VNET Options History — December 2013

In December 2013, VNET traded between $18.40 and $23.52. ATM implied volatility averaged 46.9%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 9.3% (HV 20d: 56.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2013-12-18: Highest Volume — 1,089 contracts
  • 2013-12-26: Largest IV drop — 6.7% change
  • 2013-12-11: Highest IV Rank — 56.2%
  • 2013-12-16: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.84$18.40$23.52$18.40$23.52
Max Pain$19.52$17.50$20.00$17.50$20.00
ATM IV46.9%44.0%49.2%46.3%48.2%
Expected Move13.4%12.6%13.9%13.3%13.8%
HV 20d56.3%45.4%60.8%60.4%45.4%
HV 60d56.0%54.1%58.3%55.0%57.6%
IV Rank51.1%44.6%56.2%49.9%54.0%
IV Percentile58.9%40.1%69.4%57.1%69.4%
Term Structure0.9%-2.2%3.4%0.3%0.1%
VWIV45.0%36.3%50.6%46.2%42.5%
Skew 25d3.7%-12.9%18.6%-1.1%5.7%
Skew 10d9.5%-20.1%47.5%2.7%11.7%
Call IV 25d45.6%35.8%49.5%45.0%45.1%
Put IV 25d49.3%36.1%54.5%43.8%50.9%
Bid-Ask Spread %72.447.6291.417.6288.19
Gamma HHI0.600.470.890.490.47
Net GEX432.0K138.0K1.0M408.0K138.0K
Net DEX-15.4M-26.9M-7.2M-11.3M-8.7M
Net VEX-24.1K-32.9K-18.3K-32.9K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.001.100.400.01
Total Volume196.09501,089202149
Total OI15,831.3336,36519,81219,5736,394

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$18.40$17.5046.3%13.3%60.4%49.9%46.2%-1.1%0.3%408.0K-11.3M-32.9K0.407.62N/AN/A1445814,7804,793
2013-12-03$19.14$17.5047.7%13.7%59.5%53.0%45.0%9.3%-1.9%464.8K-14.2M-31.6K0.0141.10N/AN/A92114,6924,786
2013-12-04$19.77$17.5046.4%13.3%59.9%50.1%46.3%18.6%1.7%508.0K-17.1M-30.1K0.1631.47N/AN/A1282014,6624,786
2013-12-05$19.72$17.5045.9%13.1%59.5%48.8%43.6%-12.9%0.7%503.1K-17.1M-30.3K0.7831.53N/AN/A16713114,6624,787
2013-12-06$19.50$20.0046.8%13.2%57.4%50.9%0.0%1.4%1.8%490.3K-16.1M-30.5K0.0068.04N/AN/A0014,7144,913
2013-12-09$19.44$20.0047.8%13.2%56.6%53.1%0.0%3.1%3.2%510.2K-15.8M-28.1K0.0081.47N/AN/A142014,7144,913
2013-12-10$19.99$20.0046.8%13.5%57.2%50.9%0.0%4.2%1.8%537.8K-18.7M-27.0K0.4972.03N/AN/A412014,7194,913
2013-12-11$19.03$20.0049.2%13.7%60.3%56.2%50.6%2.4%2.0%503.5K-14.9M-27.2K1.0064.06N/AN/A101014,7384,912
2013-12-12$19.54$20.0047.3%13.6%60.8%51.9%0.0%2.9%0.4%561.4K-16.6M-25.0K0.0085.15N/AN/A01014,7294,912
2013-12-13$19.84$20.0046.3%13.3%59.8%49.8%0.0%3.7%1.6%608.0K-18.1M-23.7K0.0685.08N/AN/A85514,7264,912
2013-12-16$19.70$20.0048.6%13.9%54.7%55.0%47.7%6.1%1.6%638.8K-17.6M-22.3K0.0085.10N/AN/A60014,7004,909
2013-12-17$20.48$20.0048.2%13.8%56.6%53.9%48.5%8.3%1.9%743.3K-21.0M-21.2K0.1385.93N/AN/A4515814,6994,909
2013-12-18$21.85$20.0046.2%13.2%59.1%49.6%47.1%8.4%3.4%365.8K-26.2M-19.5K0.1785.79N/AN/A92716214,6314,967
2013-12-19$21.44$20.0048.1%13.8%57.7%53.7%46.6%2.3%1.2%356.0K-24.7M-20.0K0.0283.12N/AN/A260514,7605,052
2013-12-20$22.40$20.0045.0%12.9%59.0%46.8%36.3%4.9%2.1%1.0M-26.9M-19.4K0.0683.78N/AN/A8294614,7225,052
2013-12-23$22.11$20.0047.0%13.5%59.4%51.4%46.9%-1.8%-2.2%140.5K-7.2M-20.8K0.0085.59N/AN/A1505,2871,084
2013-12-24$23.22$20.0048.0%13.8%59.6%53.7%44.5%10.9%-2.1%143.9K-8.3M-19.2K1.1086.87N/AN/A20225,2811,084
2013-12-26$22.82$20.0044.8%12.9%46.9%46.5%40.3%2.3%1.4%139.9K-8.0M-19.7K0.2488.79N/AN/A2155,2791,106
2013-12-27$22.65$20.0044.0%12.6%45.7%44.6%42.9%3.4%0.8%139.6K-7.8M-20.0K0.2189.05N/AN/A1435,2781,109
2013-12-30$23.09$20.0046.5%13.3%45.8%50.2%0.0%-5.3%-0.6%144.4K-8.2M-19.2K0.1791.41N/AN/A615,2831,109
2013-12-31$23.52$20.0048.2%13.8%45.4%54.0%42.5%5.7%0.1%138.0K-8.7M-18.3K0.0188.19N/AN/A14725,2851,109