VNET Options History — August 2013

In August 2013, VNET traded between $12.74 and $14.42. ATM implied volatility averaged 44.3%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 5.9% (HV 20d: 50.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2013-08-13: Highest Volume — 933 contracts
  • 2013-08-13: Largest IV spike — 29.3% change
  • 2013-08-20: Highest IV Rank — 42.5%
  • 2013-08-13: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.60$12.74$14.42$13.21$13.55
Max Pain$10.11$10.00$12.50$10.00$10.00
ATM IV44.3%31.8%61.3%42.5%41.3%
Expected Move13.5%10.9%16.1%12.2%11.8%
HV 20d50.2%42.4%56.4%46.0%42.4%
HV 60d48.5%44.3%50.6%44.3%50.6%
IV Rank20.7%5.8%42.5%13.6%25.3%
IV Percentile33.7%6.3%74.6%25.4%24.6%
Term Structure0.6%-6.6%7.4%0.6%5.3%
VWIV47.1%35.7%53.9%42.0%40.2%
Skew 25d0.9%-10.3%11.5%11.5%-0.7%
Skew 10d4.6%-15.3%65.0%14.9%3.3%
Call IV 25d45.0%31.1%53.4%31.1%40.4%
Put IV 25d45.9%32.9%53.4%42.6%39.7%
Bid-Ask Spread %26.4410.7388.6613.7626.12
Gamma HHI0.480.430.540.430.46
Net GEX88.7K78.8K113.4K81.6K88.8K
Net DEX-5.4M-6.6M-4.2M-4.4M-5.5M
Net VEX-13.1K-14.8K-12.1K-12.9K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.0010.000.170.00
Total Volume220.5193379031
Total OI9,252.0918,5819,8858,5819,217

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$13.21$10.0042.5%12.2%46.0%13.6%42.0%11.5%0.6%81.6K-4.4M-12.9K0.1713.76N/AN/A6761146,2192,362
2013-08-02$14.42$12.5038.0%10.9%54.3%10.3%35.7%-3.5%7.0%99.4K-6.6M-12.1K0.0314.02N/AN/A299106,6722,347
2013-08-05$14.37$10.0045.4%13.7%54.4%15.7%47.4%9.8%-4.0%103.9K-6.5M-12.7K0.0631.57N/AN/A525346,7302,347
2013-08-06$13.81$10.0045.6%13.9%56.0%15.8%48.4%-1.9%-5.1%100.4K-5.6M-13.3K0.1415.13N/AN/A87126,7922,325
2013-08-07$13.68$10.0034.2%13.9%56.4%7.5%48.5%-0.5%0.4%88.8K-5.4M-12.8K0.0020.98N/AN/A4006,8112,327
2013-08-08$13.69$10.0031.8%14.1%56.3%5.8%49.2%4.6%-2.5%86.4K-5.4M-12.8K5.0014.27N/AN/A6306,8312,327
2013-08-09$13.78$10.0032.0%13.8%49.4%5.9%47.5%5.0%-2.1%89.8K-5.5M-12.7K0.0016.11N/AN/A12406,8352,297
2013-08-12$13.70$10.0039.2%13.7%49.4%11.1%0.0%4.0%-0.8%82.8K-5.5M-12.2K0.0010.99N/AN/A1306,8352,297
2013-08-13$13.61$10.0050.6%16.1%47.1%19.5%53.9%2.0%-3.2%81.7K-5.3M-12.7K0.3888.66N/AN/A6772566,8752,297
2013-08-14$14.06$10.0061.3%15.4%44.6%27.2%52.4%-1.3%-4.7%113.4K-6.5M-14.8K0.0022.84N/AN/A7907,4712,414
2013-08-15$13.69$10.0052.5%15.1%45.8%20.8%52.1%0.1%-1.0%95.4K-5.9M-14.7K0.2170.54N/AN/A2457,4652,396
2013-08-16$13.67$10.0053.5%15.3%45.8%21.5%52.4%5.4%-2.0%81.7K-5.8M-14.7K0.7910.73N/AN/A1271007,4742,397
2013-08-19$14.11$10.0052.0%14.9%46.6%20.5%51.9%9.9%-4.3%78.8K-6.2M-14.2K0.1028.44N/AN/A143146,6802,423
2013-08-20$13.99$10.0053.2%15.3%46.7%42.5%52.9%-1.9%-6.6%81.9K-6.1M-14.3K0.3018.47N/AN/A5241556,7772,436
2013-08-21$13.00$10.0043.5%12.5%51.6%28.5%42.8%-1.8%4.1%85.6K-4.6M-13.5K0.3032.55N/AN/A233716,8172,513
2013-08-22$12.74$10.0042.2%12.1%50.2%26.5%42.7%-10.3%7.4%83.3K-4.2M-13.1K2.2940.05N/AN/A7166,7622,535
2013-08-23$13.18$10.0044.8%12.8%51.7%30.3%47.3%-0.8%2.1%86.0K-4.7M-13.3K0.0033.94N/AN/A806,7562,533
2013-08-26$13.03$10.0042.2%12.1%51.8%26.6%43.9%-1.7%4.4%85.7K-4.5M-12.8K0.0118.80N/AN/A7616,7612,533
2013-08-27$13.17$10.0043.5%12.5%51.9%28.4%48.5%-3.8%6.3%84.7K-4.8M-12.5K0.0018.18N/AN/A106,7212,532
2013-08-28$13.13$10.0042.5%12.2%51.9%26.9%0.0%-1.9%6.2%85.6K-4.7M-12.4K10.0018.41N/AN/A101006,7212,532
2013-08-29$13.70$10.0042.0%12.0%53.1%26.2%42.5%-1.2%5.1%86.6K-5.6M-12.1K0.0217.02N/AN/A21856,7112,443
2013-08-30$13.55$10.0041.3%11.8%42.4%25.3%40.2%-0.7%5.3%88.8K-5.5M-12.1K0.0026.12N/AN/A3106,7742,443