VNET Options History — November 2011

In November 2011, VNET traded between $8.50 and $10.06. ATM implied volatility averaged 86.7%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 25.0%. IV traded above realized volatility by 36.8% (HV 20d: 49.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.75.

Notable Days

  • 2011-11-15: Highest Volume — 2,357 contracts
  • 2011-11-09: Largest IV spike — 36.0% change
  • 2011-11-09: Highest IV Rank — 83.4%
  • 2011-11-09: Largest Expected Move — 32.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.29$8.50$10.06$8.78$9.86
Max Pain$10.36$10.00$12.50$12.50$10.00
ATM IV86.7%59.3%116.8%96.7%59.3%
Expected Move25.0%17.0%32.5%27.7%17.0%
HV 20d49.9%35.0%66.7%45.7%66.7%
HV 60d54.4%50.9%63.3%63.3%54.1%
IV Rank37.7%0.0%83.4%52.7%0.0%
IV Percentile32.0%0.0%94.0%55.5%0.0%
Term Structure-1.7%-21.0%19.2%5.7%12.2%
VWIV84.4%54.5%108.4%102.9%59.3%
Skew 25d14.8%-12.8%52.6%23.9%3.4%
Skew 10d26.1%-17.7%84.0%38.1%6.3%
Call IV 25d80.2%51.5%105.4%92.5%51.5%
Put IV 25d95.0%52.7%116.4%116.4%54.9%
Bid-Ask Spread %85.5969.2098.9792.7376.59
Gamma HHI0.350.240.530.250.51
Net GEX1.7K-46.8K28.3K2.6K28.3K
Net DEX265.5K-139.0K462.6K361.0K-139.0K
Net VEX-3.2K-4.1K-2.3K-2.7K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0028.331.350.00
Total Volume292.71402,35711571
Total OI4,039.6192,9115,6482,9115,223

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$8.78$12.5096.7%27.7%45.7%52.7%102.9%23.9%5.7%2.6K361.0K-2.7K1.3592.73N/AN/A49661,6701,241
2011-11-02$9.00$12.5086.1%24.7%47.1%36.6%95.9%19.3%19.2%2.8K345.9K-2.8K28.3398.97N/AN/A3851,6751,277
2011-11-03$8.95$12.5092.1%26.4%46.8%45.7%0.0%10.6%2.4%3.1K300.3K-3.1K0.0095.96N/AN/A001,6781,300
2011-11-04$9.00$10.0092.5%27.1%46.7%46.3%0.0%17.6%-6.5%2.6K362.2K-2.7K0.0087.51N/AN/A091,6781,300
2011-11-07$9.00$10.0098.5%28.5%39.6%55.4%0.0%21.5%-12.4%2.6K356.9K-2.7K0.0087.36N/AN/A001,6781,300
2011-11-08$9.00$10.0085.9%28.3%39.7%36.3%97.3%19.5%-10.3%2.8K353.0K-2.7K0.0087.27N/AN/A1801,6781,300
2011-11-09$8.59$10.00116.8%32.5%41.9%83.4%108.4%34.9%-21.0%2.6K412.2K-2.4K0.0069.20N/AN/A0501,6881,300
2011-11-10$8.50$10.00106.2%30.5%40.1%67.3%90.6%25.5%-8.1%1.6K462.6K-2.3K2.0093.36N/AN/A5101,6881,340
2011-11-11$8.60$10.00111.4%31.9%35.0%75.2%91.5%14.9%-8.0%1.8K431.7K-2.4K0.0084.27N/AN/A85401,6881,344
2011-11-14$9.27$10.00103.5%29.7%46.3%63.1%104.3%-0.3%-16.4%9.7K239.9K-2.9K0.4682.93N/AN/A100462,2221,344
2011-11-15$10.00$10.0087.0%24.9%53.4%37.9%94.2%4.1%-1.8%19.0K48.4K-3.1K3.4678.89N/AN/A5281,8292,2991,390
2011-11-16$10.04$10.0089.3%25.6%52.1%41.5%88.9%8.1%-6.9%-17.3K389.5K-4.1K0.1881.21N/AN/A443802,4142,945
2011-11-17$10.00$10.0078.3%22.4%51.9%24.7%78.5%5.1%3.6%-46.8K444.1K-4.0K5.6083.48N/AN/A1146382,6233,025
2011-11-18$10.06$10.0077.7%22.3%51.8%23.8%54.5%-12.8%-1.2%-27.4K160.6K-4.0K0.3197.33N/AN/A42132,6242,716
2011-11-21$9.53$10.0076.0%21.8%55.3%21.3%76.0%9.6%3.5%3.9K211.9K-3.7K0.0988.67N/AN/A290272,3682,223
2011-11-22$9.20$10.0078.8%22.6%54.1%25.5%82.0%22.7%-4.8%1.3K318.5K-3.7K0.6887.73N/AN/A103702,5492,243
2011-11-23$9.01$10.0071.9%20.6%54.6%15.0%76.6%11.8%0.6%2.4K301.7K-3.5K0.6683.26N/AN/A99652,6472,235
2011-11-25$9.37$10.0078.9%22.6%55.8%25.7%0.0%28.4%0.0%5.5K188.1K-3.7K0.0073.44N/AN/A002,6472,220
2011-11-28$10.00$10.0067.5%19.4%60.2%8.4%67.9%52.6%5.6%24.0K-68.9K-3.2K0.0083.48N/AN/A39202,6472,220
2011-11-29$9.28$10.0066.3%19.0%63.6%6.5%66.1%-10.3%9.7%9.9K95.3K-3.4K0.9283.72N/AN/A25232,9652,220
2011-11-30$9.86$10.0059.3%17.0%66.7%0.0%59.3%3.4%12.2%28.3K-139.0K-3.4K0.0076.59N/AN/A7102,9802,243