VNET Options History — April 2013

In April 2013, VNET traded between $8.65 and $9.30. ATM implied volatility averaged 36.0%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 9.5% (HV 20d: 26.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2013-04-26: Highest Volume — 259 contracts
  • 2013-04-23: Largest IV spike — 44.8% change
  • 2013-04-18: Highest IV Rank — 17.6%
  • 2013-04-18: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.99$8.65$9.30$9.14$9.04
Max Pain$8.64$7.50$10.00$10.00$10.00
ATM IV36.0%23.9%48.0%23.9%42.4%
Expected Move10.6%6.8%13.8%6.8%12.1%
HV 20d26.5%23.1%28.1%27.1%24.1%
HV 60d24.1%21.8%27.0%27.0%22.6%
IV Rank8.8%0.0%17.6%0.0%13.4%
IV Percentile6.6%0.0%20.2%0.0%13.9%
Term Structure7.3%-1.6%20.6%20.5%-1.3%
VWIV40.6%29.2%45.7%42.1%45.4%
Skew 25d8.6%-11.5%34.7%9.7%-5.8%
Skew 10d13.7%-20.4%47.6%14.8%-7.3%
Call IV 25d36.2%25.8%45.3%25.8%44.3%
Put IV 25d44.8%28.8%60.6%35.5%38.5%
Bid-Ask Spread %22.867.3854.767.397.38
Gamma HHI0.600.560.690.580.69
Net GEX28.7K19.2K41.8K33.7K30.8K
Net DEX-225.4K-437.6K-86.1K-346.3K-186.0K
Net VEX-2.7K-3.6K-2.1K-3.4K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.700.000.00
Total Volume33.2270259099
Total OI3,579.6363,3453,7203,6413,631

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$9.14$10.0023.9%6.8%27.1%0.0%0.0%9.7%20.5%33.7K-346.3K-3.4K0.007.39N/AN/A003,120521
2013-04-02$9.19$10.0027.3%7.8%27.2%2.5%0.0%19.4%20.6%35.9K-332.8K-3.3K0.0040.72N/AN/A003,120521
2013-04-03$9.30$10.0028.2%8.1%27.7%3.1%0.0%19.7%18.7%40.5K-416.3K-3.6K0.0054.76N/AN/A2203,120521
2013-04-04$9.27$10.0034.5%9.9%27.2%7.8%0.0%-11.5%3.3%38.5K-414.0K-3.5K0.0010.42N/AN/A013,120521
2013-04-05$9.22$7.5032.0%12.5%27.0%5.9%0.0%11.2%-0.9%41.8K-437.6K-3.5K0.0022.60N/AN/A103,120522
2013-04-08$9.10$7.5045.2%12.4%27.2%15.5%0.0%6.7%-0.4%34.3K-320.3K-3.1K0.0823.84N/AN/A6053,119522
2013-04-09$8.82$7.5034.1%10.6%28.1%7.4%0.0%9.1%1.4%26.4K-226.3K-2.9K0.7026.10N/AN/A20143,083527
2013-04-10$9.09$7.5033.4%12.9%27.9%6.9%0.0%6.0%-1.5%30.4K-254.4K-2.9K0.0024.30N/AN/A2503,063541
2013-04-11$9.00$7.5035.9%10.3%28.0%8.8%0.0%5.1%1.7%29.3K-234.0K-2.9K0.0027.95N/AN/A003,060541
2013-04-12$8.99$7.5038.6%11.1%28.0%10.7%0.0%2.7%1.8%27.5K-208.2K-2.7K0.0028.57N/AN/A2003,060541
2013-04-15$8.83$7.5037.1%10.6%27.6%9.6%42.1%9.8%-0.0%25.9K-180.2K-2.5K0.0036.87N/AN/A5303,080541
2013-04-16$8.88$7.5036.0%10.3%27.1%8.8%40.6%-9.5%1.3%23.5K-151.7K-2.4K0.0023.95N/AN/A4603,133541
2013-04-17$8.81$7.5036.2%10.4%27.3%8.9%0.0%6.3%0.3%23.3K-159.1K-2.4K0.0030.52N/AN/A303,179541
2013-04-18$8.69$7.5048.0%13.8%25.1%17.6%0.0%25.0%10.9%20.1K-98.9K-2.2K0.0026.88N/AN/A003,171541
2013-04-19$8.65$7.5046.1%13.2%23.1%16.1%0.0%23.4%14.2%19.2K-86.1K-2.2K0.0024.89N/AN/A3903,171541
2013-04-22$8.88$7.5027.6%7.9%25.4%2.7%29.2%26.1%17.6%23.1K-158.2K-2.2K0.3821.16N/AN/A832,814531
2013-04-23$8.80$10.0040.0%11.5%25.3%11.7%0.0%-7.9%-0.5%21.7K-101.7K-2.1K0.008.77N/AN/A002,822534
2013-04-24$9.00$10.0036.1%10.4%26.8%8.9%0.0%34.7%17.3%25.0K-165.0K-2.1K0.0519.24N/AN/A2012,822534
2013-04-25$9.02$10.0033.5%9.6%25.9%7.0%0.0%8.9%18.7%27.1K-177.1K-2.3K0.009.43N/AN/A1202,842533
2013-04-26$9.02$10.0046.1%13.2%25.7%16.1%45.7%-7.9%-1.6%26.4K-178.4K-2.2K0.0018.33N/AN/A25902,843533
2013-04-29$8.95$10.0029.6%8.5%23.9%4.2%0.0%8.0%19.4%26.1K-125.5K-2.1K0.008.79N/AN/A2003,078533
2013-04-30$9.04$10.0042.4%12.1%24.1%13.4%45.4%-5.8%-1.3%30.8K-186.0K-2.2K0.007.38N/AN/A9903,098533