VNET Options History — January 2014

In January 2014, VNET traded between $20.82 and $24.01. ATM implied volatility averaged 48.1%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 5.3% (HV 20d: 53.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.51.

Notable Days

  • 2014-01-28: Highest Volume — 3,057 contracts
  • 2014-01-15: Largest IV drop — 15.3% change
  • 2014-01-14: Highest IV Rank — 66.2%
  • 2014-01-27: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.64$20.82$24.01$23.32$22.57
Max Pain$21.90$20.00$22.50$20.00$22.50
ATM IV48.1%45.4%53.7%47.9%47.5%
Expected Move13.7%13.0%15.0%13.7%13.6%
HV 20d53.5%44.8%67.6%44.8%67.2%
HV 60d55.4%51.6%58.5%57.3%57.4%
IV Rank53.9%47.8%66.2%53.4%52.5%
IV Percentile66.1%48.0%84.9%67.1%65.9%
Term Structure2.7%-0.5%7.0%0.3%7.0%
VWIV48.7%38.9%55.1%46.9%55.1%
Skew 25d5.0%-0.9%11.4%7.3%7.7%
Skew 10d11.9%-7.8%24.3%15.1%6.2%
Call IV 25d47.5%41.8%51.9%46.3%47.9%
Put IV 25d52.5%48.4%56.9%53.7%55.6%
Bid-Ask Spread %69.0056.5887.5884.6176.65
Gamma HHI0.430.280.530.460.28
Net GEX165.2K123.2K242.5K145.8K235.6K
Net DEX-8.1M-10.3M-5.2M-8.5M-9.9M
Net VEX-22.4K-43.3K-15.8K-18.2K-42.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.0011.900.000.01
Total Volume498.8103,0571372,024
Total OI7,654.9056,18812,1396,40412,134

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$23.32$20.0047.9%13.7%44.8%53.4%46.9%7.3%0.3%145.8K-8.5M-18.2K0.0084.61N/AN/A13705,2931,111
2014-01-03$21.83$20.0046.4%13.3%51.4%50.1%51.8%-0.9%1.3%155.4K-7.1M-19.2K2.7887.58N/AN/A411145,3901,111
2014-01-06$21.80$22.5049.9%13.8%51.3%57.8%0.0%3.2%-0.5%154.5K-6.9M-18.8K0.0061.39N/AN/A005,3961,169
2014-01-07$23.01$22.5048.4%13.8%53.8%54.5%48.5%6.7%-0.2%161.5K-8.2M-17.4K1.1059.02N/AN/A29325,3961,169
2014-01-08$23.28$22.5049.1%13.9%53.6%56.0%0.0%4.2%0.9%153.5K-8.5M-17.6K9.0057.70N/AN/A195,3891,201
2014-01-09$23.03$22.5047.5%13.5%53.6%52.5%0.0%2.9%2.4%150.6K-8.3M-18.3K8.0056.58N/AN/A2165,3891,208
2014-01-10$22.89$22.5046.1%13.3%49.6%49.4%0.0%9.8%3.5%153.9K-8.1M-18.1K0.0062.27N/AN/A105,3871,223
2014-01-13$22.21$22.5052.3%13.9%51.0%63.0%52.8%1.8%2.6%158.7K-7.3M-17.9K7.2561.78N/AN/A4295,3881,223
2014-01-14$22.03$22.5053.7%13.8%51.2%66.2%0.0%3.2%2.3%161.5K-7.0M-17.5K0.0064.93N/AN/A1505,3881,233
2014-01-15$23.12$22.5045.5%13.4%53.1%47.9%48.3%9.5%2.7%174.1K-8.3M-16.5K0.7771.70N/AN/A13105,3841,233
2014-01-16$24.01$22.5045.4%13.0%53.1%47.8%47.8%6.2%2.3%150.6K-9.3M-15.8K0.0866.01N/AN/A130115,3941,243
2014-01-17$23.56$20.0047.2%13.5%49.4%51.8%46.8%2.0%4.0%146.1K-9.2M-16.3K0.3068.42N/AN/A61185,4841,254
2014-01-21$23.13$20.0047.5%13.6%49.3%52.4%47.3%3.9%2.7%144.3K-8.1M-16.3K11.9071.12N/AN/A425005,213975
2014-01-22$22.41$20.0046.4%13.3%48.5%49.9%52.7%5.3%3.5%139.9K-7.0M-18.6K7.7366.64N/AN/A443405,2141,475
2014-01-23$22.06$22.5046.2%13.2%48.6%49.5%38.9%1.5%4.6%124.0K-6.3M-20.4K0.6768.78N/AN/A75505,2401,815
2014-01-24$21.41$22.5047.3%13.6%46.0%52.0%47.8%1.8%3.4%123.2K-5.6M-20.5K0.0372.68N/AN/A721205,3081,844
2014-01-27$20.82$22.5052.2%15.0%46.6%62.9%50.5%5.4%2.3%157.9K-5.2M-21.4K0.5370.45N/AN/A1,8781,0035,9431,864
2014-01-28$23.65$22.5049.7%14.2%66.0%57.3%48.2%11.4%2.9%197.8K-10.3M-33.6K0.0076.42N/AN/A3,05077,5422,863
2014-01-29$22.64$22.5048.1%13.8%67.6%53.8%50.3%7.1%2.8%237.0K-10.0M-43.3K0.0569.57N/AN/A3929,2582,870
2014-01-30$22.58$22.5046.8%13.4%67.2%51.0%46.2%4.6%6.4%242.5K-10.3M-42.9K0.0074.69N/AN/A709,2672,872
2014-01-31$22.57$22.5047.5%13.6%67.2%52.5%55.1%7.7%7.0%235.6K-9.9M-42.6K0.0176.65N/AN/A2,002229,2622,872