VNET Options History — August 2014

In August 2014, VNET traded between $27.31 and $31.29. ATM implied volatility averaged 52.8%, placing in the 64.0% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 2.3% (HV 20d: 50.5%). Max pain ranged from $22.50 to $35.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 4.00.

Notable Days

  • 2014-08-28: Highest Volume — 8,017 contracts
  • 2014-08-14: Largest IV spike — 29.9% change
  • 2014-08-29: Highest IV Rank — 100.0%
  • 2014-08-29: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.80$27.31$31.29$27.70$27.31
Max Pain$29.05$22.50$35.00$35.00$22.50
ATM IV52.8%42.1%72.4%49.0%72.4%
Expected Move15.4%14.5%17.2%15.4%17.2%
HV 20d50.5%45.4%53.7%48.3%52.9%
HV 60d47.3%44.6%51.6%51.6%47.8%
IV Rank64.0%39.2%100.0%55.6%100.0%
IV Percentile60.9%6.3%100.0%43.3%100.0%
Term Structure-2.1%-7.5%2.5%2.5%-3.5%
VWIV55.4%52.1%60.9%55.9%60.9%
Skew 25d2.7%-4.5%14.4%2.5%14.4%
Skew 10d11.8%-6.2%42.4%4.5%42.4%
Call IV 25d56.1%50.0%62.6%50.0%60.7%
Put IV 25d58.9%52.5%75.1%52.5%75.1%
Bid-Ask Spread %31.1018.6453.5325.8153.53
Gamma HHI0.300.220.370.310.23
Net GEX165.0K-103.5K306.8K165.3K-103.5K
Net DEX-5.3M-8.6M1.1M-4.6M1.1M
Net VEX-36.2K-52.1K-28.2K-31.5K-52.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.000.0037.220.1737.22
Total Volume1,070.381328,017686,612
Total OI11,190.199,26218,4689,26618,468

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$27.70$35.0049.0%15.4%48.3%55.6%0.0%2.5%2.5%165.3K-4.6M-31.5K0.1725.81N/AN/A58107,0392,227
2014-08-04$28.31$35.0051.9%15.7%48.7%62.4%0.0%1.8%1.1%188.1K-5.7M-31.9K0.0024.73N/AN/A3707,0352,227
2014-08-05$28.12$35.0051.8%15.6%45.5%62.1%0.0%1.9%-1.2%182.7K-5.3M-30.5K0.2244.22N/AN/A262587,0462,227
2014-08-06$27.86$35.0042.1%15.3%45.6%39.2%0.0%3.1%0.6%182.7K-5.1M-29.7K0.0023.02N/AN/A3207,1832,259
2014-08-07$27.77$35.0044.1%15.7%45.4%44.0%0.0%-4.5%-7.5%176.1K-5.4M-31.8K0.0225.51N/AN/A1,123277,1932,259
2014-08-08$27.82$35.0056.4%15.5%45.4%73.1%0.0%0.0%-2.6%198.9K-5.4M-31.0K0.2333.41N/AN/A123287,6242,278
2014-08-11$29.87$35.0050.6%15.7%51.7%59.4%0.0%6.6%-2.1%306.8K-8.6M-33.0K1.5029.85N/AN/A2744127,6402,279
2014-08-12$28.74$35.0045.5%15.5%53.2%47.2%0.0%-2.0%-2.4%216.5K-6.6M-31.5K0.1918.64N/AN/A52107,4942,567
2014-08-13$28.83$35.0043.5%15.8%52.9%42.4%0.0%1.6%-1.8%233.9K-6.6M-31.8K0.0025.96N/AN/A9007,5072,564
2014-08-14$28.05$35.0056.5%15.7%52.3%73.2%0.0%-0.3%-2.9%164.4K-5.0M-29.5K0.0125.45N/AN/A21227,2072,557
2014-08-15$28.46$35.0058.6%15.4%52.3%78.3%55.9%0.9%-5.1%176.8K-5.4M-28.2K10.2926.21N/AN/A2182,2447,2842,559
2014-08-18$29.42$22.5055.3%15.7%53.6%70.5%0.0%2.8%-0.9%166.2K-5.4M-41.8K6.4226.66N/AN/A483087,0314,335
2014-08-19$29.46$22.5053.7%15.6%53.3%66.8%0.0%2.8%-1.4%157.7K-5.0M-41.5K0.0232.90N/AN/A5417,0264,530
2014-08-20$29.88$22.5053.1%15.2%53.4%65.3%0.0%0.7%-1.9%179.2K-6.5M-40.4K1.8131.16N/AN/A2284127,0584,530
2014-08-21$29.25$22.5053.1%15.2%53.7%65.3%0.0%-1.3%-2.0%112.4K-4.4M-51.4K0.5628.88N/AN/A52297,2186,738
2014-08-22$29.54$22.5051.7%14.5%53.7%62.0%0.0%1.5%0.3%158.6K-5.7M-39.8K3.4527.11N/AN/A291007,2034,967
2014-08-25$31.29$22.5054.6%14.7%53.1%68.8%52.5%6.2%-3.2%220.2K-8.3M-39.9K0.0239.63N/AN/A22657,2095,067
2014-08-26$30.06$22.5051.8%14.7%45.6%62.2%52.1%2.9%-0.4%179.6K-6.6M-38.4K0.2535.35N/AN/A179457,2125,067
2014-08-27$28.31$22.5054.6%14.7%49.6%68.9%0.0%3.9%-3.3%102.2K-3.6M-36.7K1.7232.87N/AN/A3165457,2745,059
2014-08-28$28.68$22.5057.8%15.3%49.7%76.5%0.0%11.6%-5.8%99.9K-3.6M-37.6K19.8842.12N/AN/A3847,6337,3715,376
2014-08-29$27.31$22.5072.4%17.2%52.9%100.0%60.9%14.4%-3.5%-103.5K1.1M-52.1K37.2253.53N/AN/A1736,4397,41311,055