VNET Options History — September 2013

In September 2013, VNET traded between $13.83 and $16.49. ATM implied volatility averaged 44.4%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 2.2% (HV 20d: 46.6%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.16.

Notable Days

  • 2013-09-16: Highest Volume — 1,828 contracts
  • 2013-09-05: Largest IV spike — 46.6% change
  • 2013-09-18: Highest IV Rank — 38.9%
  • 2013-09-18: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.53$13.83$16.49$13.96$16.49
Max Pain$12.38$10.00$15.00$10.00$15.00
ATM IV44.4%30.9%50.7%43.0%44.3%
Expected Move13.0%8.9%14.5%12.3%12.7%
HV 20d46.6%39.9%52.5%44.0%39.9%
HV 60d47.4%46.2%49.4%46.7%46.3%
IV Rank29.7%10.2%38.9%27.7%29.5%
IV Percentile39.7%4.4%61.9%31.3%38.9%
Term Structure2.7%-1.4%20.0%-1.4%3.6%
VWIV45.9%40.6%49.3%40.6%45.9%
Skew 25d0.7%-13.8%7.9%-13.8%6.9%
Skew 10d6.7%-10.8%25.0%-10.8%12.3%
Call IV 25d42.9%22.6%48.2%43.3%41.9%
Put IV 25d43.7%25.9%52.7%29.5%48.8%
Bid-Ask Spread %15.328.9231.9212.1012.73
Gamma HHI0.590.460.850.460.68
Net GEX130.1K89.0K233.5K91.6K154.2K
Net DEX-7.6M-10.3M-3.5M-6.1M-5.0M
Net VEX-14.7K-19.5K-9.5K-11.3K-19.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.430.381.43
Total Volume444.3501,82876241
Total OI9,4776,68412,3759,1907,763

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$13.96$10.0043.0%12.3%44.0%27.7%40.6%-13.8%-1.4%91.6K-6.1M-11.3K0.3812.10N/AN/A55216,7472,443
2013-09-04$13.83$10.0030.9%8.9%41.8%10.2%0.0%3.3%20.0%89.0K-5.9M-11.2K0.008.92N/AN/A006,7642,452
2013-09-05$14.82$10.0045.4%13.0%48.2%31.1%45.2%-3.5%-0.6%95.0K-7.5M-10.6K0.0615.02N/AN/A707416,7642,452
2013-09-06$14.98$12.5043.0%13.0%48.3%27.7%0.0%5.2%2.8%98.5K-7.9M-10.6K0.0022.24N/AN/A9607,0392,493
2013-09-09$15.84$12.5040.7%13.1%51.6%24.4%0.0%7.9%0.8%102.2K-9.3M-9.5K0.0420.48N/AN/A1,158507,0252,493
2013-09-10$15.97$12.5041.1%13.3%51.4%24.9%46.9%3.3%2.3%108.1K-10.0M-12.4K0.3911.03N/AN/A4831897,9302,443
2013-09-11$15.72$12.5041.4%12.8%51.8%25.4%0.0%-4.4%4.0%122.2K-9.6M-12.6K0.009.86N/AN/A007,9372,371
2013-09-12$15.32$12.5044.2%12.7%52.2%29.4%0.0%3.6%4.8%138.0K-8.9M-12.6K0.0023.90N/AN/A207,9292,371
2013-09-13$15.80$12.5048.3%13.8%51.6%35.3%48.5%5.4%-0.2%124.5K-9.8M-12.2K0.0022.70N/AN/A79707,9302,371
2013-09-16$15.60$12.5049.3%14.1%52.0%36.7%49.3%7.3%0.5%140.1K-9.9M-13.2K0.0020.64N/AN/A1,82808,4172,371
2013-09-17$15.18$12.5046.8%13.4%52.5%33.2%0.0%4.5%1.8%228.8K-9.7M-17.4K0.0814.58N/AN/A157129,9212,371
2013-09-18$15.32$12.5050.7%14.5%52.3%38.9%46.3%-4.3%-0.6%233.5K-10.0M-17.4K0.0031.92N/AN/A54209,9932,382
2013-09-19$15.64$12.5047.9%13.7%43.7%34.8%0.0%-4.4%1.3%142.3K-10.0M-17.5K0.0010.93N/AN/A24819,4842,362
2013-09-20$15.88$12.5045.6%13.1%42.3%31.5%46.8%-0.3%1.1%127.1K-10.3M-17.5K0.0511.88N/AN/A526259,4182,361
2013-09-23$15.64$12.5046.3%13.3%42.3%32.5%0.0%-2.9%2.0%111.8K-3.5M-16.9K0.0012.69N/AN/A005,2631,421
2013-09-24$15.87$12.5045.0%12.9%41.7%30.6%47.9%-3.9%3.7%109.3K-3.8M-17.4K0.0010.90N/AN/A5005,2631,421
2013-09-25$16.20$12.5045.7%13.1%41.9%31.7%46.2%0.4%4.0%114.5K-4.3M-17.3K0.0410.05N/AN/A690315,3131,421
2013-09-26$16.28$12.5044.4%12.7%41.6%29.7%45.2%2.3%1.1%133.1K-4.8M-18.3K0.0412.22N/AN/A14355,8531,422
2013-09-27$16.16$15.0043.8%12.6%40.3%28.9%42.4%2.0%3.7%137.4K-4.6M-19.2K0.1511.64N/AN/A6891005,9411,425
2013-09-30$16.49$15.0044.3%12.7%39.9%29.5%45.9%6.9%3.6%154.2K-5.0M-19.5K1.4312.73N/AN/A991426,2581,505