VNET Options History — June 2016

In June 2016, VNET traded between $9.53 and $13.95. ATM implied volatility averaged 71.9%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 3.9% (HV 20d: 75.8%). Max pain ranged from $13.00 to $19.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2016-06-29: Highest Volume — 12,785 contracts
2016-06-24: Largest IV spike — 65.8% change
2016-06-24: Highest IV Rank — 90.4%
2016-06-24: Largest Expected Move — 23.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.93	$9.53	$13.95	$13.95	$10.21
Max Pain	$13.82	$13.00	$19.00	$19.00	$13.00
ATM IV	71.9%	54.8%	110.6%	57.1%	77.8%
Expected Move	19.1%	14.8%	23.6%	16.9%	21.4%
HV 20d	75.8%	50.3%	128.5%	128.5%	79.3%
HV 60d	78.4%	75.3%	86.7%	75.8%	86.7%
IV Rank	55.0%	39.3%	90.4%	41.4%	60.4%
IV Percentile	92.1%	86.5%	99.2%	88.5%	93.3%
Term Structure	-3.4%	-47.4%	7.2%	1.4%	7.1%
VWIV	64.5%	53.2%	84.3%	60.3%	76.5%
Skew 25d	2.8%	-52.1%	25.9%	8.8%	25.9%
Skew 10d	4.3%	-97.2%	42.3%	7.8%	42.3%
Call IV 25d	68.4%	53.2%	106.9%	53.6%	71.3%
Put IV 25d	71.2%	27.1%	101.8%	62.4%	97.2%
Bid-Ask Spread %	90.40	62.14	136.03	91.87	78.32
Gamma HHI	0.21	0.10	0.35	0.27	0.10
Net GEX	-64.7K	-325.9K	146.7K	-125.8K	74.8K
Net DEX	28.1M	8.9M	44.3M	38.0M	12.1M
Net VEX	-83.7K	-121.6K	-49.9K	-107.8K	-57.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.37	1.59	1.59	0.67
Total Volume	8,880.364	6,630	12,785	7,918	10,299
Total OI	84,334.273	52,138	107,799	99,826	61,809

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-06-01	$13.95	$19.00	57.1%	16.9%	128.5%	41.4%	60.3%	8.8%	1.4%	-125.8K	38.0M	-107.8K	1.59	91.87	N/A	N/A	3,056	4,862	53,559	46,267
2016-06-02	$13.89	$14.00	54.8%	15.6%	128.3%	39.3%	54.6%	5.6%	0.1%	-169.1K	38.5M	-105.7K	1.13	68.71	N/A	N/A	3,963	4,490	53,690	46,357
2016-06-03	$13.69	$14.00	57.6%	15.4%	128.2%	41.9%	53.2%	6.4%	-1.5%	-233.9K	38.9M	-107.5K	0.97	65.59	N/A	N/A	4,636	4,502	54,954	46,899
2016-06-06	$13.71	$14.00	62.7%	15.4%	128.2%	46.6%	56.9%	18.2%	2.7%	-223.6K	37.8M	-105.9K	1.04	96.59	N/A	N/A	3,825	3,989	56,629	46,599
2016-06-07	$13.57	$14.00	61.1%	14.8%	89.8%	45.1%	57.2%	0.2%	-9.1%	-191.8K	36.7M	-114.9K	1.11	104.17	N/A	N/A	3,623	4,007	56,913	46,635
2016-06-08	$13.59	$14.00	60.9%	17.9%	75.9%	44.9%	69.9%	-50.3%	-3.5%	-240.1K	35.5M	-121.6K	0.96	118.18	N/A	N/A	3,376	3,254	57,129	46,675
2016-06-09	$13.25	$14.00	89.5%	18.2%	70.8%	71.2%	65.1%	-5.1%	-47.4%	-248.6K	37.3M	-112.9K	0.84	125.99	N/A	N/A	3,768	3,176	57,144	46,784
2016-06-10	$12.24	$14.00	64.8%	18.4%	63.7%	48.4%	64.1%	8.7%	-0.5%	-313.2K	44.3M	-81.8K	0.59	67.52	N/A	N/A	5,093	3,015	56,817	46,821
2016-06-13	$12.16	$14.00	68.8%	19.8%	63.0%	52.2%	64.0%	6.3%	-1.0%	-306.5K	44.0M	-72.6K	0.61	62.14	N/A	N/A	4,541	2,790	58,032	47,058
2016-06-14	$12.24	$14.00	71.8%	20.6%	50.3%	54.9%	66.9%	6.2%	0.2%	-325.9K	42.6M	-89.7K	0.99	96.25	N/A	N/A	4,707	4,645	58,463	47,156
2016-06-15	$11.26	$14.00	75.2%	21.5%	56.5%	58.0%	63.4%	13.3%	-6.2%	-59.8K	42.5M	-75.0K	0.72	95.08	N/A	N/A	4,960	3,564	59,268	46,743
2016-06-16	$10.90	$14.00	73.6%	21.3%	56.3%	56.5%	59.0%	7.2%	-3.5%	-9.1K	43.1M	-59.8K	0.68	93.22	N/A	N/A	4,423	3,012	60,330	46,689
2016-06-17	$10.96	$14.00	68.7%	19.2%	56.6%	52.1%	62.9%	7.6%	7.2%	64.0K	43.0M	-66.6K	0.37	85.95	N/A	N/A	7,903	2,902	60,709	47,090
2016-06-20	$11.38	$13.00	67.6%	19.5%	59.4%	51.0%	65.0%	5.9%	-1.8%	109.9K	10.5M	-78.3K	0.38	79.74	N/A	N/A	6,592	2,527	33,798	18,340
2016-06-21	$11.51	$13.00	67.3%	19.2%	59.5%	50.8%	60.1%	9.6%	-0.8%	119.3K	10.0M	-83.3K	0.40	88.69	N/A	N/A	6,351	2,565	35,065	18,907
2016-06-22	$11.44	$13.00	65.8%	19.0%	59.5%	49.4%	63.8%	9.8%	-1.3%	107.0K	11.5M	-73.0K	0.50	95.45	N/A	N/A	6,355	3,159	35,233	19,224
2016-06-23	$11.57	$13.00	66.7%	18.1%	56.6%	50.2%	60.3%	7.9%	-13.5%	135.0K	9.1M	-83.9K	0.54	95.57	N/A	N/A	6,192	3,327	35,594	18,873
2016-06-24	$11.10	$13.00	110.6%	23.6%	51.2%	90.4%	66.3%	-52.1%	-4.1%	146.7K	8.9M	-73.0K	0.50	136.03	N/A	N/A	6,687	3,324	36,879	18,868
2016-06-27	$9.82	$13.00	98.9%	22.8%	64.7%	79.7%	79.6%	5.1%	0.7%	94.7K	11.1M	-57.6K	0.52	84.52	N/A	N/A	5,880	3,078	37,532	18,600
2016-06-28	$10.49	$13.00	79.9%	20.2%	67.3%	62.3%	66.5%	4.6%	-0.5%	107.6K	11.2M	-62.3K	0.64	80.55	N/A	N/A	6,197	3,968	38,128	18,755
2016-06-29	$9.53	$13.00	80.6%	22.5%	73.0%	63.0%	84.3%	11.1%	-0.3%	64.7K	12.5M	-49.9K	0.70	78.58	N/A	N/A	7,532	5,253	38,642	19,697
2016-06-30	$10.21	$13.00	77.8%	21.4%	79.3%	60.4%	76.5%	25.9%	7.1%	74.8K	12.1M	-57.2K	0.67	78.32	N/A	N/A	6,160	4,139	40,226	21,583