VNET Options History — June 2013

In June 2013, VNET traded between $9.36 and $12.01. ATM implied volatility averaged 39.9%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 6.4% (HV 20d: 46.3%). 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 13 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2013-06-17: Highest Volume — 2,962 contracts
  • 2013-06-26: Largest IV spike — 52.3% change
  • 2013-06-24: Highest IV Rank — 16.9%
  • 2013-06-24: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.96$9.36$12.01$9.36$11.33
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV39.9%24.0%47.1%44.3%31.5%
Expected Move11.7%6.9%13.5%12.7%9.0%
HV 20d46.3%31.2%53.8%31.2%52.8%
HV 60d34.2%26.8%38.3%27.6%38.3%
IV Rank11.6%0.1%16.9%14.8%5.5%
IV Percentile16.7%0.4%34.5%19.8%3.6%
Term Structure3.6%-3.4%21.9%-2.7%18.6%
VWIV43.7%41.1%46.6%44.3%46.6%
Skew 25d8.5%-6.5%80.4%-6.0%3.9%
Skew 10d23.5%-6.5%117.9%-5.9%-3.7%
Call IV 25d39.7%22.7%46.6%44.0%23.8%
Put IV 25d48.2%25.6%120.9%38.0%27.7%
Bid-Ask Spread %17.396.3626.8012.166.36
Gamma HHI0.680.540.940.580.54
Net GEX54.0K12.2K159.8K12.2K59.1K
Net DEX-1.3M-3.1M495.8K495.8K-1.8M
Net VEX-8.6K-13.4K-4.2K-4.2K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.007.690.007.69
Total Volume419.402,9624113
Total OI6,715.44,84010,0544,8407,369

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$9.36$10.0044.3%12.7%31.2%14.8%44.3%-6.0%-2.7%12.2K495.8K-4.2K0.0012.16N/AN/A403,1841,656
2013-06-04$9.60$10.0043.0%12.3%32.2%13.9%43.0%79.0%-0.7%18.1K368.1K-4.4K0.0012.82N/AN/A203,1841,656
2013-06-05$9.70$10.0043.6%12.5%32.2%14.4%0.0%0.9%-2.9%20.5K272.8K-4.5K0.0011.41N/AN/A003,1851,656
2013-06-06$9.81$10.0041.1%11.8%31.8%12.6%41.1%80.4%0.4%24.0K222.4K-4.5K0.0011.71N/AN/A1003,1851,656
2013-06-07$10.87$10.0041.4%12.2%46.4%12.8%43.1%4.8%2.7%40.3K-676.8K-5.1K0.1825.38N/AN/A1,0211793,1851,656
2013-06-10$10.89$10.0036.0%12.4%46.5%8.8%45.8%-2.7%1.3%38.6K-778.3K-5.5K0.2913.80N/AN/A129373,8831,783
2013-06-11$10.95$10.0030.9%11.9%45.7%5.1%45.5%-0.2%5.0%15.2K-795.1K-5.0K0.0016.93N/AN/A5203,8001,820
2013-06-12$10.99$10.0045.8%12.2%45.7%15.9%43.3%-0.3%1.0%49.3K-836.3K-5.7K0.4221.22N/AN/A166703,8201,820
2013-06-13$11.35$10.0043.0%12.3%46.4%13.9%42.3%-1.5%-1.2%40.8K-1.1M-5.6K0.2626.72N/AN/A6991833,9801,881
2013-06-14$11.18$10.0040.6%11.6%47.0%12.1%43.7%-1.6%5.0%29.1K-1.2M-6.4K0.0223.38N/AN/A588104,4582,026
2013-06-17$11.95$10.0042.8%12.3%50.4%13.7%41.7%-4.7%-1.8%149.6K-2.7M-8.1K0.5613.35N/AN/A1,9031,0595,0051,995
2013-06-18$12.01$10.0042.0%12.0%49.9%13.2%0.0%-3.6%-0.5%159.8K-3.1M-11.9K0.0014.33N/AN/A26606,2792,732
2013-06-19$11.80$10.0040.6%11.6%50.8%12.2%0.0%-6.5%0.6%121.4K-2.7M-11.5K0.0015.24N/AN/A29906,4292,732
2013-06-20$11.39$10.0036.1%10.4%51.2%8.9%0.0%5.2%4.4%42.0K-2.3M-11.8K0.1525.92N/AN/A9031376,6232,732
2013-06-21$11.31$10.0046.6%13.4%51.2%16.5%46.6%1.6%-3.4%51.0K-2.6M-13.4K0.4618.51N/AN/A65307,2862,768
2013-06-24$10.85$10.0047.1%13.5%53.0%16.9%0.0%0.6%4.2%44.1K-1.2M-12.6K0.0024.60N/AN/A004,7422,349
2013-06-25$11.27$10.0030.6%8.8%53.8%4.9%0.0%18.3%19.5%52.2K-1.6M-12.8K0.1920.28N/AN/A335654,7422,349
2013-06-26$11.17$10.0046.7%13.4%53.8%16.6%0.0%-0.3%0.1%52.6K-1.6M-13.1K1.9326.80N/AN/A14274,9302,414
2013-06-27$11.45$10.0024.0%6.9%53.7%0.1%0.0%2.9%21.9%59.4K-1.9M-12.5K0.006.86N/AN/A2204,9442,414
2013-06-28$11.33$10.0031.5%9.0%52.8%5.5%0.0%3.9%18.6%59.1K-1.8M-12.9K7.696.36N/AN/A131004,9552,414