VNET Options History — August 2016

In August 2016, VNET traded between $8.55 and $10.87. ATM implied volatility averaged 57.8%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 10.3% (HV 20d: 47.5%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.53.

Notable Days

2016-08-22: Highest Volume — 9,602 contracts
2016-08-17: Largest IV drop — 14.5% change
2016-08-02: Highest IV Rank — 52.2%
2016-08-02: Largest Expected Move — 20.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.52	$8.55	$10.87	$9.63	$9.28
Max Pain	$11.74	$10.00	$12.00	$10.00	$12.00
ATM IV	57.8%	50.4%	68.8%	67.2%	52.8%
Expected Move	16.7%	14.4%	20.6%	20.3%	15.2%
HV 20d	47.5%	24.2%	63.6%	39.6%	63.6%
HV 60d	66.1%	59.1%	90.0%	90.0%	64.0%
IV Rank	42.1%	35.3%	52.2%	50.7%	37.5%
IV Percentile	70.8%	61.9%	86.1%	82.9%	64.3%
Term Structure	0.3%	-5.2%	5.2%	-0.4%	2.4%
VWIV	57.8%	47.9%	69.5%	67.8%	52.1%
Skew 25d	5.8%	-0.5%	11.4%	8.5%	4.4%
Skew 10d	7.8%	-28.5%	42.2%	26.7%	-3.0%
Call IV 25d	56.2%	48.9%	65.5%	65.5%	53.3%
Put IV 25d	62.1%	49.8%	74.1%	74.0%	57.7%
Bid-Ask Spread %	88.00	35.25	103.87	91.14	99.83
Gamma HHI	0.24	0.17	0.34	0.21	0.25
Net GEX	-64.0K	-292.0K	177.8K	68.3K	-209.1K
Net DEX	14.6M	8.7M	20.1M	11.5M	17.0M
Net VEX	-51.6K	-59.6K	-45.2K	-49.1K	-55.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.18	5.93	0.69	1.32
Total Volume	5,480.913	803	9,602	4,132	5,550
Total OI	80,049.435	71,779	89,771	71,779	85,611

Daily Data (23 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
2016-08-01	$9.63	$10.00	67.2%	20.3%	39.6%	50.7%	67.8%	8.5%	-0.4%	68.3K	11.5M	-49.1K	0.69	91.14	N/A	N/A	2,445	1,687	45,038	26,741
2016-08-02	$9.49	$10.00	68.8%	20.6%	39.9%	52.2%	68.5%	11.4%	-1.8%	60.6K	11.9M	-45.8K	0.79	88.49	N/A	N/A	2,367	1,881	45,125	26,904
2016-08-03	$9.61	$10.00	68.6%	20.2%	35.8%	52.0%	69.5%	6.4%	-2.5%	71.6K	11.4M	-50.2K	0.89	84.52	N/A	N/A	2,458	2,177	45,192	27,219
2016-08-04	$9.56	$12.00	67.6%	18.0%	35.5%	51.0%	60.8%	8.3%	-1.0%	55.4K	12.2M	-45.2K	0.86	78.73	N/A	N/A	2,374	2,044	45,249	28,055
2016-08-05	$9.62	$12.00	66.4%	18.3%	34.7%	50.0%	60.3%	10.5%	-2.7%	45.5K	12.4M	-47.1K	0.69	82.38	N/A	N/A	2,635	1,813	45,249	28,587
2016-08-08	$10.03	$12.00	61.8%	17.6%	34.4%	45.8%	59.3%	7.9%	0.5%	106.3K	11.0M	-49.1K	1.48	84.23	N/A	N/A	1,877	2,775	44,802	28,485
2016-08-09	$10.31	$12.00	58.8%	17.0%	35.2%	43.0%	59.6%	8.5%	-1.5%	146.4K	10.2M	-51.5K	1.62	95.29	N/A	N/A	2,251	3,643	45,157	29,554
2016-08-10	$10.29	$12.00	55.4%	17.1%	34.3%	39.9%	59.6%	9.7%	4.9%	123.8K	10.7M	-52.3K	1.56	89.34	N/A	N/A	2,272	3,553	45,251	30,534
2016-08-11	$10.24	$12.00	57.0%	17.1%	32.1%	41.3%	57.3%	9.6%	3.2%	124.4K	11.2M	-48.2K	1.41	93.73	N/A	N/A	2,360	3,330	45,414	30,541
2016-08-12	$10.26	$12.00	57.6%	17.3%	24.2%	41.9%	59.7%	6.4%	5.2%	120.7K	10.8M	-54.9K	1.44	93.10	N/A	N/A	2,433	3,514	45,878	31,882
2016-08-15	$10.87	$12.00	61.4%	17.7%	30.4%	45.3%	62.3%	0.5%	-3.4%	177.8K	8.7M	-59.6K	0.95	90.58	N/A	N/A	2,901	2,748	45,919	33,114
2016-08-16	$10.53	$12.00	60.6%	17.4%	32.5%	44.6%	60.5%	2.7%	2.6%	153.8K	9.6M	-56.9K	1.68	81.95	N/A	N/A	2,976	5,011	46,673	33,946
2016-08-17	$9.20	$12.00	51.8%	14.8%	59.4%	36.6%	54.6%	0.9%	-1.2%	-156.0K	17.4M	-45.5K	1.42	89.53	N/A	N/A	2,904	4,134	47,899	36,137
2016-08-18	$8.95	$12.00	52.5%	15.2%	60.1%	37.3%	56.3%	5.4%	-5.2%	-257.8K	19.1M	-47.7K	5.93	103.87	N/A	N/A	218	1,293	49,178	39,564
2016-08-19	$8.99	$12.00	50.4%	14.4%	60.1%	35.3%	55.5%	-0.5%	-0.1%	-244.1K	20.1M	-49.6K	2.11	103.50	N/A	N/A	2,852	6,025	49,318	40,453
2016-08-22	$8.55	$12.00	54.3%	15.3%	62.4%	38.8%	54.2%	2.9%	2.1%	-239.7K	18.8M	-47.2K	2.64	100.45	N/A	N/A	2,637	6,965	42,976	37,259
2016-08-23	$8.86	$12.00	52.6%	14.8%	63.1%	37.3%	50.6%	5.1%	-0.9%	-281.6K	19.4M	-54.8K	1.82	35.25	N/A	N/A	2,429	4,420	43,520	41,503
2016-08-24	$8.85	$12.00	53.6%	14.7%	63.1%	38.2%	47.9%	4.0%	-0.8%	-277.7K	18.9M	-55.6K	0.18	95.39	N/A	N/A	681	122	43,839	41,424
2016-08-25	$8.81	$12.00	53.0%	15.4%	62.9%	37.7%	50.8%	3.4%	0.4%	-292.0K	19.2M	-54.8K	1.46	73.96	N/A	N/A	2,326	3,397	44,170	41,476
2016-08-26	$8.87	$12.00	52.5%	14.5%	63.0%	37.2%	55.1%	10.0%	-0.7%	-273.1K	19.4M	-54.6K	1.46	90.10	N/A	N/A	2,287	3,349	44,235	41,678
2016-08-29	$9.00	$12.00	51.8%	14.8%	63.3%	36.6%	55.8%	5.8%	3.3%	-257.1K	18.2M	-54.1K	1.45	82.10	N/A	N/A	2,193	3,171	43,979	41,130
2016-08-30	$9.18	$12.00	52.8%	15.3%	63.6%	37.5%	51.7%	2.0%	3.4%	-237.9K	17.5M	-56.1K	1.38	96.57	N/A	N/A	2,350	3,233	44,151	41,128
2016-08-31	$9.28	$12.00	52.8%	15.2%	63.6%	37.5%	52.1%	4.4%	2.4%	-209.1K	17.0M	-55.5K	1.32	99.83	N/A	N/A	2,391	3,159	44,378	41,233