AN/A3,1355,67953,29945,820