VNET Options History — February 2012

In February 2012, VNET traded between $10.83 and $12.74. ATM implied volatility averaged 61.6%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 18.7% (HV 20d: 42.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.09.

Notable Days

2012-02-24: Highest Volume — 959 contracts
2012-02-17: Largest IV spike — 44.9% change
2012-02-27: Highest IV Rank — 49.8%
2012-02-27: Largest Expected Move — 24.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.73	$10.83	$12.74	$11.33	$12.15
Max Pain	$10.13	$10.00	$12.50	$10.00	$12.50
ATM IV	61.6%	48.8%	84.7%	51.4%	52.7%
Expected Move	17.7%	14.0%	24.3%	14.7%	15.1%
HV 20d	42.9%	30.5%	59.4%	37.0%	59.4%
HV 60d	50.5%	47.5%	53.1%	52.2%	47.5%
IV Rank	22.9%	8.0%	49.8%	11.0%	12.5%
IV Percentile	14.6%	1.0%	41.1%	1.6%	3.3%
Term Structure	2.1%	-17.1%	23.1%	-5.0%	8.2%
VWIV	59.9%	34.2%	85.4%	68.2%	38.5%
Skew 25d	13.0%	-7.9%	28.1%	5.8%	-1.3%
Skew 10d	30.9%	-3.1%	77.3%	12.8%	1.3%
Call IV 25d	53.7%	43.8%	75.5%	62.4%	46.8%
Put IV 25d	66.8%	45.6%	74.9%	68.2%	45.6%
Bid-Ask Spread %	92.31	84.39	100.66	89.32	86.99
Gamma HHI	0.74	0.55	0.94	0.74	0.88
Net GEX	18.4K	6.8K	56.6K	10.9K	50.7K
Net DEX	-444.8K	-1.2M	-81.2K	-270.5K	-791.8K
Net VEX	-2.1K	-3.2K	-1.5K	-2.2K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	1.00	0.00	0.00
Total Volume	138.4	0	959	15	16
Total OI	1,961.15	1,551	2,865	1,829	2,712

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-02-01	$11.33	$10.00	51.4%	14.7%	37.0%	11.0%	68.2%	5.8%	-5.0%	10.9K	-270.5K	-2.2K	0.00	89.32	N/A	N/A	15	0	1,148	681
2012-02-02	$11.55	$10.00	49.3%	14.1%	37.2%	8.6%	34.2%	20.3%	23.1%	11.9K	-321.8K	-2.2K	1.00	97.31	N/A	N/A	10	10	1,147	681
2012-02-03	$12.11	$10.00	60.9%	16.7%	38.7%	22.1%	59.8%	26.4%	3.6%	14.8K	-474.6K	-2.2K	0.04	90.36	N/A	N/A	85	3	1,156	681
2012-02-06	$12.07	$10.00	61.1%	17.6%	39.0%	22.4%	0.0%	28.1%	1.8%	16.5K	-494.2K	-2.2K	0.00	90.14	N/A	N/A	65	0	1,199	678
2012-02-07	$12.00	$10.00	58.2%	16.7%	39.3%	18.9%	0.0%	23.8%	5.1%	18.8K	-500.6K	-2.3K	0.00	90.28	N/A	N/A	0	0	1,244	678
2012-02-08	$12.00	$10.00	55.9%	16.8%	32.8%	16.2%	0.0%	21.2%	1.6%	19.2K	-483.0K	-2.2K	0.00	88.91	N/A	N/A	8	0	1,244	678
2012-02-09	$11.98	$10.00	58.3%	16.7%	31.7%	19.1%	57.8%	22.8%	4.1%	19.9K	-486.6K	-2.2K	0.00	89.68	N/A	N/A	65	0	1,242	678
2012-02-10	$11.98	$10.00	58.3%	16.7%	31.8%	19.1%	0.0%	23.1%	3.7%	22.5K	-477.2K	-2.2K	0.00	90.80	N/A	N/A	20	0	1,272	678
2012-02-13	$11.85	$10.00	61.9%	17.8%	30.5%	23.3%	74.4%	17.4%	-0.1%	21.1K	-425.9K	-2.1K	0.00	93.42	N/A	N/A	2	0	1,289	678
2012-02-14	$11.31	$10.00	58.3%	16.7%	35.4%	19.1%	41.7%	9.4%	2.6%	12.4K	-259.2K	-1.9K	0.00	94.28	N/A	N/A	6	0	1,289	678
2012-02-15	$10.83	$10.00	66.7%	19.1%	39.2%	28.9%	63.6%	5.0%	5.5%	7.6K	-133.0K	-1.7K	0.00	91.78	N/A	N/A	13	0	1,289	678
2012-02-16	$11.43	$10.00	48.8%	14.0%	42.9%	8.0%	58.7%	20.0%	4.8%	9.6K	-295.4K	-1.9K	0.00	98.12	N/A	N/A	25	0	1,289	678
2012-02-17	$10.91	$10.00	70.8%	20.3%	46.3%	33.6%	66.4%	8.1%	7.6%	7.4K	-178.8K	-1.7K	0.00	84.39	N/A	N/A	100	0	1,294	678
2012-02-21	$10.90	$10.00	68.1%	19.5%	46.2%	30.5%	0.0%	3.7%	3.2%	6.8K	-81.2K	-1.6K	0.00	96.39	N/A	N/A	0	0	954	597
2012-02-22	$11.09	$10.00	69.4%	19.9%	46.5%	32.0%	0.0%	1.5%	1.4%	7.3K	-102.7K	-1.5K	0.00	100.66	N/A	N/A	47	0	954	597
2012-02-23	$11.57	$10.00	59.1%	17.0%	47.9%	20.0%	55.6%	10.2%	-2.7%	9.7K	-230.8K	-1.7K	0.00	93.17	N/A	N/A	174	0	978	597
2012-02-24	$12.74	$10.00	75.6%	21.7%	57.7%	39.2%	74.5%	21.2%	-6.2%	13.1K	-561.5K	-1.9K	0.00	98.12	N/A	N/A	958	1	1,031	597
2012-02-27	$12.46	$10.00	84.7%	24.3%	58.8%	49.8%	85.4%	-7.9%	-17.1%	30.3K	-1.1M	-2.9K	0.05	90.85	N/A	N/A	673	32	1,818	598
2012-02-28	$12.43	$10.00	62.7%	18.0%	58.8%	24.2%	59.4%	1.5%	-3.1%	56.6K	-1.2M	-3.1K	0.48	91.22	N/A	N/A	298	142	2,274	591
2012-02-29	$12.15	$12.50	52.7%	15.1%	59.4%	12.5%	38.5%	-1.3%	8.2%	50.7K	-791.8K	-3.2K	0.00	86.99	N/A	N/A	16	0	2,004	708