VNET Options History — December 2011

In December 2011, VNET traded between $8.73 and $9.65. ATM implied volatility averaged 61.4%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 2.1% (HV 20d: 63.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2011-12-01: Highest Volume — 240 contracts
  • 2011-12-14: Largest IV spike — 70.9% change
  • 2011-12-14: Highest IV Rank — 91.8%
  • 2011-12-14: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.22$8.73$9.65$9.47$9.15
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV61.4%41.9%120.7%54.8%59.6%
Expected Move17.8%14.8%20.7%15.7%17.1%
HV 20d63.6%47.4%70.4%68.2%47.4%
HV 60d53.8%50.9%55.3%54.6%54.6%
IV Rank20.2%0.0%91.8%0.0%20.5%
IV Percentile8.5%0.0%98.7%0.0%7.1%
Term Structure7.7%-0.8%16.9%9.3%5.5%
VWIV63.1%52.8%78.4%55.8%63.9%
Skew 25d12.4%-4.6%49.4%-4.1%14.7%
Skew 10d33.2%-2.7%68.3%-2.7%26.5%
Call IV 25d57.2%48.2%63.8%54.2%57.6%
Put IV 25d69.6%50.1%101.7%50.1%72.3%
Bid-Ask Spread %85.9128.59105.0778.0830.84
Gamma HHI0.500.380.820.540.43
Net GEX12.3K98750.1K26.6K4.2K
Net DEX212.7K-18.7K568.4K28.7K92.9K
Net VEX-2.5K-3.3K-2.0K-3.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.007.500.260.00
Total Volume45.1902402400
Total OI3,792.2861,5635,4475,2781,732

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$9.47$10.0054.8%15.7%68.2%0.0%55.8%-4.1%9.3%26.6K28.7K-3.3K0.2678.08N/AN/A190503,0352,243
2011-12-02$9.58$10.0052.8%15.1%68.2%0.0%52.8%49.4%16.9%34.3K18.9K-3.1K7.5086.74N/AN/A2153,0552,216
2011-12-05$9.65$10.0058.7%19.6%68.2%7.9%0.0%25.5%8.9%35.5K-18.7K-3.0K0.0093.03N/AN/A003,0422,216
2011-12-06$9.31$10.0064.3%19.9%69.6%15.3%68.0%26.3%3.1%22.4K161.9K-2.8K2.7387.89N/AN/A26713,0422,216
2011-12-07$9.05$10.0043.7%19.4%70.4%0.0%67.1%19.5%8.0%18.8K371.2K-2.4K0.0088.89N/AN/A01703,0532,241
2011-12-08$9.00$10.0041.9%18.7%68.3%0.0%64.6%19.5%9.4%14.8K460.6K-2.6K0.0088.08N/AN/A063,0532,391
2011-12-09$9.14$10.0065.8%19.6%68.3%27.8%0.0%18.4%4.8%17.7K290.2K-3.0K0.4890.35N/AN/A42203,0532,394
2011-12-12$8.94$10.0057.2%17.3%68.8%17.8%0.0%6.2%16.2%1.2K568.2K-2.2K0.00105.07N/AN/A0103,0382,402
2011-12-13$8.99$10.0070.6%18.3%63.2%33.4%0.0%12.7%8.3%1.3K550.9K-2.2K0.0091.66N/AN/A003,0382,392
2011-12-14$8.74$10.00120.7%20.7%56.8%91.8%0.0%11.9%11.7%1.1K547.1K-2.1K0.0095.29N/AN/A003,0382,392
2011-12-15$8.73$10.0069.6%20.0%56.7%32.2%0.0%7.1%16.6%987568.4K-2.0K0.0095.61N/AN/A0213,0382,392
2011-12-16$9.58$10.0064.8%18.6%66.9%26.7%64.9%16.4%7.5%50.1K344.4K-2.5K0.3693.53N/AN/A28103,0382,383
2011-12-19$9.22$10.0056.5%16.2%68.0%16.9%56.9%3.6%8.2%1.9K65.2K-2.3K0.0091.24N/AN/A1000923640
2011-12-20$9.57$10.0058.8%16.9%66.8%19.6%59.0%18.2%6.6%4.0K27.8K-2.3K0.0097.76N/AN/A3001,023640
2011-12-21$9.43$10.0060.1%17.2%65.8%21.2%0.0%-1.7%6.6%4.5K1.7K-2.4K0.5099.82N/AN/A20101,053640
2011-12-22$9.55$10.0061.6%17.7%65.4%22.9%0.0%1.6%2.4%4.6K7.3K-2.3K1.32100.28N/AN/A31411,033640
2011-12-23$9.37$10.0059.1%16.9%64.3%20.0%0.0%-2.1%5.1%4.0K74.4K-2.3K0.1098.37N/AN/A4141,043681
2011-12-27$9.11$10.0062.8%18.0%60.2%24.4%0.0%-4.6%-0.8%4.0K78.4K-2.2K0.0099.21N/AN/A101,043685
2011-12-28$9.04$10.0051.6%14.8%54.3%11.3%78.4%12.2%7.0%3.8K100.5K-2.2K2.0063.69N/AN/A121,044685
2011-12-29$9.07$10.0055.0%15.8%49.2%15.3%63.9%8.9%0.6%3.5K126.3K-2.1K0.0028.59N/AN/A701,045687
2011-12-30$9.15$10.0059.6%17.1%47.4%20.5%0.0%14.7%5.5%4.2K92.9K-2.1K0.0030.84N/AN/A001,045687