VNET Options History — September 2016

In September 2016, VNET traded between $7.98 and $9.38. ATM implied volatility averaged 52.9%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 8.4% (HV 20d: 44.5%). Max pain ranged from $9.00 to $12.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2016-09-01: Highest Volume — 5,644 contracts
  • 2016-09-30: Largest IV drop — 20.6% change
  • 2016-09-07: Highest IV Rank — 40.2%
  • 2016-09-07: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.50$7.98$9.38$9.29$7.98
Max Pain$9.29$9.00$12.00$12.00$9.00
ATM IV52.9%44.2%55.8%52.0%44.2%
Expected Move15.2%14.2%16.1%14.7%15.0%
HV 20d44.5%27.5%63.6%63.6%31.5%
HV 60d56.4%45.4%64.0%64.0%45.4%
IV Rank37.6%29.6%40.2%36.7%29.6%
IV Percentile63.1%52.4%69.8%62.3%52.4%
Term Structure0.6%-2.9%4.2%2.5%4.2%
VWIV51.9%45.2%59.1%51.0%52.0%
Skew 25d4.0%-0.8%14.5%3.8%9.0%
Skew 10d6.6%-18.5%29.1%21.6%12.2%
Call IV 25d52.8%49.6%58.3%52.9%58.3%
Put IV 25d56.9%50.5%67.3%56.7%67.3%
Bid-Ask Spread %88.3527.28130.90102.9874.85
Gamma HHI0.310.210.570.250.28
Net GEX-217.9K-584.2K-114.9K-211.9K-122.9K
Net DEX15.2M11.2M19.6M16.9M12.4M
Net VEX-43.3K-55.7K-35.6K-55.7K-35.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.401.471.420.64
Total Volume4,338.3333,1365,6445,6443,687
Total OI67,016.1945,63185,94785,77447,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$9.29$12.0052.0%14.7%63.6%36.7%51.0%3.8%2.5%-211.9K16.9M-55.7K1.42102.98N/AN/A2,3343,31044,53841,236
2016-09-02$9.38$12.0053.2%14.4%63.6%37.8%49.0%1.7%0.8%-201.7K16.8M-55.1K1.4797.06N/AN/A2,2543,31244,58141,303
2016-09-06$9.15$9.0054.6%14.9%62.0%39.1%52.7%4.3%1.4%-236.6K17.4M-52.3K0.9580.23N/AN/A2,4012,27544,43940,977
2016-09-07$9.02$9.0055.8%16.1%60.9%40.2%55.8%1.5%1.6%-220.4K17.6M-50.4K0.9972.00N/AN/A2,3002,28744,69841,173
2016-09-08$8.97$9.0054.6%15.4%60.9%39.2%54.8%3.8%3.1%-235.2K17.9M-49.5K0.9585.50N/AN/A2,3002,19644,73541,190
2016-09-09$8.70$9.0053.7%15.3%61.5%38.3%54.9%3.2%1.0%-294.6K18.7M-47.2K0.9371.27N/AN/A2,3542,18844,76141,186
2016-09-12$8.63$9.0052.9%15.5%61.4%37.5%59.1%2.8%2.5%-305.1K19.2M-44.4K0.7168.42N/AN/A2,6661,89943,99841,000
2016-09-13$8.20$9.0055.1%16.0%57.8%39.6%53.4%3.2%-1.9%-584.2K19.6M-43.1K0.56100.92N/AN/A3,3711,89944,72540,071
2016-09-14$8.28$9.0054.1%15.6%58.0%38.7%51.6%2.5%2.1%-408.2K19.5M-43.4K0.68127.15N/AN/A2,8131,89944,95840,000
2016-09-15$8.33$9.0053.7%15.4%35.6%38.3%51.6%3.3%0.5%-454.5K18.8M-42.0K0.68130.90N/AN/A2,7861,90444,95140,000
2016-09-16$8.20$9.0051.6%14.8%34.8%36.3%51.7%4.3%-1.4%-139.1K17.7M-40.0K0.6995.28N/AN/A2,7761,90844,92739,715
2016-09-19$8.18$9.0055.4%16.0%34.7%39.8%56.5%7.5%-1.0%-137.8K11.7M-40.1K0.83106.89N/AN/A1,9721,62820,49225,139
2016-09-20$8.12$9.0054.0%15.6%30.3%38.6%55.7%8.5%-2.7%-143.4K12.0M-38.0K0.6592.03N/AN/A2,5301,63820,55025,159
2016-09-21$8.23$9.0051.6%14.8%27.5%36.3%51.4%14.5%-2.9%-138.4K12.0M-38.2K0.66118.98N/AN/A2,4901,65221,00125,169
2016-09-22$8.52$9.0052.2%15.0%30.7%36.9%46.3%5.8%1.1%-143.3K11.3M-40.8K0.4091.67N/AN/A3,3921,34220,95825,187
2016-09-23$8.50$9.0051.3%14.9%30.7%36.1%45.2%-0.8%-1.0%-115.8K11.2M-40.8K0.7427.28N/AN/A2,2771,67621,99625,188
2016-09-26$8.17$9.0052.6%15.9%33.2%37.3%47.3%0.9%2.6%-120.1K11.8M-37.7K0.8989.48N/AN/A1,8281,62121,54125,408
2016-09-27$8.25$9.0051.6%14.2%32.9%36.4%47.6%1.5%-0.3%-123.7K11.7M-39.6K0.7697.55N/AN/A1,7841,35221,76025,720
2016-09-28$8.25$9.0051.5%15.5%31.7%36.3%51.6%1.5%-1.0%-123.9K11.9M-38.3K0.7491.83N/AN/A1,8821,39121,76225,690
2016-09-29$8.08$9.0055.7%15.0%31.6%40.1%50.6%2.2%0.5%-114.9K12.1M-37.1K0.6733.12N/AN/A2,1091,42221,91925,709
2016-09-30$7.98$9.0044.2%15.0%31.5%29.6%52.0%9.0%4.2%-122.9K12.4M-35.6K0.6474.85N/AN/A2,2461,44122,07025,760