VNET Options History — March 2014

In March 2014, VNET traded between $25.45 and $31.55. ATM implied volatility averaged 53.5%, placing in the 65.8% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 10.8% (HV 20d: 64.3%). Max pain ranged from $17.50 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2014-03-18: Highest Volume — 2,325 contracts
  • 2014-03-07: Largest IV drop — 21.7% change
  • 2014-03-06: Highest IV Rank — 97.4%
  • 2014-03-06: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.16$25.45$31.55$26.39$28.70
Max Pain$27.74$17.50$30.00$17.50$30.00
ATM IV53.5%46.8%67.8%61.8%52.2%
Expected Move15.4%14.0%19.4%17.7%15.0%
HV 20d64.3%45.3%79.9%45.3%79.9%
HV 60d59.5%53.1%64.9%53.1%64.9%
IV Rank65.8%50.8%97.4%84.2%63.0%
IV Percentile80.6%58.7%99.6%98.8%79.4%
Term Structure1.8%-10.8%7.6%-6.1%7.2%
VWIV54.0%46.6%68.6%65.7%52.2%
Skew 25d-0.2%-6.3%5.2%4.4%2.1%
Skew 10d2.0%-7.9%18.1%18.1%3.6%
Call IV 25d55.0%49.3%69.7%59.4%53.6%
Put IV 25d54.7%51.0%69.5%63.8%55.7%
Bid-Ask Spread %75.2563.0991.0082.3281.66
Gamma HHI0.310.200.570.370.29
Net GEX110.6K-353.3K187.2K167.6K122.9K
Net DEX-16.5M-26.8M-4.1M-16.2M-7.8M
Net VEX-44.4K-49.0K-40.8K-42.4K-43.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.025.791.200.51
Total Volume524.381372,325418109
Total OI14,172.85710,51216,97313,31511,186

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$26.39$17.5061.8%17.7%45.3%84.2%65.7%4.4%-6.1%167.6K-16.2M-42.4K1.2082.32N/AN/A1902289,4273,888
2014-03-04$29.33$20.0059.8%17.1%54.6%79.7%54.5%5.2%-5.4%119.8K-21.1M-41.9K0.2991.00N/AN/A307909,5554,059
2014-03-05$27.73$20.0064.2%18.4%59.4%89.6%64.1%3.9%-6.2%141.8K-18.9M-42.6K0.0779.30N/AN/A415309,6774,121
2014-03-06$27.65$20.0067.8%19.4%59.7%97.4%68.6%-0.2%-10.8%140.1K-19.5M-42.8K0.5471.72N/AN/A7103809,9854,150
2014-03-07$26.65$30.0053.0%14.8%61.7%64.7%51.0%-0.3%1.4%150.1K-17.8M-43.8K0.7763.09N/AN/A1,22394510,4504,406
2014-03-10$27.89$30.0051.7%14.4%62.8%61.7%46.6%2.3%2.6%154.1K-19.4M-48.8K0.2068.95N/AN/A3777410,7215,159
2014-03-11$28.18$30.0051.3%14.4%61.3%60.8%50.7%-0.2%1.1%171.0K-19.6M-48.2K0.5670.95N/AN/A633510,7945,182
2014-03-12$27.41$25.0046.8%15.0%62.5%50.8%52.6%-0.2%0.8%172.0K-18.1M-49.0K1.3670.93N/AN/A10714610,8175,147
2014-03-13$27.17$30.0053.2%15.3%62.4%65.1%52.4%-1.0%1.0%123.6K-18.8M-45.6K0.0272.00N/AN/A467810,8275,244
2014-03-14$26.84$30.0052.4%15.0%59.5%63.4%52.3%-0.1%2.4%122.3K-18.3M-46.6K0.1071.99N/AN/A82810,9395,247
2014-03-17$27.80$30.0051.7%14.8%60.2%61.7%51.0%-2.0%1.5%151.3K-19.1M-46.9K0.2074.91N/AN/A1292610,8795,254
2014-03-18$30.77$30.0051.2%14.7%65.8%60.6%50.6%1.6%1.6%187.2K-25.5M-44.3K0.3371.67N/AN/A1,75257310,8935,241
2014-03-19$31.55$30.0048.8%14.0%66.0%55.3%48.9%2.8%4.1%161.8K-26.8M-45.9K0.6874.18N/AN/A20413911,4325,541
2014-03-20$30.31$30.0050.9%14.6%67.3%59.9%55.4%-4.3%2.9%77.1K-23.4M-40.8K0.1277.46N/AN/A6988710,7795,558
2014-03-21$30.00$30.0049.7%14.2%66.1%57.3%51.7%-0.8%5.0%-353.3K-23.0M-43.8K1.7479.01N/AN/A11019111,3505,604
2014-03-24$29.22$30.0051.5%14.8%66.9%61.2%52.8%-5.0%6.3%155.3K-9.2M-43.2K1.6477.09N/AN/A14236,6213,891
2014-03-25$28.07$30.0050.6%14.5%68.9%59.4%53.0%-0.6%7.2%122.9K-7.6M-43.2K5.7970.86N/AN/A673886,6243,911
2014-03-26$27.41$30.0050.7%14.5%68.9%59.5%55.6%-3.2%7.6%98.9K-6.6M-44.0K0.2573.18N/AN/A97246,6834,275
2014-03-27$25.45$30.0052.0%14.9%74.1%62.5%51.8%-6.3%5.7%53.2K-4.1M-42.0K1.5281.23N/AN/A1392116,6894,291
2014-03-28$26.78$30.0052.5%15.0%76.3%63.5%52.4%-3.2%7.4%83.4K-5.9M-43.8K0.1176.77N/AN/A132146,7514,382
2014-03-31$28.70$30.0052.2%15.0%79.9%63.0%52.2%2.1%7.2%122.9K-7.8M-43.6K0.5181.66N/AN/A72376,7984,388