VNET Options History — January 2013

In January 2013, VNET traded between $9.41 and $10.48. ATM implied volatility averaged 50.3%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 4.7% (HV 20d: 45.5%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.00.

Notable Days

  • 2013-01-16: Highest Volume — 1,011 contracts
  • 2013-01-10: Largest IV spike — 43.3% change
  • 2013-01-14: Highest IV Rank — 16.2%
  • 2013-01-14: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.93$9.41$10.48$9.68$9.92
Max Pain$5.71$5.00$10.00$10.00$7.50
ATM IV50.3%37.8%55.4%53.5%46.4%
Expected Move14.6%12.9%15.9%15.3%13.3%
HV 20d45.5%35.1%49.3%47.4%35.1%
HV 60d42.5%40.9%44.1%41.3%42.5%
IV Rank12.1%2.3%16.2%14.7%9.1%
IV Percentile12.8%0.4%24.2%16.7%7.1%
Term Structure6.9%0.8%15.1%0.8%12.4%
VWIV50.9%44.9%54.5%52.4%46.4%
Skew 25d12.0%-2.3%53.6%6.6%6.1%
Skew 10d23.8%-0.2%114.7%12.6%9.5%
Call IV 25d43.8%38.9%53.3%47.8%47.7%
Put IV 25d55.8%42.5%93.2%54.4%53.8%
Bid-Ask Spread %16.756.8934.3310.1013.13
Gamma HHI0.470.330.600.330.45
Net GEX16.3K19032.7K19027.7K
Net DEX-420.7K-972.7K4.9K-16.6K-591.6K
Net VEX-3.3K-5.1K-1.3K-1.3K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.0013.000.600.33
Total Volume129.90501,01188
Total OI2,157.1431,1393,0541,1402,924

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$9.68$10.0053.5%15.3%47.4%14.7%0.0%6.6%0.8%190-16.6K-1.3K0.6010.10N/AN/A53580560
2013-01-03$9.56$10.0052.4%15.0%46.6%13.8%52.4%5.7%2.1%197-4.4K-1.3K5.3311.88N/AN/A632581563
2013-01-04$9.65$5.0051.6%15.6%45.8%13.2%0.0%22.7%3.7%458-9.9K-1.3K0.0014.16N/AN/A2290586553
2013-01-07$9.72$5.0053.3%15.1%45.6%14.6%0.0%2.0%5.9%2.6K-88.7K-1.8K0.006.89N/AN/A050815553
2013-01-08$9.44$5.0054.2%15.5%46.7%15.2%53.9%-2.0%3.3%1.7K-8.8K-1.8K0.0032.14N/AN/A250815603
2013-01-09$9.41$5.0037.8%15.3%46.6%2.3%53.4%15.7%4.3%2.2K4.9K-1.7K0.0012.48N/AN/A210839603
2013-01-10$9.83$5.0054.2%15.5%48.8%15.2%0.0%5.1%5.6%3.0K-84.7K-1.9K0.078.77N/AN/A50733846603
2013-01-11$9.82$5.0052.9%15.2%48.2%14.2%0.0%4.8%5.0%11.3K-310.8K-2.6K0.008.88N/AN/A001,319604
2013-01-14$9.58$5.0055.4%15.9%45.2%16.2%0.0%-0.7%4.1%10.7K-240.2K-2.5K2.538.40N/AN/A17431,319604
2013-01-15$9.59$5.0054.8%15.7%44.8%15.7%0.0%-0.4%3.3%12.2K-190.8K-2.4K0.0034.30N/AN/A0161,335621
2013-01-16$10.25$5.0054.8%15.7%49.3%15.7%54.5%12.4%3.0%16.6K-489.8K-2.6K0.0812.94N/AN/A934771,335605
2013-01-17$10.36$5.0050.4%14.4%49.2%12.2%50.4%53.6%6.4%24.5K-831.9K-4.2K0.0934.33N/AN/A425402,080579
2013-01-18$10.37$5.0045.6%13.1%47.5%8.5%0.0%51.0%11.8%32.7K-972.7K-5.1K1.6732.93N/AN/A18302,473581
2013-01-22$10.48$5.0051.3%14.7%47.1%13.0%0.0%52.0%7.2%28.3K-825.0K-5.0K0.0017.16N/AN/A0112,278452
2013-01-23$10.46$5.0051.1%14.6%47.1%12.8%51.1%-2.3%7.4%28.4K-833.7K-5.0K0.0016.00N/AN/A4702,278463
2013-01-24$10.26$5.0049.3%14.1%44.3%11.3%0.0%10.2%9.2%28.0K-789.9K-4.9K4.0817.07N/AN/A13532,324463
2013-01-25$10.03$5.0045.8%13.1%45.5%8.6%0.0%6.6%11.7%27.5K-667.1K-4.9K2.1717.61N/AN/A6132,337516
2013-01-28$10.07$5.0047.8%13.7%45.4%10.1%0.0%2.3%11.5%28.6K-646.5K-4.7K13.0016.44N/AN/A4522,343529
2013-01-29$10.04$5.0044.9%12.9%44.8%7.9%44.9%-0.2%15.1%28.5K-639.3K-4.7K0.0012.30N/AN/A0102,343571
2013-01-30$9.95$7.5047.8%13.7%35.2%10.2%0.0%0.1%10.3%27.3K-598.2K-4.7K0.0013.86N/AN/A002,343581
2013-01-31$9.92$7.5046.4%13.3%35.1%9.1%46.4%6.1%12.4%27.7K-591.6K-4.6K0.3313.13N/AN/A622,343581