VNET Options History — June 2014

In June 2014, VNET traded between $24.70 and $30.03. ATM implied volatility averaged 48.7%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 5.2% (HV 20d: 53.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 15.29.

Notable Days

  • 2014-06-20: Highest Volume — 2,033 contracts
  • 2014-06-10: Largest IV spike — 16.2% change
  • 2014-06-11: Highest IV Rank — 63.7%
  • 2014-06-10: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.74$24.70$30.03$25.53$29.97
Max Pain$25.48$25.00$30.00$25.00$30.00
ATM IV48.7%42.7%51.9%51.7%47.2%
Expected Move14.3%13.1%15.6%14.8%13.5%
HV 20d53.9%43.7%64.3%59.8%43.7%
HV 60d63.3%55.1%66.8%65.8%55.1%
IV Rank56.4%42.7%63.7%63.4%51.2%
IV Percentile46.3%16.7%64.7%63.9%36.1%
Term Structure1.8%-2.0%4.4%1.5%2.0%
VWIV49.4%43.5%53.6%51.7%46.5%
Skew 25d5.8%-14.8%17.5%-14.8%2.4%
Skew 10d8.4%-15.1%26.2%-15.1%3.6%
Call IV 25d44.3%36.7%52.5%52.5%37.9%
Put IV 25d50.1%37.7%54.2%37.7%40.2%
Bid-Ask Spread %83.9471.6294.0686.2894.06
Gamma HHI0.360.260.600.270.40
Net GEX125.0K-13.9K261.7K39.1K183.9K
Net DEX-6.2M-9.7M-1.4M-3.3M-7.7M
Net VEX-27.6K-36.4K-22.5K-25.6K-35.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.290.00131.00131.000.00
Total Volume237.52432,03326410
Total OI12,112.2866,82214,58113,0477,777

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$25.53$25.0051.7%14.8%59.8%63.4%51.7%-14.8%1.5%39.1K-3.3M-25.6K131.0086.28N/AN/A22626,4946,553
2014-06-03$25.47$25.0051.1%14.7%59.8%62.0%50.7%14.0%1.0%23.2K-2.9M-25.8K1.1189.35N/AN/A27306,4826,769
2014-06-04$24.70$25.0051.7%14.8%60.8%63.4%51.6%13.1%-0.6%-13.9K-1.4M-25.7K0.5080.63N/AN/A426,4896,784
2014-06-05$26.00$25.0049.9%14.3%62.9%59.2%48.4%14.0%1.8%60.0K-3.9M-23.1K0.1391.25N/AN/A3146,4926,786
2014-06-06$27.43$25.0042.7%14.6%64.1%42.7%53.3%7.8%1.7%95.1K-6.2M-22.5K0.0871.62N/AN/A926766,4856,782
2014-06-09$27.13$25.0043.2%15.1%64.3%43.9%53.6%4.8%-0.1%123.8K-6.7M-24.3K0.0078.33N/AN/A2306,8506,848
2014-06-10$26.26$25.0050.2%15.6%48.8%59.9%53.1%0.9%-2.0%108.9K-5.5M-24.2K80.6076.60N/AN/A54036,8476,848
2014-06-11$26.83$25.0051.9%14.8%49.0%63.7%0.0%2.1%0.9%132.0K-6.3M-23.3K3.1376.47N/AN/A401256,8477,212
2014-06-12$25.78$25.0051.0%14.6%50.9%61.7%51.3%2.0%1.1%70.9K-4.2M-25.2K64.6075.41N/AN/A53236,8767,337
2014-06-13$25.82$25.0051.9%14.9%49.3%63.7%0.0%1.6%1.4%69.8K-4.1M-26.3K25.0077.86N/AN/A1256,8717,582
2014-06-16$26.69$25.0051.7%14.8%50.7%63.4%51.3%4.7%0.9%111.3K-5.9M-24.4K10.7580.01N/AN/A8866,8717,607
2014-06-17$27.64$25.0050.2%14.4%52.0%59.8%50.7%5.1%1.8%77.1K-7.4M-24.1K0.3682.81N/AN/A53196,8657,682
2014-06-18$29.31$25.0049.1%14.1%55.4%57.5%47.2%17.5%2.5%188.3K-9.5M-25.8K0.2789.34N/AN/A97266,8867,695
2014-06-19$29.50$25.0047.9%13.7%55.4%54.5%45.5%15.4%3.4%234.2K-9.7M-25.3K0.0187.27N/AN/A10116,8727,651
2014-06-20$29.47$25.0047.7%13.7%54.1%54.2%43.5%3.4%2.6%261.7K-9.5M-24.6K0.0084.38N/AN/A2,03036,8827,651
2014-06-23$29.36$25.0048.4%13.9%51.6%55.9%48.5%12.6%3.1%141.9K-6.4M-30.8K0.2888.32N/AN/A50145,1471,675
2014-06-24$29.72$25.0045.9%13.2%50.4%50.1%45.9%4.9%4.4%174.5K-7.5M-35.3K0.0084.57N/AN/A4505,9681,689
2014-06-25$29.89$25.0047.6%13.7%50.4%54.1%47.6%13.3%3.0%177.0K-7.5M-36.4K0.0889.58N/AN/A4946,0011,689
2014-06-26$30.03$25.0046.6%13.3%49.7%51.6%46.5%4.3%3.8%183.4K-7.9M-35.8K1.1488.55N/AN/A35406,0451,693
2014-06-27$29.99$30.0045.5%13.1%49.0%49.3%0.0%-8.3%3.3%183.0K-7.7M-35.5K2.0090.12N/AN/A126,0651,713
2014-06-30$29.97$30.0047.2%13.5%43.7%51.2%0.0%2.4%2.0%183.9K-7.7M-35.0K0.0094.06N/AN/A1006,0641,713