VNET Options History — November 2013

In November 2013, VNET traded between $16.78 and $20.60. ATM implied volatility averaged 47.4%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 10.7% (HV 20d: 58.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2013-11-26: Highest Volume — 5,332 contracts
  • 2013-11-14: Largest IV spike — 63.2% change
  • 2013-11-25: Highest IV Rank — 68.3%
  • 2013-11-01: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.58$16.78$20.60$17.53$17.85
Max Pain$15.63$15.00$17.50$17.50$17.50
ATM IV47.4%25.6%60.0%55.5%43.3%
Expected Move14.8%12.4%15.9%15.9%12.4%
HV 20d58.1%47.8%67.3%65.9%60.3%
HV 60d52.4%50.0%56.4%51.0%54.8%
IV Rank44.3%2.4%68.3%45.8%43.2%
IV Percentile58.0%0.8%92.9%84.1%38.1%
Term Structure-2.3%-5.6%3.0%-5.6%3.0%
VWIV51.5%43.3%55.5%55.5%43.3%
Skew 25d0.6%-9.0%7.1%6.5%1.3%
Skew 10d3.8%-15.3%21.3%16.4%14.2%
Call IV 25d52.6%43.1%58.1%58.1%47.1%
Put IV 25d53.2%46.0%64.6%64.6%48.4%
Bid-Ask Spread %66.1715.4587.3683.9515.45
Gamma HHI0.440.390.490.430.46
Net GEX285.4K195.0K352.4K237.4K352.4K
Net DEX-10.2M-16.8M-3.4M-6.9M-9.0M
Net VEX-25.6K-33.4K-18.4K-29.0K-33.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.004.910.001.45
Total Volume693.75185,33233465
Total OI15,041.5513,24019,34314,80819,343

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$17.53$17.5055.5%15.9%65.9%45.8%55.5%6.5%-5.6%237.4K-6.9M-29.0K0.0083.95N/AN/A33011,0883,720
2013-11-04$18.42$15.0060.0%15.2%67.3%52.3%53.0%2.1%-1.8%266.4K-9.6M-28.9K0.0078.14N/AN/A40011,0833,720
2013-11-05$18.09$15.0055.0%14.1%61.8%45.0%0.0%-1.1%-0.6%268.6K-8.8M-28.4K0.3580.09N/AN/A311111,1033,720
2013-11-06$18.56$15.0046.1%14.5%61.7%32.1%50.7%0.1%0.5%276.1K-10.5M-27.7K2.6772.25N/AN/A4211211,1153,720
2013-11-07$17.81$15.0043.8%14.7%56.2%28.9%53.2%2.3%-1.9%246.6K-7.8M-27.5K0.0977.41N/AN/A1071011,1203,790
2013-11-08$18.36$15.0042.0%15.2%57.1%26.3%51.2%1.9%-1.3%273.6K-9.6M-27.1K1.0078.38N/AN/A9911,1723,794
2013-11-11$18.24$15.0025.6%15.1%56.6%2.4%54.1%2.5%-2.7%268.0K-9.7M-24.9K1.2979.30N/AN/A42955411,1783,802
2013-11-12$18.34$17.5028.2%15.4%56.5%6.3%54.1%2.0%-3.7%259.9K-10.0M-25.5K2.7879.30N/AN/A3610011,2154,068
2013-11-13$18.55$15.0033.1%15.1%55.9%13.4%50.2%2.9%-3.0%272.1K-10.5M-24.6K0.1778.12N/AN/A40711,2113,999
2013-11-14$19.23$15.0054.0%15.5%56.7%43.7%51.1%0.5%-4.4%278.6K-12.2M-23.9K0.6167.39N/AN/A18811511,1293,960
2013-11-15$20.54$15.0051.6%14.8%59.2%61.5%50.8%0.6%-2.6%290.8K-16.8M-22.0K0.0072.62N/AN/A1,372311,2543,925
2013-11-18$20.60$15.0051.5%14.8%59.1%61.3%51.1%0.5%-3.4%290.2K-15.6M-20.7K0.0158.85N/AN/A1,085610,5372,703
2013-11-19$19.80$15.0052.0%14.9%59.6%62.4%53.6%2.5%-2.2%313.8K-13.0M-23.7K0.7737.89N/AN/A17413410,8792,708
2013-11-20$19.07$15.0052.6%15.1%56.6%63.9%52.8%-1.6%-3.3%323.3K-11.1M-24.0K0.1179.44N/AN/A1481710,9992,835
2013-11-21$18.98$15.0053.5%15.3%56.3%65.7%53.5%-5.0%-3.9%320.4K-10.8M-23.3K0.1272.93N/AN/A1291610,9372,852
2013-11-22$18.90$15.0053.6%15.4%47.8%66.0%51.3%-9.0%-3.0%335.3K-10.9M-22.9K0.2787.36N/AN/A621711,0602,868
2013-11-25$18.40$15.0054.6%15.7%48.8%68.3%54.2%-6.4%-4.3%316.3K-9.2M-21.9K4.9180.41N/AN/A2291,12411,0862,868
2013-11-26$16.78$17.5047.7%13.7%57.5%52.8%50.0%1.7%-2.9%195.0K-3.4M-18.4K0.2915.66N/AN/A4,1291,20311,2613,684
2013-11-27$17.63$17.5044.4%12.7%60.3%45.6%44.4%7.1%1.4%323.6K-7.8M-33.4K0.0328.42N/AN/A1,6395014,8134,512
2013-11-29$17.85$17.5043.3%12.4%60.3%43.2%43.3%1.3%3.0%352.4K-9.0M-33.2K1.4515.45N/AN/A19027514,8134,530