VNET Options History — July 2014

In July 2014, VNET traded between $26.68 and $31.96. ATM implied volatility averaged 50.1%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 11.4% (HV 20d: 38.7%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2014-07-21: Highest Volume — 891 contracts
  • 2014-07-10: Largest IV spike — 8.8% change
  • 2014-07-17: Highest IV Rank — 70.0%
  • 2014-07-21: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.80$26.68$31.96$30.19$27.83
Max Pain$30.24$25.00$40.00$30.00$25.00
ATM IV50.1%45.4%55.1%45.4%48.1%
Expected Move15.0%13.0%16.4%13.0%15.3%
HV 20d38.7%31.9%51.3%43.6%50.1%
HV 60d51.7%46.6%55.2%54.9%51.7%
IV Rank58.3%46.9%70.0%46.9%53.5%
IV Percentile53.1%22.2%80.2%22.2%38.1%
Term Structure1.1%-2.1%6.3%4.1%3.9%
VWIV53.1%45.8%68.1%45.8%54.5%
Skew 25d1.9%-6.1%17.8%2.9%4.8%
Skew 10d-1.8%-16.5%12.1%3.4%5.9%
Call IV 25d50.8%37.0%57.0%37.0%48.3%
Put IV 25d52.7%39.9%60.4%39.9%53.1%
Bid-Ask Spread %62.2120.9194.9094.9030.47
Gamma HHI0.350.290.390.390.32
Net GEX180.3K132.7K221.3K190.9K172.2K
Net DEX-6.4M-10.4M-3.8M-8.0M-5.0M
Net VEX-31.1K-36.3K-27.0K-34.0K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.003.920.000.94
Total Volume156.318148913633
Total OI8,139.5917,1659,2607,7779,260

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$30.19$30.0045.4%13.0%43.6%46.9%0.0%2.9%4.1%190.9K-8.0M-34.0K0.0094.90N/AN/A3606,0641,713
2014-07-02$30.99$30.0046.5%13.3%41.4%49.5%45.8%-6.1%2.9%213.1K-9.3M-34.9K0.1093.04N/AN/A168166,0891,713
2014-07-03$31.96$30.0048.5%13.9%39.4%54.5%68.1%-0.6%5.2%221.3K-10.4M-36.3K3.9285.06N/AN/A13516,1481,729
2014-07-07$31.11$30.0048.2%14.3%38.0%53.7%49.9%-1.8%1.0%217.1K-9.6M-34.7K0.4874.22N/AN/A44216,1491,744
2014-07-08$29.55$30.0048.4%13.9%42.8%54.0%52.3%1.1%2.3%186.4K-7.4M-32.6K0.0088.54N/AN/A2206,1681,741
2014-07-09$29.42$30.0046.8%14.8%40.7%50.3%52.3%0.3%-1.7%189.0K-7.2M-32.4K0.5478.47N/AN/A52286,1741,741
2014-07-10$29.01$30.0050.9%14.6%40.9%60.0%50.7%2.1%-0.4%176.2K-6.5M-30.8K2.1481.77N/AN/A14306,2081,769
2014-07-11$28.89$30.0051.0%14.6%37.6%60.2%0.0%3.3%1.7%176.4K-6.6M-31.1K0.4285.09N/AN/A1256,2171,776
2014-07-14$29.56$30.0052.6%15.1%38.1%64.1%52.7%0.2%-2.1%206.9K-7.3M-30.2K0.0080.14N/AN/A2306,2291,771
2014-07-15$29.09$30.0052.4%15.0%37.6%63.6%53.1%2.2%-0.9%187.1K-6.7M-29.2K2.3083.44N/AN/A531226,2161,771
2014-07-16$28.60$30.0052.5%15.1%36.4%64.0%53.2%-1.4%-0.0%183.6K-6.2M-29.6K1.1776.19N/AN/A12146,2371,877
2014-07-17$27.62$30.0055.1%15.8%31.9%70.0%54.1%-1.4%-2.0%170.9K-5.4M-27.0K0.0979.31N/AN/A139126,2051,874
2014-07-18$27.99$30.0053.3%15.3%32.2%65.9%53.3%7.1%-2.0%188.7K-5.6M-27.7K0.2183.32N/AN/A66146,2821,883
2014-07-21$28.14$0.0051.6%16.4%32.4%61.8%52.6%1.7%0.1%190.9K-5.8M-27.6K3.8751.03N/AN/A1837086,206959
2014-07-22$27.78$40.0048.5%16.2%32.6%54.3%50.8%1.5%1.5%162.2K-5.0M-30.4K1.1044.49N/AN/A1691866,3861,666
2014-07-23$27.82$35.0050.0%15.3%32.1%58.0%0.0%-0.4%1.1%156.9K-5.1M-31.9K0.0025.57N/AN/A1406,5201,839
2014-07-24$27.39$35.0049.3%15.8%32.2%56.2%0.0%0.0%6.3%147.3K-4.4M-29.8K0.9728.25N/AN/A29286,5261,839
2014-07-25$27.22$35.0052.5%16.0%32.1%64.0%52.7%1.4%-0.8%141.9K-4.1M-29.6K0.0920.91N/AN/A10496,5181,866
2014-07-28$28.96$25.0049.1%15.3%39.9%55.8%0.0%17.8%2.4%186.6K-6.1M-32.6K0.4827.15N/AN/A31156,6201,872
2014-07-29$26.68$25.0052.8%15.7%49.0%64.4%0.0%0.2%0.3%132.7K-3.8M-28.9K0.6728.85N/AN/A4112766,6211,885
2014-07-30$27.72$25.0049.6%15.1%51.3%56.9%0.0%6.1%0.7%169.0K-4.9M-30.4K1.0928.45N/AN/A1321446,9212,079
2014-07-31$27.83$25.0048.1%15.3%50.1%53.5%54.5%4.8%3.9%172.2K-5.0M-31.3K0.9430.47N/AN/A17167,0402,220