VNET Options History — March 2013

In March 2013, VNET traded between $8.75 and $9.81. ATM implied volatility averaged 42.3%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 23.0% (HV 20d: 19.3%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.19.

Notable Days

  • 2013-03-06: Highest Volume — 1,137 contracts
  • 2013-03-06: Largest IV drop — 38.7% change
  • 2013-03-04: Highest IV Rank — 23.8%
  • 2013-03-01: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.32$8.75$9.81$9.69$9.40
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV42.3%31.5%65.0%57.6%39.2%
Expected Move12.0%9.0%16.5%16.5%11.2%
HV 20d19.3%13.3%25.4%16.4%25.4%
HV 60d32.7%26.4%34.8%34.8%26.4%
IV Rank7.0%0.0%23.8%17.9%5.9%
IV Percentile10.7%0.0%67.1%36.9%4.8%
Term Structure4.3%-4.4%22.1%-4.4%0.5%
VWIV42.1%28.5%57.6%57.6%40.2%
Skew 25d4.9%-11.0%71.1%4.1%71.1%
Skew 10d9.2%-9.6%95.0%9.0%95.0%
Call IV 25d38.4%23.1%50.6%50.6%39.1%
Put IV 25d43.3%31.1%110.2%54.7%110.2%
Bid-Ask Spread %20.717.5952.9010.9514.56
Gamma HHI0.540.470.650.470.61
Net GEX33.6K19.5K54.2K29.3K41.2K
Net DEX-351.5K-555.4K-153.2K-348.2K-477.1K
Net VEX-3.5K-4.0K-2.9K-3.2K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.002.000.000.00
Total Volume148.5501,137342
Total OI3,507.752,9574,0222,9573,639

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$9.69$10.0057.6%16.5%16.4%17.9%57.6%4.1%-4.4%29.3K-348.2K-3.2K0.0010.95N/AN/A3402,386571
2013-03-04$9.72$10.0065.0%15.5%16.0%23.8%0.0%21.2%1.2%30.1K-367.1K-3.1K0.0013.71N/AN/A3502,402571
2013-03-05$9.70$10.0062.5%15.6%13.5%21.8%28.5%19.9%1.8%32.2K-383.4K-3.3K0.2310.79N/AN/A43102,429571
2013-03-06$9.81$10.0038.3%12.5%13.5%2.7%43.7%18.7%4.6%46.8K-346.0K-3.0K0.0018.61N/AN/A1,13702,464571
2013-03-07$9.68$10.0038.8%11.9%13.3%3.1%41.5%3.2%4.4%44.0K-434.6K-3.4K0.0113.95N/AN/A64492,895571
2013-03-08$9.64$10.0034.3%11.4%13.3%0.0%0.0%4.6%2.5%54.2K-514.7K-4.0K0.1552.90N/AN/A93143,334580
2013-03-11$9.41$10.0037.5%11.6%15.3%2.6%0.0%-2.0%4.0%44.0K-359.2K-3.8K0.0012.55N/AN/A003,387594
2013-03-12$9.09$10.0044.1%11.8%19.1%7.7%0.0%-5.4%3.0%24.4K-216.1K-3.3K0.0037.33N/AN/A12003,387594
2013-03-13$9.04$10.0047.8%12.1%18.2%10.7%42.4%-9.2%2.3%24.4K-228.6K-3.4K0.1417.70N/AN/A1423,428594
2013-03-14$9.08$10.0042.5%12.2%18.4%6.5%0.0%-8.6%-0.9%24.8K-187.8K-3.1K0.0010.41N/AN/A0583,323596
2013-03-15$8.88$10.0040.6%11.6%19.4%4.9%0.0%-10.2%3.0%22.2K-153.2K-3.2K2.0022.27N/AN/A20403,323654
2013-03-18$8.75$10.0043.1%12.4%19.6%7.0%43.1%-11.0%-0.2%19.8K-167.6K-2.9K0.0039.59N/AN/A2902,562414
2013-03-19$8.75$10.0031.6%9.1%19.0%0.0%0.0%-8.1%17.4%19.5K-157.1K-2.9K0.247.59N/AN/A4241022,590414
2013-03-20$9.03$10.0040.9%11.7%22.3%7.2%0.0%-5.0%1.2%29.5K-331.3K-3.6K0.0721.55N/AN/A1412,990516
2013-03-21$9.25$10.0031.5%9.0%24.4%0.0%0.0%12.0%18.4%34.3K-438.9K-3.9K0.0032.11N/AN/A002,997516
2013-03-22$9.27$10.0039.5%11.3%24.0%6.1%0.0%-4.6%1.9%34.7K-443.4K-4.0K0.0014.68N/AN/A002,997516
2013-03-25$9.32$10.0039.0%11.2%24.2%5.8%39.5%-2.9%3.8%35.9K-448.6K-3.8K0.0015.56N/AN/A11902,997516
2013-03-26$9.33$10.0039.8%11.4%24.2%6.3%40.2%-2.9%0.2%39.1K-471.0K-3.9K0.0015.92N/AN/A203,116516
2013-03-27$9.50$10.0031.5%9.0%25.2%0.0%0.0%12.3%22.1%42.3K-555.4K-4.0K0.0031.53N/AN/A053,118516
2013-03-28$9.40$10.0039.2%11.2%25.4%5.9%0.0%71.1%0.5%41.2K-477.1K-3.8K0.0014.56N/AN/A203,118521