VNET Options History — July 2016

In July 2016, VNET traded between $9.16 and $10.35. ATM implied volatility averaged 72.1%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 4.3% (HV 20d: 76.4%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.92.

Notable Days

2016-07-08: Highest Volume — 21,036 contracts
2016-07-05: Largest IV drop — 16.7% change
2016-07-01: Highest IV Rank — 72.2%
2016-07-07: Largest Expected Move — 23.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.66	$9.16	$10.35	$9.59	$9.58
Max Pain	$10.15	$10.00	$13.00	$13.00	$10.00
ATM IV	72.1%	63.4%	90.7%	90.7%	75.9%
Expected Move	19.6%	16.5%	23.3%	20.1%	19.2%
HV 20d	76.4%	45.3%	84.0%	81.0%	45.3%
HV 60d	89.0%	87.2%	90.1%	87.3%	90.0%
IV Rank	55.2%	47.2%	72.2%	72.2%	58.7%
IV Percentile	88.2%	81.3%	96.4%	96.4%	92.9%
Term Structure	-1.0%	-25.2%	6.7%	-16.6%	-25.2%
VWIV	70.1%	62.9%	81.5%	73.2%	66.0%
Skew 25d	12.3%	4.9%	71.7%	21.6%	6.0%
Skew 10d	25.1%	10.4%	39.3%	39.3%	20.4%
Call IV 25d	67.6%	61.4%	77.8%	64.7%	66.7%
Put IV 25d	79.9%	66.3%	139.9%	86.4%	72.6%
Bid-Ask Spread %	80.41	41.47	103.75	80.08	81.60
Gamma HHI	0.17	0.08	0.22	0.09	0.22
Net GEX	79.8K	17.4K	128.8K	57.0K	73.0K
Net DEX	11.6M	10.6M	13.4M	13.0M	11.7M
Net VEX	-58.1K	-75.9K	-44.4K	-49.5K	-50.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.38	2.07	0.62	0.90
Total Volume	9,938.3	4,605	21,036	9,611	4,605
Total OI	71,128.75	62,653	76,720	62,653	72,604

Daily Data (20 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
2016-07-01	$9.59	$13.00	90.7%	20.1%	81.0%	72.2%	73.2%	21.6%	-16.6%	57.0K	13.0M	-49.5K	0.62	80.08	N/A	N/A	5,942	3,669	40,716	21,937
2016-07-05	$9.62	$10.00	75.6%	20.7%	81.1%	58.4%	73.7%	12.7%	-1.8%	55.1K	13.1M	-48.1K	0.58	72.79	N/A	N/A	6,002	3,465	40,963	21,998
2016-07-06	$9.16	$10.00	78.2%	22.8%	81.8%	60.7%	77.8%	8.9%	1.1%	46.9K	13.3M	-44.4K	0.42	51.59	N/A	N/A	5,912	2,462	41,148	21,995
2016-07-07	$9.31	$10.00	80.4%	23.3%	82.5%	62.8%	81.5%	7.6%	0.7%	54.9K	12.5M	-49.9K	0.38	62.93	N/A	N/A	6,687	2,522	41,523	22,221
2016-07-08	$9.52	$10.00	74.9%	20.3%	83.7%	57.7%	73.0%	8.5%	-1.1%	17.4K	11.3M	-55.3K	0.86	53.88	N/A	N/A	11,318	9,718	42,621	22,186
2016-07-11	$9.94	$10.00	74.4%	21.3%	82.8%	57.3%	74.0%	8.5%	-0.4%	108.7K	10.8M	-75.9K	0.95	41.47	N/A	N/A	10,071	9,617	46,574	29,148
2016-07-12	$10.13	$10.00	72.4%	20.4%	83.4%	55.5%	73.5%	8.9%	0.1%	107.7K	11.0M	-73.8K	1.03	84.51	N/A	N/A	8,996	9,230	46,611	29,393
2016-07-13	$10.35	$10.00	70.1%	20.3%	84.0%	53.4%	71.5%	7.8%	3.2%	128.8K	10.6M	-74.1K	1.02	92.30	N/A	N/A	9,042	9,220	46,628	29,427
2016-07-14	$10.01	$10.00	72.1%	20.4%	79.8%	55.2%	72.9%	9.4%	-0.9%	76.5K	11.6M	-71.4K	2.07	80.14	N/A	N/A	4,556	9,414	46,590	29,446
2016-07-15	$9.47	$10.00	68.6%	20.1%	81.2%	52.0%	69.4%	8.4%	2.6%	96.9K	13.4M	-63.4K	1.09	103.25	N/A	N/A	4,739	5,173	47,294	29,426
2016-07-18	$9.66	$10.00	72.2%	19.9%	81.7%	55.2%	69.0%	71.7%	4.7%	88.7K	11.2M	-60.9K	1.20	103.75	N/A	N/A	3,720	4,460	45,041	26,725
2016-07-19	$9.52	$10.00	70.4%	20.1%	80.1%	53.7%	71.0%	8.5%	5.0%	93.4K	10.8M	-60.8K	1.34	100.24	N/A	N/A	3,567	4,766	45,144	26,967
2016-07-20	$9.49	$10.00	63.4%	18.2%	79.7%	47.2%	68.8%	7.8%	6.7%	75.1K	11.1M	-57.6K	1.31	76.93	N/A	N/A	3,576	4,688	45,220	27,326
2016-07-21	$9.51	$10.00	65.2%	18.4%	79.8%	48.9%	67.0%	9.8%	1.7%	76.7K	11.2M	-56.4K	0.60	88.98	N/A	N/A	3,580	2,134	45,234	27,405
2016-07-22	$9.54	$10.00	64.0%	17.7%	79.6%	47.8%	64.1%	4.9%	6.6%	72.3K	11.5M	-55.8K	0.57	97.43	N/A	N/A	3,671	2,080	45,242	27,412
2016-07-25	$9.56	$10.00	65.5%	17.6%	78.8%	49.1%	64.0%	8.6%	-0.3%	72.4K	11.2M	-53.7K	0.57	97.49	N/A	N/A	3,586	2,043	45,272	27,379
2016-07-26	$9.82	$10.00	65.0%	16.5%	66.8%	48.7%	62.9%	6.5%	0.4%	106.2K	10.7M	-55.2K	0.84	81.27	N/A	N/A	2,805	2,360	45,364	27,257
2016-07-27	$9.78	$10.00	68.1%	17.2%	62.1%	51.5%	63.7%	7.8%	-1.0%	102.1K	11.0M	-54.7K	1.01	80.78	N/A	N/A	2,337	2,356	45,441	27,100
2016-07-28	$9.60	$10.00	74.5%	18.3%	52.1%	57.4%	64.9%	12.2%	-6.4%	86.5K	11.3M	-51.6K	1.00	76.86	N/A	N/A	2,338	2,339	45,487	27,110
2016-07-29	$9.58	$10.00	75.9%	19.2%	45.3%	58.7%	66.0%	6.0%	-25.2%	73.0K	11.7M	-50.6K	0.90	81.60	N/A	N/A	2,422	2,183	45,488	27,116