VNET Options History — September 2011

In September 2011, VNET traded between $9.92 and $11.65. ATM implied volatility averaged 98.5%. The 30-day expected move averaged 29.2%. IV traded above realized volatility by 27.0% (HV 20d: 71.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2011-09-08: Highest Volume — 340 contracts
  • 2011-09-15: Largest IV spike — 27.2% change
  • 2011-09-28: Largest Expected Move — 31.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.77$9.92$11.65$11.46$10.15
Max Pain$12.62$12.50$15.00$12.50$12.50
ATM IV98.5%74.1%110.7%86.0%109.1%
Expected Move29.2%24.7%31.7%24.7%31.3%
HV 20d71.5%51.1%109.6%109.6%51.1%
HV 60d72.0%70.0%74.8%73.7%70.2%
Term Structure0.9%-8.5%11.8%11.6%-7.4%
VWIV97.2%63.0%118.2%93.1%98.8%
Skew 25d19.2%1.9%36.0%25.5%10.2%
Skew 10d38.5%7.2%66.6%41.3%7.2%
Call IV 25d91.8%68.8%108.1%68.8%108.1%
Put IV 25d111.0%94.4%120.8%94.4%118.3%
Bid-Ask Spread %67.8245.6185.4545.6185.45
Gamma HHI0.320.180.490.230.30
Net GEX1.5K-9.8K6.7K6.7K4.4K
Net DEX498.1K-84.0K1.3M411.7K121.7K
Net VEX-3.7K-5.4K-3.1K-5.4K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.0013.330.780.21
Total Volume73.8570340058
Total OI3,991.9052,4775,5354,9442,675

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$11.46$12.5086.0%24.7%109.6%0.0%0.0%25.5%11.6%6.7K411.7K-5.4K0.0045.61N/AN/A002,6392,305
2011-09-02$10.78$12.5095.7%27.4%109.0%0.0%93.1%1.9%11.8%1.9K822.5K-4.5K0.7858.85N/AN/A37292,6392,305
2011-09-06$10.52$12.50104.6%29.7%89.1%0.0%114.0%14.9%-0.7%356831.0K-3.1K3.6570.76N/AN/A20732,6162,305
2011-09-07$10.35$12.5096.9%29.8%82.7%0.0%63.0%13.9%-0.4%-2.8K1.0M-3.9K0.0066.10N/AN/A0412,6302,378
2011-09-08$10.37$15.0093.6%30.7%82.6%0.0%118.2%23.9%-2.5%-4.0K1.1M-3.7K6.3963.77N/AN/A462942,6302,419
2011-09-09$9.92$12.5095.1%30.4%69.9%0.0%0.0%13.6%1.1%-6.7K1.2M-3.8K0.0068.88N/AN/A3502,6582,697
2011-09-12$10.10$12.50106.2%31.0%69.5%0.0%105.4%18.6%-3.8%-8.4K1.3M-3.6K0.1152.87N/AN/A1822,6832,697
2011-09-13$10.09$12.50100.6%30.5%69.6%0.0%0.0%19.1%-0.3%-9.8K1.2M-3.6K13.3357.57N/AN/A152002,6982,697
2011-09-14$10.81$12.5074.1%30.4%74.2%0.0%98.2%28.4%1.8%-6.3K918.6K-3.5K0.2170.37N/AN/A141302,7132,694
2011-09-15$11.31$12.5094.3%27.0%74.3%0.0%94.6%21.0%2.5%2.9K788.6K-3.6K0.1070.32N/AN/A5052,8342,699
2011-09-16$11.65$12.5090.2%25.9%69.0%0.0%92.5%13.2%6.0%3.6K755.0K-3.7K1.0067.86N/AN/A30302,8412,694
2011-09-19$11.63$12.5090.0%25.8%68.9%0.0%90.7%17.5%5.3%4.2K-55.9K-3.7K0.1262.60N/AN/A156181,3281,149
2011-09-20$11.16$12.50103.7%29.7%70.5%0.0%100.7%16.5%-1.0%6.1K-84.0K-3.7K2.1463.42N/AN/A7151,4821,161
2011-09-21$11.35$12.5091.9%26.3%61.8%0.0%0.0%17.8%2.1%6.2K-82.1K-3.7K0.0064.93N/AN/A201,4891,161
2011-09-22$10.96$12.50106.2%30.4%61.9%0.0%0.0%35.9%-1.2%5.5K-6.2K-3.5K0.0068.08N/AN/A0151,4911,161
2011-09-23$11.01$12.50104.2%29.9%61.8%0.0%104.2%36.0%0.5%5.9K-34.1K-3.6K0.0072.67N/AN/A0671,4911,161
2011-09-26$11.00$12.50103.2%29.6%61.6%0.0%89.7%17.2%7.3%6.2K-35.4K-3.5K1.2476.96N/AN/A42521,4911,133
2011-09-27$10.61$12.50108.3%31.0%56.5%0.0%0.0%16.0%-7.4%5.5K47.3K-3.3K0.0084.79N/AN/A001,4931,164
2011-09-28$10.49$12.50110.7%31.7%55.8%0.0%0.0%19.0%-8.5%5.2K76.5K-3.2K0.0074.08N/AN/A1501,4931,164
2011-09-29$10.50$12.50104.4%29.9%52.3%0.0%98.8%22.7%2.8%5.3K83.4K-3.2K0.0078.23N/AN/A801,5081,164
2011-09-30$10.15$12.50109.1%31.3%51.1%0.0%0.0%10.2%-7.4%4.4K121.7K-3.1K0.2185.45N/AN/A48101,5111,164