VNET Options History — January 2012

In January 2012, VNET traded between $9.32 and $10.72. ATM implied volatility averaged 62.5%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 20.8% (HV 20d: 41.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.14.

Notable Days

  • 2012-01-05: Highest Volume — 365 contracts
  • 2012-01-05: Largest IV drop — 19.0% change
  • 2012-01-17: Highest IV Rank — 30.8%
  • 2012-01-17: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.13$9.32$10.72$9.33$10.72
Max Pain$9.75$7.50$10.00$10.00$10.00
ATM IV62.5%50.0%68.3%65.0%65.5%
Expected Move18.4%14.3%19.6%18.6%18.8%
HV 20d41.7%32.2%51.0%47.8%33.2%
HV 60d53.0%51.1%54.8%54.8%51.1%
IV Rank23.9%9.4%30.8%26.8%27.4%
IV Percentile12.2%1.2%19.1%11.8%18.5%
Term Structure4.3%-4.5%10.0%2.7%-2.6%
VWIV61.9%38.0%71.9%65.9%38.0%
Skew 25d12.6%-13.9%27.1%-10.2%24.5%
Skew 10d15.1%-18.7%62.6%-9.3%20.5%
Call IV 25d49.9%40.7%69.4%63.3%41.0%
Put IV 25d62.5%43.7%75.1%53.1%65.5%
Bid-Ask Spread %92.3485.0296.6385.0287.13
Gamma HHI0.600.400.830.440.70
Net GEX18.5K3.0K61.2K4.4K8.2K
Net DEX-212.6K-740.7K104.7K84.6K-121.6K
Net VEX-2.1K-2.5K-1.9K-2.1K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.000.710.000.00
Total Volume62.80365100
Total OI1,939.351,4992,3311,7321,829

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$9.33$10.0065.0%18.6%47.8%26.8%65.9%-10.2%2.7%4.4K84.6K-2.1K0.0085.02N/AN/A1001,045687
2012-01-04$9.39$10.0061.7%17.7%47.8%23.1%0.0%-13.0%7.3%4.8K87.4K-2.1K0.0094.13N/AN/A3001,055687
2012-01-05$9.32$10.0050.0%14.3%46.1%9.4%56.7%-13.9%10.0%4.9K104.7K-2.0K0.0293.83N/AN/A35961,042687
2012-01-06$9.35$10.0058.7%19.3%44.9%19.6%71.9%23.1%4.7%13.9K15.4K-2.2K0.0087.68N/AN/A1001,387690
2012-01-09$9.35$7.5055.5%18.9%44.8%15.8%0.0%19.7%5.9%15.8K13.9K-2.2K0.0087.56N/AN/A001,397690
2012-01-10$10.04$7.5055.5%18.6%51.0%15.8%57.8%27.1%4.0%22.3K-197.7K-2.3K0.0688.97N/AN/A180101,397690
2012-01-11$10.38$10.0057.2%18.4%50.9%17.8%62.6%19.2%5.1%29.5K-464.9K-2.5K0.7193.01N/AN/A31221,552700
2012-01-12$10.46$10.0064.5%18.5%50.9%26.3%64.5%17.3%5.8%33.1K-578.3K-2.5K0.2292.66N/AN/A45101,574722
2012-01-13$10.22$10.0064.9%18.6%50.5%26.8%0.0%14.8%3.3%37.6K-444.6K-2.5K0.0094.02N/AN/A001,599732
2012-01-17$10.46$10.0068.3%19.6%50.6%30.8%0.0%19.8%0.6%36.8K-700.3K-2.3K0.0095.88N/AN/A001,599732
2012-01-18$10.51$10.0067.7%19.4%39.8%30.0%67.0%19.7%2.6%30.2K-740.7K-2.2K0.0095.54N/AN/A1201,599732
2012-01-19$10.37$10.0068.0%19.5%37.1%30.4%0.0%16.6%-4.5%45.6K-635.6K-2.1K0.6096.63N/AN/A531,599732
2012-01-20$10.25$10.0064.5%18.5%35.7%26.3%64.5%11.5%9.8%61.2K-650.3K-2.0K0.0096.13N/AN/A2701,594732
2012-01-23$10.38$10.0063.4%18.2%35.1%25.0%63.3%-5.0%5.6%3.8K-12.7K-1.9K0.2592.73N/AN/A205878621
2012-01-24$10.45$10.0065.1%18.7%35.0%27.0%65.1%16.3%2.9%4.1K-21.8K-1.9K0.0094.47N/AN/A045886626
2012-01-25$10.28$10.0061.9%17.7%34.8%23.3%0.0%11.6%7.8%3.1K18.3K-1.9K0.0093.65N/AN/A00886671
2012-01-26$10.40$10.0060.9%17.5%32.6%22.1%0.0%13.0%6.6%3.0K12.5K-1.9K0.0895.20N/AN/A12210886671
2012-01-27$10.49$10.0065.1%18.7%32.2%27.0%65.1%16.8%4.3%3.5K-10.6K-2.0K0.0095.18N/AN/A640901681
2012-01-30$10.44$10.0066.0%18.9%32.4%28.0%38.0%23.0%3.3%3.7K-9.8K-1.9K0.0087.39N/AN/A2300918681
2012-01-31$10.72$10.0065.5%18.8%33.2%27.4%0.0%24.5%-2.6%8.2K-121.6K-2.2K0.0087.13N/AN/A001,148681