VNET Options History — July 2013

In July 2013, VNET traded between $11.46 and $13.17. ATM implied volatility averaged 41.9%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 5.7% (HV 20d: 47.6%). 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 4 of 22 days. Put/call ratio averaged 2.51.

Notable Days

  • 2013-07-17: Highest Volume — 845 contracts
  • 2013-07-09: Largest IV spike — 50.1% change
  • 2013-07-18: Highest IV Rank — 19.3%
  • 2013-07-18: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.46$11.46$13.17$11.57$12.84
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV41.9%25.6%50.4%28.2%35.7%
Expected Move12.6%8.1%14.4%8.1%10.2%
HV 20d47.6%41.1%53.9%52.7%45.9%
HV 60d41.2%37.7%44.3%38.4%44.1%
IV Rank13.1%1.3%19.3%3.1%8.6%
IV Percentile25.9%0.8%46.0%2.0%9.9%
Term Structure-2.0%-7.3%20.0%20.0%5.8%
VWIV44.5%35.7%50.9%39.4%35.7%
Skew 25d2.6%-9.4%13.4%13.4%3.5%
Skew 10d3.7%-15.1%20.2%19.3%4.8%
Call IV 25d41.5%32.0%50.1%36.9%32.2%
Put IV 25d44.1%32.0%53.8%50.3%35.7%
Bid-Ask Spread %16.096.1856.356.1818.36
Gamma HHI0.560.390.820.580.46
Net GEX88.3K62.9K175.7K62.9K78.6K
Net DEX-3.6M-5.5M-2.0M-2.0M-3.9M
Net VEX-13.0K-15.0K-12.1K-12.8K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.0039.500.001.47
Total Volume172.773084510143
Total OI8,340.8647,4549,7807,4548,493

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$11.57$10.0028.2%8.1%52.7%3.1%0.0%13.4%20.0%62.9K-2.0M-12.8K0.006.18N/AN/A1004,9422,512
2013-07-02$11.93$10.0039.3%11.3%52.9%11.2%39.4%-6.1%4.2%71.0K-2.5M-12.9K0.0212.09N/AN/A729154,9522,512
2013-07-03$11.73$10.0039.0%11.2%53.9%11.0%0.0%-4.2%5.2%76.6K-2.4M-13.3K0.0014.79N/AN/A5005,3792,526
2013-07-05$11.74$10.0041.7%12.8%53.9%13.0%0.0%12.3%-1.1%78.3K-2.5M-13.2K0.0010.44N/AN/A1505,4292,526
2013-07-08$11.73$10.0025.6%13.0%41.1%1.3%0.0%11.6%-2.3%77.5K-2.3M-12.3K0.0014.67N/AN/A005,4242,526
2013-07-09$11.46$10.0038.4%13.2%42.2%10.6%0.0%12.2%-1.8%68.2K-2.0M-12.5K39.5010.91N/AN/A2795,4242,526
2013-07-10$11.65$10.0031.5%13.1%42.5%5.6%0.0%12.6%-2.8%74.8K-2.2M-12.5K0.0012.06N/AN/A005,4262,510
2013-07-11$11.86$10.0043.7%12.5%42.8%14.4%43.7%12.9%-4.2%90.8K-2.5M-12.2K0.0612.03N/AN/A203125,4262,510
2013-07-12$12.84$10.0043.2%12.4%49.7%14.1%41.2%-2.9%-3.8%125.0K-4.3M-12.4K0.1117.38N/AN/A489555,5662,522
2013-07-15$12.98$10.0045.9%13.2%49.1%16.0%40.6%-0.6%-5.7%105.7K-4.8M-12.5K0.0814.83N/AN/A184145,9542,577
2013-07-16$12.48$10.0046.6%13.4%46.5%16.5%45.2%5.5%-6.0%175.7K-3.9M-12.6K0.0313.86N/AN/A518156,1162,580
2013-07-17$13.17$10.0048.2%13.8%50.0%17.7%47.9%-3.4%-7.3%86.9K-5.2M-13.7K0.0112.77N/AN/A83966,4342,595
2013-07-18$13.09$10.0050.4%14.4%49.4%19.3%50.9%-2.3%-6.2%97.5K-5.5M-15.0K1.9320.64N/AN/A15297,1802,598
2013-07-19$13.05$10.0048.0%13.8%47.2%17.6%47.9%-4.5%-6.8%112.9K-5.4M-14.5K1.2515.52N/AN/A40507,1792,601
2013-07-22$12.89$10.0048.5%13.9%47.4%17.9%48.5%-3.0%-5.8%80.8K-3.9M-13.9K0.0019.19N/AN/A606,1362,200
2013-07-23$13.06$10.0046.1%13.2%43.9%16.2%44.3%-0.5%-3.8%82.6K-4.1M-13.5K0.0056.35N/AN/A4506,1392,205
2013-07-24$12.50$10.0043.0%12.3%46.4%13.9%48.8%-9.4%-4.3%76.6K-3.4M-12.9K4.758.38N/AN/A8386,1252,205
2013-07-25$12.99$10.0045.5%13.0%47.5%15.7%48.1%-3.5%-5.9%81.2K-4.1M-12.9K0.3118.99N/AN/A45146,1252,243
2013-07-26$12.91$10.0047.6%13.7%47.3%17.3%0.0%-5.3%-7.1%80.3K-3.9M-12.9K0.5019.91N/AN/A20106,1272,247
2013-07-29$12.83$10.0040.9%11.7%47.1%12.4%40.8%9.5%-0.3%80.0K-3.9M-12.7K0.0012.95N/AN/A806,1452,257
2013-07-30$12.78$10.0043.8%12.5%46.9%14.5%0.0%9.1%-3.9%79.5K-3.7M-12.1K0.2711.78N/AN/A75206,1432,257
2013-07-31$12.84$10.0035.7%10.2%45.9%8.6%35.7%3.5%5.8%78.6K-3.9M-12.4K1.4718.36N/AN/A58856,2162,277