VNET Options History — August 2011

In August 2011, VNET traded between $10.30 and $13.53. ATM implied volatility averaged 97.1%. The 30-day expected move averaged 27.9%. IV traded above realized volatility by 17.2% (HV 20d: 79.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.43.

Notable Days

  • 2011-08-18: Highest Volume — 470 contracts
  • 2011-08-09: Largest IV drop — 31.4% change
  • 2011-08-08: Largest Expected Move — 32.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.76$10.30$13.53$13.53$12.02
Max Pain$13.48$10.00$15.00$10.00$12.50
ATM IV97.1%79.7%116.2%91.0%86.0%
Expected Move27.9%24.4%32.4%26.1%24.6%
HV 20d79.9%25.7%108.5%25.9%108.5%
HV 60d77.6%72.6%84.2%74.6%73.3%
Term Structure-0.4%-12.1%9.8%9.8%7.8%
VWIV92.6%55.8%108.2%80.6%55.8%
Skew 25d17.5%-6.3%36.4%29.1%36.4%
Skew 10d37.1%-15.4%73.3%61.5%73.3%
Call IV 25d86.5%63.5%102.5%68.9%63.5%
Put IV 25d104.0%76.1%119.3%98.0%99.8%
Bid-Ask Spread %63.2337.5393.7648.8657.17
Gamma HHI0.380.180.680.630.23
Net GEX12.1K-3.5K35.6K35.4K7.8K
Net DEX429.7K-513.4K1.2M-513.4K351.6K
Net VEX-6.3K-8.6K-4.7K-8.5K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.0015.000.660.01
Total Volume152.21710470240216
Total OI5,440.9574,5126,3475,3904,887

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$13.53$10.0091.0%26.1%25.9%0.0%80.6%29.1%9.8%35.4K-513.4K-8.5K0.6648.86N/AN/A145953,1842,206
2011-08-02$13.51$12.5089.5%25.7%25.7%0.0%0.0%22.1%7.1%35.6K-383.6K-8.6K0.0048.56N/AN/A0103,2092,280
2011-08-03$13.24$12.5091.8%26.3%26.4%0.0%87.9%21.9%0.6%31.5K-210.6K-8.2K0.1649.55N/AN/A193313,2092,280
2011-08-04$13.23$12.5085.2%24.4%26.4%0.0%84.2%-6.3%6.8%35.1K-73.7K-7.9K0.6837.53N/AN/A50343,3262,292
2011-08-05$12.35$15.0093.0%26.6%32.4%0.0%99.2%14.0%-2.5%22.9K148.0K-7.5K0.5966.48N/AN/A46273,3632,307
2011-08-08$10.35$15.00116.2%32.4%67.6%0.0%108.2%17.7%-10.3%5.9K870.7K-5.5K1.9061.45N/AN/A1202283,3262,324
2011-08-09$11.33$15.0079.7%27.5%77.4%0.0%88.7%20.6%-0.8%4.9K833.8K-5.9K1.0873.96N/AN/A53573,3682,382
2011-08-10$11.45$15.00103.4%28.1%77.7%0.0%0.0%18.1%-1.4%8.8K678.3K-6.3K0.0060.68N/AN/A0103,4092,388
2011-08-11$12.87$15.00100.0%28.7%89.9%0.0%0.0%23.8%-7.1%33.5K-78.6K-7.4K4.7361.42N/AN/A221043,4092,398
2011-08-12$12.29$15.0096.7%27.7%91.0%0.0%96.3%25.9%-4.5%16.4K399.3K-6.9K0.5378.22N/AN/A19103,4052,457
2011-08-15$12.13$15.00103.9%29.8%91.0%0.0%97.0%22.3%-10.2%12.2K520.3K-6.4K1.1970.04N/AN/A16193,4242,457
2011-08-16$11.74$15.0096.7%27.7%91.4%0.0%0.0%17.2%-2.3%1.3K781.9K-5.8K0.0067.87N/AN/A3203,4122,459
2011-08-17$11.19$15.00110.6%31.7%92.4%0.0%95.8%15.0%-9.8%-2.5K922.2K-5.3K2.1066.64N/AN/A31653,4342,459
2011-08-18$10.36$15.00108.8%31.2%95.2%0.0%107.4%11.8%-12.1%-3.5K1.2M-4.7K0.0357.48N/AN/A458123,4522,494
2011-08-19$10.30$12.50107.8%30.9%95.2%0.0%101.3%11.0%-5.3%765985.6K-4.9K0.0267.18N/AN/A29763,8522,495
2011-08-22$10.55$12.50110.3%31.6%96.2%0.0%95.1%22.2%-7.3%-241759.0K-5.1K0.0050.00N/AN/A6002,2622,250
2011-08-23$11.61$12.5093.9%26.9%103.6%0.0%93.5%23.3%3.0%1.9K397.4K-5.8K0.2358.03N/AN/A327752,3222,250
2011-08-24$11.23$12.5098.3%28.2%103.6%0.0%93.0%1.7%1.7%6.0K424.0K-5.9K1.1565.09N/AN/A26302,6182,269
2011-08-25$11.10$12.50100.3%28.8%103.6%0.0%100.0%19.4%5.0%4.9K541.2K-5.6K15.0093.76N/AN/A6902,6242,299
2011-08-26$10.96$12.5097.1%27.9%103.2%0.0%88.6%7.9%5.0%4.6K609.8K-5.5K0.0088.33N/AN/A2202,6302,300
2011-08-29$11.79$12.5085.0%24.4%106.5%0.0%85.1%15.3%9.0%6.8K341.3K-5.6K0.0067.99N/AN/A15102,6322,300
2011-08-30$11.45$12.5087.0%25.0%106.8%0.0%101.9%12.8%7.6%7.6K420.4K-5.5K0.0358.08N/AN/A298102,7392,300
2011-08-31$12.02$12.5086.0%24.6%108.5%0.0%55.8%36.4%7.8%7.8K351.6K-5.5K0.0157.17N/AN/A21422,5822,305