VNET Options History — September 2014

In September 2014, VNET traded between $15.52 and $28.05. ATM implied volatility averaged 96.1%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded below realized volatility by 38.2% (HV 20d: 134.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 8.99.

Notable Days

  • 2014-09-10: Highest Volume — 106,808 contracts
  • 2014-09-08: Largest IV spike — 57.7% change
  • 2014-09-02: Highest IV Rank — 100.0%
  • 2014-09-11: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.23$15.52$28.05$28.05$18.00
Max Pain$27.14$25.00$30.00$30.00$25.00
ATM IV96.1%69.0%167.3%81.2%74.5%
Expected Move22.2%16.4%26.9%16.4%21.0%
HV 20d134.4%53.2%169.3%53.2%165.1%
HV 60d86.6%46.8%104.0%46.8%103.3%
IV Rank60.4%30.6%100.0%100.0%34.5%
IV Percentile96.9%92.9%100.0%100.0%93.3%
Term Structure-4.7%-32.5%7.9%-0.7%-0.5%
VWIV74.8%63.5%85.5%65.8%70.6%
Skew 25d18.9%4.7%34.0%26.1%7.0%
Skew 10d41.0%9.0%91.0%49.4%14.9%
Call IV 25d83.3%67.4%120.2%77.5%71.6%
Put IV 25d102.2%72.9%148.6%103.6%78.6%
Bid-Ask Spread %50.4728.4776.8532.7462.63
Gamma HHI0.340.160.550.310.16
Net GEX-1.1M-2.1M-230.1K-230.1K-758.6K
Net DEX53.7M3.8M100.4M3.8M54.9M
Net VEX-142.5K-198.9K-61.9K-61.9K-130.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.990.3580.2211.421.58
Total Volume17,653.381516106,80815,067516
Total OI91,238.66724,303150,06624,30390,353

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$28.05$30.0081.2%16.4%53.2%100.0%65.8%26.1%-0.7%-230.1K3.8M-61.9K11.4232.74N/AN/A1,21313,8547,45016,853
2014-09-03$25.71$30.0091.2%19.7%61.4%100.0%68.5%15.9%-0.5%-649.9K16.4M-92.6K4.6937.33N/AN/A1,2365,7988,28827,739
2014-09-04$27.08$30.00101.6%18.7%64.6%100.0%0.0%21.2%-7.6%-634.3K14.0M-98.8K34.9932.03N/AN/A62521,8719,06130,748
2014-09-05$28.04$30.0081.0%17.3%65.8%72.9%64.8%24.9%-14.1%-938.3K16.9M-122.2K80.2244.98N/AN/A1068,5039,37943,811
2014-09-08$27.41$30.00127.7%19.1%66.3%100.0%64.7%30.3%-27.5%-1.1M25.9M-138.9K12.7228.47N/AN/A81410,3589,45949,479
2014-09-09$21.88$30.00167.3%23.0%99.1%100.0%68.2%28.5%-32.5%-1.2M56.8M-138.9K4.6958.09N/AN/A7,25634,04610,04256,044
2014-09-10$20.12$30.00139.9%26.5%101.8%80.6%85.5%34.0%-5.2%-1.7M96.1M-152.3K4.6156.67N/AN/A19,03987,76915,39376,355
2014-09-11$15.52$28.00133.1%26.9%132.6%75.8%85.3%28.4%-27.0%-874.6K100.4M-109.1K0.7951.77N/AN/A15,71812,35126,18587,674
2014-09-12$19.87$27.00110.7%26.2%165.4%60.0%84.4%23.6%1.1%-1.6M76.0M-192.7K1.3253.30N/AN/A11,20314,82037,76188,360
2014-09-15$21.46$27.00107.3%26.6%168.4%57.6%81.0%30.6%3.8%-2.1M58.0M-198.9K0.3552.59N/AN/A11,1063,89740,68391,972
2014-09-16$20.20$27.00102.4%26.2%168.2%54.2%78.7%19.6%-11.0%-1.6M77.4M-179.2K0.4944.13N/AN/A5,0242,48244,91592,519
2014-09-17$21.00$26.0094.0%23.8%169.3%48.3%81.7%21.6%-1.6%-2.0M68.7M-179.4K5.2445.21N/AN/A4,46423,37746,89893,037
2014-09-18$20.04$25.0090.3%24.3%169.2%45.7%83.7%19.2%0.2%-1.2M87.8M-165.9K2.7941.39N/AN/A3,4789,71347,49498,124
2014-09-19$20.00$25.0079.7%22.1%169.3%38.2%79.0%18.0%-0.8%-2.1M90.7M-157.6K1.1447.87N/AN/A7,0278,00549,299100,767
2014-09-22$19.06$25.0075.9%22.3%169.3%35.5%80.2%13.4%3.7%-681.4K41.0M-151.7K1.7155.52N/AN/A1,7212,94526,38151,548
2014-09-23$19.18$25.0077.0%23.3%167.1%36.3%76.2%10.0%3.0%-716.7K38.3M-158.2K1.4276.85N/AN/A4,5116,42127,06253,079
2014-09-24$18.74$25.0069.0%20.4%167.0%30.6%63.5%4.7%7.9%-796.9K46.8M-151.5K0.7952.25N/AN/A1,4221,12929,01657,387
2014-09-25$18.21$25.0071.1%21.6%166.4%32.1%71.2%5.0%5.5%-749.2K49.4M-144.2K1.4563.96N/AN/A57382829,73957,627
2014-09-26$18.13$25.0069.6%20.6%166.0%31.1%69.2%5.5%5.7%-744.8K53.2M-137.7K7.3559.48N/AN/A2491,83129,97158,265
2014-09-29$18.04$25.0074.9%20.8%165.9%34.8%0.0%9.5%-0.1%-798.4K55.2M-129.1K9.0962.64N/AN/A3393,08330,13359,662
2014-09-30$18.00$25.0074.5%21.0%165.1%34.5%70.6%7.0%-0.5%-758.6K54.9M-130.9K1.5862.63N/AN/A20031630,30860,045