VNET Options History — June 2011

In June 2011, VNET traded between $9.92 and $13.74. ATM implied volatility averaged 107.0%. The 30-day expected move averaged 30.5%. IV traded above realized volatility by 11.0% (HV 20d: 96.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.98.

Notable Days

  • 2011-06-06: Highest Volume — 3,230 contracts
  • 2011-06-06: Largest IV spike — 28.9% change
  • 2011-06-16: Largest Expected Move — 35.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.64$9.92$13.74$11.85$13.74
Max Pain$12.39$10.00$12.50$12.50$12.50
ATM IV107.0%90.6%127.7%103.0%92.4%
Expected Move30.5%25.8%35.0%29.5%26.5%
HV 20d96.0%76.8%109.2%105.2%76.8%
Term Structure-4.1%-18.1%7.8%-9.4%1.0%
VWIV105.9%84.4%131.3%109.3%88.3%
Skew 25d23.3%11.8%39.4%18.2%21.4%
Skew 10d47.3%15.2%76.0%40.3%57.4%
Call IV 25d94.2%76.5%106.8%100.9%76.5%
Put IV 25d117.4%97.9%131.2%119.1%97.9%
Bid-Ask Spread %71.0837.0480.0337.0477.64
Gamma HHI0.340.270.420.330.31
Net GEX-15.1K-42.0K11.7K-16.4K11.7K
Net DEX1.2M-715.9K2.7M875.3K-715.9K
Net VEX-7.0K-8.7K-5.4K-6.0K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.980.0023.471.550.84
Total Volume594.318233,230541103
Total OI6,304.4554,3398,6874,5116,149

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$11.85$12.50103.0%29.5%105.2%0.0%109.3%18.2%-9.4%-16.4K875.3K-6.0K1.5537.04N/AN/A2123291,7812,730
2011-06-02$12.61$12.5090.6%26.0%105.8%0.0%91.7%18.5%-0.9%-18.3K714.2K-6.5K3.3655.15N/AN/A3541,1881,7182,926
2011-06-03$11.95$12.5090.8%25.8%104.1%0.0%89.9%13.1%3.6%-25.9K1.2M-6.3K3.0869.50N/AN/A972991,6643,048
2011-06-06$10.77$12.50117.1%32.1%109.2%0.0%124.2%26.1%-8.8%-24.2K1.7M-5.4K23.4772.14N/AN/A1323,0981,7453,090
2011-06-07$10.46$12.50119.0%34.0%107.8%0.0%126.4%32.7%-18.1%-38.8K2.5M-7.2K2.7573.40N/AN/A3761,0341,7945,705
2011-06-08$10.14$12.50127.7%34.3%102.6%0.0%108.6%23.5%-9.0%-40.3K2.7M-8.0K0.5971.83N/AN/A163962,0856,462
2011-06-09$10.26$12.50119.5%34.3%103.2%0.0%131.3%23.4%-15.5%-42.0K2.7M-7.9K6.3971.65N/AN/A1691,0802,1456,542
2011-06-10$10.01$12.50115.5%33.1%103.2%0.0%117.4%26.9%-3.6%-32.1K2.6M-6.9K6.6272.03N/AN/A261722,2635,553
2011-06-13$9.92$12.50114.6%32.9%102.8%0.0%128.4%21.0%-2.2%-34.4K2.7M-6.4K3.9774.14N/AN/A1867392,2845,564
2011-06-14$10.75$12.50120.4%34.5%103.0%0.0%109.4%28.9%-10.3%-14.3K2.1M-6.0K0.3873.47N/AN/A114432,3955,109
2011-06-15$10.60$12.50117.8%33.8%102.3%0.0%115.1%25.2%-11.7%-30.6K2.2M-6.4K4.6573.30N/AN/A261212,4385,146
2011-06-16$11.03$12.50121.9%35.0%94.0%0.0%104.7%27.1%-13.5%-15.2K2.1M-6.2K0.1674.69N/AN/A79132,4515,193
2011-06-17$10.99$12.50115.7%33.2%94.0%0.0%115.4%21.8%-7.3%-15.5K2.1M-6.2K1.2656.89N/AN/A34432,4565,198
2011-06-20$11.20$12.50116.9%33.5%93.3%0.0%110.8%22.7%-6.9%-16.6K972.1K-6.1K0.8272.77N/AN/A1671371,0483,291
2011-06-21$12.36$12.5098.0%28.1%89.1%0.0%97.5%30.7%3.9%-13.6K671.6K-6.6K0.1975.74N/AN/A1,0161971,1933,371
2011-06-22$12.00$12.5096.1%27.5%89.4%0.0%103.6%19.6%1.3%-5.2K360.3K-7.2K2.8976.87N/AN/A18521,8233,508
2011-06-23$13.00$12.5098.4%28.2%92.9%0.0%96.5%39.4%7.3%2.3K-3.6K-7.3K0.2380.03N/AN/A266601,8413,560
2011-06-24$13.10$10.0090.9%26.1%90.5%0.0%84.4%11.8%5.5%7.7K-219.5K-7.6K0.0676.70N/AN/A189122,0373,557
2011-06-27$13.04$12.5098.0%28.1%83.6%0.0%94.4%20.2%-3.3%9.8K-283.8K-8.0K0.6774.34N/AN/A1541032,1673,569
2011-06-28$12.88$12.5093.9%26.9%79.6%0.0%96.8%18.4%7.8%9.7K-300.5K-8.3K1.5477.67N/AN/A1402152,2953,662
2011-06-29$13.53$12.5095.7%27.4%79.4%0.0%85.8%21.4%0.5%9.8K-543.0K-8.5K0.0076.88N/AN/A2302,3773,765
2011-06-30$13.74$12.5092.4%26.5%76.8%0.0%88.3%21.4%1.0%11.7K-715.9K-8.7K0.8477.64N/AN/A56472,3843,765