VNET Options History — May 2014

In May 2014, VNET traded between $23.06 and $26.96. ATM implied volatility averaged 55.3%, placing in the 70.7% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 6.8% (HV 20d: 62.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 7.31.

Notable Days

  • 2014-05-23: Highest Volume — 1,145 contracts
  • 2014-05-12: Largest IV spike — 18.5% change
  • 2014-05-12: Highest IV Rank — 90.3%
  • 2014-05-12: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.35$23.06$26.96$24.20$26.96
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV55.3%48.5%64.6%55.3%51.8%
Expected Move16.2%13.9%17.5%15.9%14.9%
HV 20d62.1%55.2%69.4%66.7%56.0%
HV 60d67.6%64.8%69.7%66.6%64.8%
IV Rank70.7%56.0%90.3%69.8%63.6%
IV Percentile79.7%53.2%97.6%84.9%64.7%
Term Structure-1.2%-5.8%7.3%4.0%1.0%
VWIV56.3%48.2%64.8%56.2%51.2%
Skew 25d3.4%-2.2%15.7%2.0%2.5%
Skew 10d5.9%-15.4%26.2%-2.8%18.5%
Call IV 25d55.4%43.9%62.4%51.3%49.5%
Put IV 25d58.8%47.9%64.7%53.3%52.0%
Bid-Ask Spread %80.0870.5986.3486.3484.57
Gamma HHI0.240.210.290.220.26
Net GEX64.8K-23.2K116.5K36.3K102.2K
Net DEX-4.0M-6.2M-639.5K-2.8M-5.7M
Net VEX-31.5K-37.8K-25.8K-37.8K-26.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.310.00102.001.802.25
Total Volume198.04821,145154224
Total OI12,204.85711,43212,89312,17312,893

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$24.20$25.0055.3%15.9%66.7%69.8%56.2%2.0%4.0%36.3K-2.8M-37.8K1.8086.34N/AN/A55996,6825,491
2014-05-02$24.49$25.0052.5%15.1%61.4%63.6%52.4%15.7%7.3%36.5K-2.8M-37.4K0.0078.71N/AN/A3306,6625,552
2014-05-05$24.41$25.0057.6%17.1%61.0%74.7%61.9%2.5%-1.8%39.1K-2.8M-36.6K1.0075.72N/AN/A446,6935,552
2014-05-06$24.22$25.0055.5%17.1%59.3%70.1%0.0%1.5%-2.5%35.3K-2.6M-35.9K0.0078.08N/AN/A206,6955,554
2014-05-07$23.79$25.0055.2%17.2%59.1%69.5%64.8%4.0%-3.9%12.8K-1.7M-34.4K2.0878.12N/AN/A12256,6955,554
2014-05-08$23.16$25.0055.8%17.1%56.9%70.7%60.8%-0.3%-4.1%-3.4K-1.2M-33.7K0.0080.91N/AN/A506,6885,556
2014-05-09$23.06$25.0054.5%17.1%56.7%67.9%59.9%1.6%-2.9%-23.2K-639.5K-32.4K0.1581.32N/AN/A66106,6885,556
2014-05-12$26.13$25.0064.6%17.5%69.4%90.3%60.8%4.2%-4.9%97.2K-5.6M-33.6K0.8277.88N/AN/A1241026,7205,556
2014-05-13$26.54$25.0053.6%17.3%68.4%66.0%57.9%5.4%-4.9%106.3K-6.2M-33.7K2.8477.17N/AN/A1223476,7365,642
2014-05-14$26.81$25.0056.0%17.4%67.3%71.4%54.7%4.0%-5.8%96.6K-6.2M-33.5K7.8680.43N/AN/A7556,8185,962
2014-05-15$25.86$25.0058.3%16.7%64.1%78.5%58.6%3.0%-2.7%81.4K-4.9M-32.1K0.7679.70N/AN/A1471116,7445,764
2014-05-16$25.85$25.0059.4%17.0%64.1%80.8%58.6%5.8%-3.4%71.1K-4.9M-31.1K1.8884.58N/AN/A8156,6945,703
2014-05-19$25.78$25.0059.6%17.1%63.9%81.3%54.4%1.1%-2.1%86.3K-4.3M-30.3K102.0084.12N/AN/A22046,3305,156
2014-05-20$25.62$25.0059.4%17.0%63.7%80.8%60.1%1.5%-2.7%80.9K-4.2M-29.6K0.1082.82N/AN/A2026,3325,100
2014-05-21$25.89$25.0058.9%16.9%62.5%79.7%58.2%4.2%-2.6%93.3K-4.5M-29.7K0.0083.54N/AN/A4106,3525,100
2014-05-22$26.92$25.0057.1%16.4%63.5%75.7%57.9%4.5%-1.9%116.5K-5.9M-29.4K6.0670.59N/AN/A955766,3935,100
2014-05-23$25.87$25.0048.5%13.9%63.9%56.0%48.2%4.2%3.8%85.1K-4.3M-27.4K5.2270.71N/AN/A1849616,3925,589
2014-05-27$25.27$25.0049.4%14.2%63.0%58.0%48.2%0.3%1.7%57.5K-3.4M-26.2K2.0082.83N/AN/A5106,3956,118
2014-05-28$25.37$25.0048.6%13.9%58.1%56.4%48.4%-2.2%1.4%67.1K-3.7M-26.1K2.0880.15N/AN/A24506,3996,128
2014-05-29$26.15$25.0050.1%14.4%55.2%59.8%53.3%6.1%2.5%85.4K-4.6M-25.8K14.6983.47N/AN/A263826,4206,148
2014-05-30$26.96$25.0051.8%14.9%56.0%63.6%51.2%2.5%1.0%102.2K-5.7M-26.1K2.2584.57N/AN/A691556,4406,453