VNET Options History — July 2011 In July 2011, VNET traded between $12.90 and $14.73. ATM implied volatility averaged 85.8%. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 39.2% (HV 20d: 46.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.21.
Notable Days 2011-07-19 : Highest Volume — 542 contracts2011-07-12 : Largest IV drop — 26.2% change2011-07-26 : Largest Expected Move — 28.0%Monthly Statistics Metric Avg Min Max Open Close Price $14.00 $12.90 $14.73 $14.17 $13.15 Max Pain $11.25 $10.00 $12.50 $12.50 $12.50 ATM IV 85.8% 63.8% 97.8% 82.7% 96.1% Expected Move 25.8% 23.1% 28.0% 23.7% 27.6% HV 20d 46.6% 25.9% 74.1% 74.1% 26.3% HV 60d 82.8% 76.1% 89.5% 89.5% 76.1% Term Structure 0.8% -2.9% 6.8% 1.7% 0.8% VWIV 90.2% 80.3% 99.7% 82.6% 94.9% Skew 25d 18.2% 14.1% 26.0% 18.9% 26.0% Skew 10d 42.7% 23.8% 57.1% 52.2% 54.8% Call IV 25d 82.0% 71.4% 85.7% 71.4% 77.8% Put IV 25d 100.2% 90.4% 107.2% 90.4% 103.8% Bid-Ask Spread % 57.08 44.41 78.85 78.85 44.41 Gamma HHI 0.45 0.30 0.61 0.32 0.58 Net GEX 23.6K 7.8K 34.2K 15.4K 28.0K Net DEX -852.8K -1.5M -110.8K -946.3K -289.8K Net VEX -8.8K -9.9K -8.2K -8.4K -8.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.21 0.00 18.67 0.08 18.67 Total Volume 192.95 6 542 138 59 Total OI 5,813.65 4,063 6,996 6,178 5,417
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-07-01 $14.17 $12.50 82.7% 23.7% 74.1% 0.0% 82.6% 18.9% 1.7% 15.4K -946.3K -8.4K 0.08 78.85 N/A N/A 128 10 2,415 3,763 2011-07-05 $14.28 $10.00 80.2% 25.8% 61.1% 0.0% 0.0% 18.9% -2.8% 21.3K -1.1M -8.2K 0.30 47.66 N/A N/A 66 20 2,472 3,767 2011-07-06 $14.28 $10.00 87.9% 25.8% 59.2% 0.0% 89.8% 17.2% 0.0% 16.6K -1.1M -8.4K 0.25 49.13 N/A N/A 210 53 2,493 3,787 2011-07-07 $14.27 $10.00 78.3% 25.1% 57.0% 0.0% 98.2% 17.7% -0.2% 18.9K -1.2M -8.8K 0.25 44.87 N/A N/A 247 61 2,617 3,821 2011-07-08 $14.69 $10.00 80.7% 26.0% 57.1% 0.0% 89.6% 17.9% -0.0% 21.9K -1.3M -8.6K 0.23 56.38 N/A N/A 298 69 2,607 3,876 2011-07-11 $14.73 $10.00 86.4% 26.2% 55.2% 0.0% 86.8% 19.4% 1.7% 25.3K -1.5M -8.7K 0.09 61.23 N/A N/A 108 10 2,782 3,927 2011-07-12 $14.27 $10.00 63.8% 26.1% 57.3% 0.0% 92.3% 14.8% -2.9% 25.9K -1.3M -8.9K 0.23 61.76 N/A N/A 227 53 2,821 3,937 2011-07-13 $14.28 $10.00 70.7% 25.6% 52.6% 0.0% 89.2% 16.8% -2.4% 34.2K -1.5M -8.9K 0.00 62.16 N/A N/A 93 0 2,983 3,990 2011-07-14 $14.35 $10.00 89.0% 25.5% 51.7% 0.0% 87.4% 15.1% -0.2% 32.2K -1.5M -8.7K 0.00 58.14 N/A N/A 185 0 3,006 3,990 2011-07-15 $14.37 $10.00 87.5% 25.1% 51.1% 0.0% 99.7% 15.5% 1.0% 29.6K -1.1M -8.7K 0.62 53.20 N/A N/A 29 18 2,755 3,990 2011-07-18 $14.23 $10.00 86.6% 24.8% 51.4% 0.0% 93.4% 17.3% 0.3% 7.8K -343.6K -8.2K 1.52 52.39 N/A N/A 85 129 2,026 2,037 2011-07-19 $14.24 $12.50 80.7% 23.1% 51.5% 0.0% 80.3% 17.7% 6.8% 7.9K -325.9K -8.5K 0.00 54.00 N/A N/A 542 0 2,111 2,159 2011-07-20 $13.99 $12.50 84.2% 24.1% 41.1% 0.0% 83.5% 15.5% 5.3% 18.5K -590.1K -9.3K 0.01 57.02 N/A N/A 530 5 2,609 2,159 2011-07-21 $13.95 $12.50 83.7% 24.0% 39.0% 0.0% 0.0% 15.6% 2.8% 29.6K -782.1K -9.8K 0.40 55.08 N/A N/A 50 20 3,137 2,164 2011-07-22 $13.69 $12.50 92.5% 26.5% 29.2% 0.0% 95.4% 14.1% 1.1% 30.1K -706.3K -9.9K 0.00 57.38 N/A N/A 236 0 3,177 2,175 2011-07-25 $13.62 $12.50 97.7% 28.0% 29.2% 0.0% 0.0% 19.9% -0.5% 29.2K -573.9K -9.4K 0.00 60.24 N/A N/A 0 40 3,122 2,175 2011-07-26 $13.47 $12.50 97.8% 28.0% 29.5% 0.0% 86.6% 18.8% 0.4% 28.6K -537.1K -9.3K 0.00 57.33 N/A N/A 6 0 3,122 2,195 2011-07-27 $13.05 $12.50 93.8% 26.9% 31.5% 0.0% 88.2% 22.4% 1.6% 26.0K -264.2K -8.8K 0.19 65.90 N/A N/A 179 34 3,128 2,195 2011-07-28 $12.90 $12.50 95.0% 27.2% 25.9% 0.0% 96.1% 24.6% 2.1% 25.1K -110.8K -8.4K 0.07 64.57 N/A N/A 55 4 3,137 2,229 2011-07-29 $13.15 $12.50 96.1% 27.6% 26.3% 0.0% 94.9% 26.0% 0.8% 28.0K -289.8K -8.7K 18.67 44.41 N/A N/A 3 56 3,184 2,233
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