VNET Options History — April 2014

In April 2014, VNET traded between $23.68 and $30.00. ATM implied volatility averaged 59.9%, placing in the 79.9% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 14.9% (HV 20d: 74.8%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 7.53.

Notable Days

  • 2014-04-15: Highest Volume — 947 contracts
  • 2014-04-10: Largest IV spike — 15.0% change
  • 2014-04-28: Highest IV Rank — 94.8%
  • 2014-04-28: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.72$23.68$30.00$30.00$24.02
Max Pain$26.31$22.50$30.00$30.00$25.00
ATM IV59.9%50.3%66.6%50.3%61.4%
Expected Move17.6%14.4%19.1%14.4%17.6%
HV 20d74.8%68.6%81.1%72.2%68.6%
HV 60d67.0%63.8%69.6%63.8%66.6%
IV Rank79.9%58.7%94.8%58.7%83.3%
IV Percentile91.6%69.4%99.2%69.4%93.3%
Term Structure-3.3%-7.3%7.7%7.7%-3.1%
VWIV60.3%45.3%68.1%51.4%62.1%
Skew 25d0.1%-7.1%8.3%4.3%-1.2%
Skew 10d-4.1%-27.9%15.8%7.5%1.4%
Call IV 25d62.3%46.8%69.6%52.8%55.0%
Put IV 25d62.4%46.7%71.1%57.1%53.8%
Bid-Ask Spread %73.5337.9084.5084.5084.19
Gamma HHI0.220.190.330.330.21
Net GEX60.9K4.9K157.1K157.1K27.2K
Net DEX-4.5M-9.6M-1.8M-9.6M-2.5M
Net VEX-39.3K-43.5K-36.6K-43.5K-37.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.530.0080.000.161.04
Total Volume221.8117947220167
Total OI11,450.90510,44312,14811,20112,023

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$30.00$30.0050.3%14.4%72.2%58.7%51.4%4.3%7.7%157.1K-9.6M-43.5K0.1684.50N/AN/A189316,8184,383
2014-04-02$28.34$30.0051.1%14.6%72.3%60.3%50.7%2.9%4.4%116.7K-7.6M-43.3K1.2280.10N/AN/A1461786,9254,414
2014-04-03$26.18$30.0051.2%14.7%77.7%60.7%54.9%-7.0%5.3%60.5K-4.7M-41.5K0.0537.90N/AN/A15277,0394,498
2014-04-04$25.60$30.0051.2%16.2%77.0%60.5%59.1%0.5%-1.6%50.2K-4.0M-41.8K0.0071.87N/AN/A10307,0994,503
2014-04-07$24.57$30.0055.9%18.6%76.1%70.9%64.1%5.7%-5.3%27.8K-2.6M-39.2K0.5867.93N/AN/A99577,1614,403
2014-04-08$25.07$30.0054.0%17.5%76.4%66.8%60.6%-2.5%-3.4%38.3K-3.6M-40.6K0.8772.15N/AN/A15137,1974,422
2014-04-09$26.21$25.0053.7%17.5%78.0%66.1%45.3%4.8%-4.6%58.2K-4.7M-41.4K0.0073.28N/AN/A1707,2084,424
2014-04-10$25.74$25.0061.7%17.7%78.1%84.0%62.2%-2.3%-2.8%51.0K-4.7M-39.6K10.5069.51N/AN/A2217,2144,424
2014-04-11$24.18$25.0063.1%18.1%80.9%87.1%61.8%-7.1%-3.9%24.1K-2.6M-38.5K0.0773.04N/AN/A8967,2134,441
2014-04-14$25.09$25.0064.1%18.4%81.1%89.4%63.8%-5.0%-5.9%22.2K-3.6M-38.7K1.1677.26N/AN/A55647,2584,440
2014-04-15$24.33$25.0064.8%18.6%71.0%90.8%68.0%3.4%-4.8%15.1K-2.4M-37.8K3.4968.32N/AN/A2117367,2554,494
2014-04-16$26.10$25.0063.3%18.1%75.7%87.4%47.4%4.4%-4.7%49.7K-5.0M-40.4K1.3269.55N/AN/A1311737,3294,819
2014-04-17$26.20$25.0062.6%18.0%75.0%86.0%63.6%3.3%-5.1%81.7K-5.1M-39.6K0.2776.60N/AN/A3087,3274,791
2014-04-21$26.57$25.0063.7%18.3%75.3%88.5%63.8%3.0%-5.4%101.2K-5.7M-38.2K0.0475.60N/AN/A4626,2634,180
2014-04-22$26.91$25.0065.0%18.6%75.2%91.4%63.3%0.8%-7.1%110.6K-6.2M-38.2K1.8873.39N/AN/A16306,3014,179
2014-04-23$25.94$25.0063.2%18.1%75.0%87.3%63.1%-2.0%-5.7%98.9K-5.3M-36.8K0.7074.65N/AN/A1076,2984,209
2014-04-24$25.43$25.0061.5%17.6%74.9%83.5%63.0%-4.1%-4.7%90.2K-4.7M-36.6K80.0074.58N/AN/A108006,3084,208
2014-04-25$24.57$25.0063.1%18.1%71.1%87.1%63.3%-3.8%-5.9%45.4K-3.3M-37.2K54.0078.99N/AN/A115946,3124,901
2014-04-28$23.68$22.5066.6%19.1%69.3%94.8%65.5%-4.9%-7.3%4.9K-1.8M-37.1K0.0478.03N/AN/A329126,3235,436
2014-04-29$25.37$25.0065.9%18.9%69.3%93.3%68.1%8.3%-4.8%48.7K-4.0M-38.2K0.8682.76N/AN/A49426,5815,448
2014-04-30$24.02$25.0061.4%17.6%68.6%83.3%62.1%-1.2%-3.1%27.2K-2.5M-37.8K1.0484.19N/AN/A82856,6175,406