VNET Options History — May 2011

In May 2011, VNET traded between $11.29 and $16.68. ATM implied volatility averaged 86.4%. The 30-day expected move averaged 24.8%. IV traded below realized volatility by 16.3% (HV 20d: 102.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2011-05-31: Highest Volume — 2,034 contracts
  • 2011-05-04: Largest IV spike — 27.7% change
  • 2011-05-31: Largest Expected Move — 28.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.50$11.29$16.68$16.68$12.37
Max Pain$13.88$12.50$15.00$15.00$12.50
ATM IV86.4%62.1%97.5%82.3%97.5%
Expected Move24.8%17.8%28.0%23.6%28.0%
HV 20d102.8%98.5%106.6%102.9%105.8%
Term Structure-3.9%-14.4%15.1%-11.2%-9.7%
VWIV85.2%63.6%101.3%82.3%101.3%
Skew 25d9.4%2.7%25.6%10.0%15.8%
Skew 10d28.0%0.6%63.7%0.6%46.7%
Call IV 25d86.1%73.2%96.3%79.0%94.4%
Put IV 25d95.4%86.6%110.1%89.0%110.1%
Bid-Ask Spread %52.4031.61101.46100.2752.01
Gamma HHI0.650.440.920.630.45
Net GEX10.1K-6.4K31.6K015.3K
Net DEX-37.1K-400.1K358.2K0-96.3K
Net VEX-2.8K-4.8K00-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.008.460.318.46
Total Volume407.619362,0342112,034
Total OI1,769.09502,92002,920

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$16.68$0.0082.3%23.6%0.0%0.0%82.3%0.0%-11.2%0000.31100.27N/AN/A1615000
2011-05-03$15.74$15.0062.1%17.8%0.0%0.0%63.6%0.0%15.1%3.9K-99.3K-5220.00101.46N/AN/A218015950
2011-05-04$14.59$15.0079.2%22.7%0.0%0.0%79.2%0.0%-7.0%9.2K-155.3K-7920.3432.80N/AN/A30310237150
2011-05-05$13.50$15.0086.3%24.7%0.0%0.0%88.8%0.0%-1.1%8.7K-159.1K-1.5K0.6058.46N/AN/A231139623141
2011-05-06$13.75$15.0091.7%25.5%0.0%0.0%79.2%0.0%-14.4%11.0K-159.6K-2.0K1.3940.11N/AN/A191265834264
2011-05-09$14.26$15.0082.1%24.2%0.0%0.0%79.8%0.0%-6.7%8.4K-90.2K-2.4K0.9134.34N/AN/A178162970423
2011-05-10$15.35$15.0085.7%23.9%0.0%0.0%81.2%0.0%-5.9%17.1K-400.1K-3.2K0.2731.71N/AN/A234621,079527
2011-05-11$14.93$15.0082.1%23.7%0.0%0.0%80.6%10.0%-3.5%31.6K-288.2K-3.1K0.4150.05N/AN/A98401,202527
2011-05-12$14.53$15.0080.3%23.0%0.0%0.0%80.0%8.5%-1.6%28.5K-101.3K-3.0K0.0546.98N/AN/A240111,259567
2011-05-13$13.91$15.0080.0%22.9%0.0%0.0%78.9%7.0%-1.3%6.6K67.7K-2.6K0.4453.52N/AN/A25111,170567
2011-05-16$12.55$15.0086.8%24.9%0.0%0.0%88.0%3.5%-0.5%-6.4K247.2K-2.2K1.9842.54N/AN/A551091,168577
2011-05-17$12.04$15.0091.5%26.2%0.0%0.0%89.9%11.0%-5.9%-624358.2K-2.2K0.3060.72N/AN/A7802361,208676
2011-05-18$13.47$12.5092.5%26.5%0.0%0.0%87.6%14.2%-5.0%14.3K-256.1K-3.8K0.1551.96N/AN/A413601,843847
2011-05-19$13.47$12.5089.1%25.5%0.0%0.0%85.4%9.7%-4.2%12.3K-186.2K-3.6K0.6555.94N/AN/A1571021,746872
2011-05-20$12.81$12.5090.5%26.0%0.0%0.0%90.3%7.1%-1.9%9.7K-45.6K-3.7K1.1448.67N/AN/A1201371,745964
2011-05-23$11.29$12.5096.2%27.6%102.9%0.0%96.5%3.3%-6.2%5.3K251.5K-3.2K0.8331.61N/AN/A2492071,232898
2011-05-24$11.61$12.5091.9%26.4%101.7%0.0%93.9%2.7%-4.4%6.0K233.4K-3.5K0.5049.01N/AN/A84421,292955
2011-05-25$11.31$12.5090.4%25.9%98.5%0.0%90.4%3.3%-5.5%5.9K248.2K-3.4K0.7953.27N/AN/A1311031,348981
2011-05-26$12.06$12.5088.1%25.3%101.0%0.0%88.1%9.3%-0.8%9.3K115.2K-4.0K0.5550.33N/AN/A165911,4541,016
2011-05-27$13.28$12.5088.8%25.4%106.6%0.0%84.0%25.6%0.4%16.5K-262.6K-4.7K0.1454.56N/AN/A493711,5641,062
2011-05-31$12.37$12.5097.5%28.0%105.8%0.0%101.3%15.8%-9.7%15.3K-96.3K-4.8K8.4652.01N/AN/A2151,8191,8151,105