VNET Options History — November 2014

In November 2014, VNET traded between $18.61 and $21.89. ATM implied volatility averaged 72.3%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 2.4% (HV 20d: 69.8%). Max pain ranged from $22.50 to $24.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 3.20.

Notable Days

  • 2014-11-19: Highest Volume — 12,216 contracts
  • 2014-11-18: Largest IV spike — 19.3% change
  • 2014-11-20: Highest IV Rank — 41.4%
  • 2014-11-20: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.24$18.61$21.89$21.86$18.82
Max Pain$23.92$22.50$24.00$24.00$22.50
ATM IV72.3%59.3%93.9%63.8%67.4%
Expected Move20.8%18.9%24.1%18.9%20.7%
HV 20d69.8%59.1%90.2%90.2%78.2%
HV 60d114.9%113.2%116.5%114.3%115.9%
IV Rank28.4%16.3%41.4%27.0%20.2%
IV Percentile84.0%71.0%96.4%79.0%79.4%
Term Structure-0.5%-16.9%11.3%3.8%6.8%
VWIV68.2%54.0%91.2%63.8%73.7%
Skew 25d8.6%3.7%15.3%4.2%6.9%
Skew 10d19.6%3.6%40.3%31.6%18.6%
Call IV 25d69.0%59.0%85.2%64.1%59.0%
Put IV 25d77.6%63.2%97.6%68.3%65.9%
Bid-Ask Spread %75.9057.0999.1570.6579.49
Gamma HHI0.180.120.360.150.19
Net GEX-61.6K-903.0K225.3K225.3K-49.9K
Net DEX1.7M-8.2M12.4M-8.2M8.0M
Net VEX-72.6K-83.0K-63.2K-81.8K-68.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.059.181.430.63
Total Volume4,513.84231712,2162,818685
Total OI38,659.52633,50449,55034,06137,364

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$21.86$24.0063.8%18.9%90.2%27.0%63.8%4.2%3.8%225.3K-8.2M-81.8K1.4370.65N/AN/A1,1581,66017,42716,634
2014-11-04$21.89$24.0063.0%19.3%87.2%26.4%62.2%6.6%5.1%204.1K-8.0M-80.6K1.1063.30N/AN/A1,1871,30717,55117,039
2014-11-05$20.91$24.0064.4%19.5%76.0%27.4%59.3%6.1%5.2%173.7K-4.3M-78.4K1.1372.09N/AN/A1,1761,33317,58417,120
2014-11-06$19.44$24.0066.1%19.2%71.2%28.6%63.3%6.8%3.5%89.2K1.6M-72.1K1.1857.09N/AN/A1,1901,40317,73017,116
2014-11-07$19.49$24.0059.3%20.9%70.0%23.8%67.5%10.8%-1.5%89.0K2.5M-68.7K1.4599.15N/AN/A1,1811,71217,74017,189
2014-11-10$20.36$24.0064.4%20.6%60.9%27.4%67.1%8.3%0.5%173.0K-1.2M-69.3K2.7175.36N/AN/A9822,65717,91317,483
2014-11-11$20.63$24.0061.0%20.3%59.4%25.0%64.8%10.7%2.9%222.4K-2.9M-68.0K6.1094.43N/AN/A9815,98717,71216,974
2014-11-12$20.69$24.0061.5%19.6%59.4%24.0%55.9%6.9%-0.8%-16.0K-217.8K-73.5K6.2666.16N/AN/A9205,75917,92822,435
2014-11-13$20.34$24.0069.7%19.7%59.6%27.3%60.8%7.5%-0.1%-41.2K986.9K-72.1K1.7966.73N/AN/A8791,57717,92022,303
2014-11-14$21.39$24.0070.5%19.3%59.1%22.6%79.0%9.5%-3.9%114.7K-5.3M-71.0K4.2070.79N/AN/A6125617,90822,414
2014-11-17$20.28$24.0077.0%21.6%62.5%27.9%54.0%4.1%-3.9%-39.2K1.4M-67.6K4.4580.56N/AN/A1,0774,79417,92422,431
2014-11-18$18.80$24.0091.9%21.6%64.0%39.8%61.6%13.8%-16.9%-387.9K12.4M-63.9K4.8978.63N/AN/A1,2606,16417,94525,528
2014-11-19$20.23$24.0092.6%23.2%68.7%40.3%91.2%11.8%-12.0%-606.2K5.0M-71.6K6.6285.88N/AN/A1,60410,61218,12929,165
2014-11-20$20.31$24.0093.9%24.1%68.7%41.4%83.3%15.3%-12.3%-392.8K3.0M-83.0K9.1882.90N/AN/A6335,80819,11730,433
2014-11-21$19.50$24.0092.2%24.0%70.4%40.0%78.1%12.3%-4.3%-903.0K11.0M-77.2K6.7872.70N/AN/A7655,18819,29129,469
2014-11-24$20.37$24.0078.5%21.9%72.0%29.1%74.9%7.9%3.1%10.9K3.9M-74.1K0.0578.46N/AN/A2,72613114,99918,505
2014-11-25$20.67$24.0073.2%21.4%70.3%24.8%73.9%10.7%4.4%54.6K2.2M-74.2K0.2970.48N/AN/A4,8771,43115,82018,621
2014-11-26$18.61$24.0062.5%19.5%78.9%16.3%62.3%3.7%11.3%-91.9K10.0M-63.2K0.5577.27N/AN/A2,9971,64516,52519,145
2014-11-28$18.82$22.5067.4%20.7%78.2%20.2%73.7%6.9%6.8%-49.9K8.0M-68.0K0.6379.49N/AN/A42126417,50819,856