VNET Options History — May 2013

In May 2013, VNET traded between $8.84 and $9.61. ATM implied volatility averaged 44.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 19.6% (HV 20d: 25.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2013-05-20: Highest Volume — 796 contracts
  • 2013-05-14: Largest IV spike — 52.8% change
  • 2013-05-14: Highest IV Rank — 32.8%
  • 2013-05-16: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.32$8.84$9.61$8.84$9.14
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV44.8%30.8%68.9%30.8%35.4%
Expected Move12.7%8.8%15.2%8.8%10.2%
HV 20d25.2%20.7%30.2%24.8%30.2%
HV 60d24.4%22.3%27.3%22.6%27.3%
IV Rank15.2%5.1%32.8%5.1%8.4%
IV Percentile21.8%2.0%77.4%2.0%6.7%
Term Structure0.1%-6.5%16.5%16.5%1.2%
VWIV47.3%29.7%69.7%37.1%29.7%
Skew 25d0.9%-15.3%67.7%3.5%-7.0%
Skew 10d0.7%-25.4%92.6%6.5%-5.2%
Call IV 25d47.5%32.2%56.6%32.2%41.3%
Put IV 25d48.5%34.3%107.7%35.7%34.3%
Bid-Ask Spread %13.858.0431.798.5817.18
Gamma HHI0.650.480.780.660.56
Net GEX33.0K8.2K61.7K22.7K8.2K
Net DEX-83.0K-547.1K569.7K-88.5K569.7K
Net VEX-3.0K-4.9K-1.9K-1.9K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.008.670.000.41
Total Volume123.81807960137
Total OI4,093.1363,1504,7043,6964,704

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$8.84$10.0030.8%8.8%24.8%5.1%0.0%3.5%16.5%22.7K-88.5K-1.9K0.008.58N/AN/A003,163533
2013-05-02$8.90$10.0044.7%12.8%25.0%15.2%0.0%-7.7%-6.5%29.1K-173.0K-2.2K0.008.71N/AN/A1103,163533
2013-05-03$8.95$10.0044.4%12.7%25.1%14.9%37.1%-10.0%-5.0%30.1K-160.5K-2.1K0.758.04N/AN/A433,163533
2013-05-06$9.04$10.0045.9%13.4%25.0%16.0%48.1%1.1%0.7%32.2K-199.9K-2.1K0.0012.43N/AN/A24903,167532
2013-05-07$9.02$10.0038.1%13.5%22.3%10.4%0.0%0.9%0.5%32.8K-178.7K-2.1K0.0011.98N/AN/A003,406532
2013-05-08$9.20$10.0035.3%12.7%20.7%8.3%0.0%4.1%2.4%41.8K-244.0K-2.2K0.0012.49N/AN/A003,406532
2013-05-09$9.53$10.0050.6%12.4%23.7%19.5%56.4%3.5%3.9%57.2K-474.8K-2.5K0.1518.60N/AN/A1323,406532
2013-05-10$9.56$10.0039.7%12.7%23.6%11.5%0.0%4.0%2.8%60.1K-508.5K-2.6K0.0021.74N/AN/A003,419534
2013-05-13$9.41$10.0045.1%13.5%23.4%15.4%0.0%-14.2%0.1%55.4K-371.6K-2.4K0.009.52N/AN/A1203,417534
2013-05-14$9.50$10.0068.9%13.2%23.5%32.8%0.0%-12.9%2.4%59.1K-469.5K-2.4K0.0010.17N/AN/A003,429534
2013-05-15$9.49$10.0052.5%13.3%23.2%20.8%46.6%-13.1%1.0%61.7K-390.6K-2.3K0.0911.13N/AN/A1113,429534
2013-05-16$9.46$10.0052.9%15.2%22.4%21.1%54.9%-15.3%-5.2%59.8K-547.1K-2.5K0.008.99N/AN/A26103,420535
2013-05-17$9.31$10.0043.3%12.4%23.3%14.1%44.7%-9.1%4.1%25.8K-195.6K-1.9K0.0131.79N/AN/A15213,601535
2013-05-20$9.61$10.0047.7%13.7%24.1%17.4%47.8%-11.9%-4.4%31.2K-339.3K-2.2K0.9912.14N/AN/A3993972,725425
2013-05-21$9.60$10.0045.4%13.0%23.7%15.6%45.4%-8.4%-2.4%29.6K-169.6K-3.3K8.6728.45N/AN/A585033,071821
2013-05-22$9.30$10.0045.9%13.2%25.9%16.0%69.7%-12.0%-2.5%17.9K210.5K-4.1K7.3713.91N/AN/A413023,0791,289
2013-05-23$9.54$10.0042.4%12.2%27.3%13.5%0.0%2.4%1.0%17.1K284.7K-4.9K1.009.82N/AN/A553,0791,591
2013-05-24$9.31$10.0043.9%12.6%28.9%14.5%0.0%-3.8%-2.0%11.8K423.5K-4.5K0.0015.57N/AN/A003,0841,596
2013-05-28$9.53$10.0045.9%13.2%29.7%16.0%0.0%62.8%-3.7%15.3K364.1K-4.5K0.009.40N/AN/A103,0841,596
2013-05-29$9.43$10.0040.7%11.7%29.9%12.2%40.7%67.7%1.0%15.3K414.5K-4.4K0.6710.87N/AN/A87583,0831,596
2013-05-30$9.36$10.0046.4%13.3%28.8%16.4%46.6%-4.0%-2.9%12.7K417.7K-4.4K0.0013.31N/AN/A1103,0871,617
2013-05-31$9.14$10.0035.4%10.2%30.2%8.4%29.7%-7.0%1.2%8.2K569.7K-4.0K0.4117.18N/AN/A97403,0871,617