VNET Options History — October 2011

In October 2011, VNET traded between $8.87 and $10.96. ATM implied volatility averaged 97.7%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded above realized volatility by 52.0% (HV 20d: 45.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.91.

Notable Days

  • 2011-10-18: Highest Volume — 373 contracts
  • 2011-10-31: Largest IV drop — 17.5% change
  • 2011-10-28: Highest IV Rank — 37.3%
  • 2011-10-03: Largest Expected Move — 31.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.13$8.87$10.96$10.16$8.87
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV97.7%71.4%110.1%109.2%71.4%
Expected Move27.9%20.5%31.3%31.3%20.5%
HV 20d45.7%42.5%49.7%46.7%47.9%
HV 60d72.0%69.9%73.2%69.9%72.6%
IV Rank25.8%14.3%37.3%37.3%14.3%
IV Percentile12.3%2.4%22.2%22.2%2.4%
Term Structure-0.4%-10.8%10.0%-2.2%6.9%
VWIV90.9%72.5%104.2%101.7%89.7%
Skew 25d18.3%-1.6%39.5%19.4%23.0%
Skew 10d34.5%-31.3%63.3%52.9%42.2%
Call IV 25d84.5%63.0%99.1%99.1%79.2%
Put IV 25d102.8%91.6%118.6%118.6%102.2%
Bid-Ask Spread %83.9952.49105.6152.4994.05
Gamma HHI0.300.220.390.310.29
Net GEX4.2K-1.6K8.6K4.5K3.5K
Net DEX201.2K2.8K379.3K125.7K326.3K
Net VEX-2.9K-3.1K-2.7K-3.0K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.910.0043.000.252.76
Total Volume98.8133731094
Total OI2,943.7622,4873,4532,7292,844

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$10.16$12.50109.2%31.3%46.7%0.0%101.7%19.4%-2.2%4.5K125.7K-3.0K0.2552.49N/AN/A821,5551,174
2011-10-04$10.48$12.50105.2%30.2%47.5%0.0%90.8%29.4%-2.1%4.8K106.8K-3.0K0.0080.20N/AN/A5001,5481,174
2011-10-05$10.50$12.50105.8%30.3%47.1%0.0%0.0%-1.6%-2.7%6.0K63.1K-3.1K0.0056.84N/AN/A031,5621,174
2011-10-06$10.57$12.50100.4%28.8%47.2%0.0%0.0%4.6%3.8%6.4K75.2K-3.0K0.0065.02N/AN/A3001,5621,172
2011-10-07$10.32$12.50103.8%29.7%45.1%0.0%104.2%14.4%-5.4%5.8K97.9K-2.8K0.3879.43N/AN/A47181,5621,172
2011-10-10$10.96$12.50110.1%30.2%49.3%0.0%97.5%19.2%-0.0%8.0K2.8K-2.9K6.2679.81N/AN/A231441,5631,173
2011-10-11$10.81$12.50106.5%30.1%49.7%0.0%0.0%12.3%-9.5%6.8K140.6K-3.0K0.0082.80N/AN/A16101,5861,317
2011-10-12$10.71$12.50103.3%29.8%43.4%0.0%96.3%14.7%-10.8%8.6K139.9K-2.9K0.6982.18N/AN/A94651,7151,317
2011-10-13$10.25$12.50103.6%29.7%42.5%0.0%99.6%20.8%-4.8%6.9K148.8K-2.9K0.0088.67N/AN/A01581,8091,281
2011-10-14$10.75$12.50103.9%29.8%44.9%0.0%0.0%24.9%-8.8%3.0K169.8K-2.7K0.0086.70N/AN/A5301,8091,412
2011-10-17$10.78$12.50102.8%29.5%44.9%0.0%90.0%27.8%-5.8%3.2K153.1K-2.7K0.0086.48N/AN/A5101,8411,412
2011-10-18$10.37$12.5097.1%27.8%44.6%0.0%72.5%12.8%-8.4%3.8K230.5K-2.7K0.00105.61N/AN/A03731,8921,412
2011-10-19$10.03$12.50100.3%28.7%45.1%0.0%0.0%11.1%-0.0%1.8K336.0K-2.9K43.0083.71N/AN/A2861,8921,511
2011-10-20$9.89$12.50103.5%29.7%44.0%0.0%0.0%15.2%-3.4%1.1K379.3K-2.8K8.3383.83N/AN/A6501,8921,551
2011-10-21$9.98$12.5094.8%27.2%44.1%0.0%94.6%17.7%6.7%-1.6K354.1K-2.9K4.4082.16N/AN/A10441,8921,561
2011-10-24$9.91$12.5086.2%24.7%44.1%0.0%85.0%17.0%10.0%2.4K265.6K-2.7K0.3394.39N/AN/A152501,3421,145
2011-10-25$9.45$12.5085.0%24.4%45.3%0.0%82.7%12.3%7.2%3.2K222.5K-3.0K0.0796.25N/AN/A181131,4771,175
2011-10-26$9.45$12.5087.3%25.0%45.3%0.0%0.0%39.5%8.4%3.3K276.6K-3.0K0.0091.68N/AN/A3301,5831,188
2011-10-27$9.22$12.5085.7%24.6%45.8%0.0%80.6%26.8%5.2%3.3K309.8K-2.9K0.0095.89N/AN/A061,6001,188
2011-10-28$9.33$12.5086.5%24.8%45.0%37.3%87.3%22.7%6.5%3.3K301.7K-2.9K0.0095.51N/AN/A6801,6001,184
2011-10-31$8.87$12.5071.4%20.5%47.9%14.3%89.7%23.0%6.9%3.5K326.3K-2.7K2.7694.05N/AN/A25691,6601,184