VNET Options History — March 2012

In March 2012, VNET traded between $11.05 and $12.26. ATM implied volatility averaged 57.3%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 9.2% (HV 20d: 48.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2012-03-21: Highest Volume — 2,948 contracts
  • 2012-03-13: Largest IV spike — 44.4% change
  • 2012-03-21: Highest IV Rank — 38.1%
  • 2012-03-21: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.50$11.05$12.26$12.12$11.35
Max Pain$11.36$10.00$12.50$12.50$10.00
ATM IV57.3%40.0%73.4%54.4%61.7%
Expected Move17.9%15.6%21.0%15.6%17.7%
HV 20d48.2%30.9%57.4%56.5%35.0%
HV 60d45.2%42.5%48.0%47.5%44.1%
IV Rank19.3%0.0%38.1%14.5%24.7%
IV Percentile15.2%0.0%35.7%4.3%19.0%
Term Structure1.2%-3.4%8.0%6.4%2.2%
VWIV63.5%54.6%69.7%54.6%69.6%
Skew 25d12.1%-7.3%28.4%-1.5%8.7%
Skew 10d24.5%-5.6%85.4%1.1%24.8%
Call IV 25d53.9%46.6%62.2%48.4%58.7%
Put IV 25d66.0%44.6%76.8%46.9%67.5%
Bid-Ask Spread %89.3280.0494.6488.2884.37
Gamma HHI0.710.510.940.880.54
Net GEX45.1K16.8K70.3K50.3K69.3K
Net DEX-1.0M-2.9M-101.6K-785.2K-2.1M
Net VEX-4.1K-8.0K-2.0K-3.2K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.002.400.880.00
Total Volume236.59102,94845326
Total OI3,361.5911,8554,8432,7284,843

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$12.12$12.5054.4%15.6%56.5%14.5%54.6%-1.5%6.4%50.3K-785.2K-3.2K0.8888.28N/AN/A24212,020708
2012-03-02$11.90$12.5054.6%15.7%56.7%14.8%55.3%-7.3%3.0%45.9K-629.8K-3.1K1.5087.38N/AN/A10152,036728
2012-03-05$11.40$12.5045.4%17.5%56.1%4.0%0.0%14.0%-1.5%37.3K-340.6K-2.7K0.0080.04N/AN/A802,036743
2012-03-06$11.20$12.5047.1%19.5%56.3%6.0%64.3%12.7%0.8%19.9K-101.6K-2.1K0.0080.54N/AN/A0802,041743
2012-03-07$11.40$12.5041.7%16.2%56.8%0.0%0.0%12.3%8.0%36.5K-232.3K-2.2K0.0094.35N/AN/A002,041692
2012-03-08$11.38$12.5041.3%17.1%56.8%0.0%0.0%11.4%3.6%30.4K-182.2K-2.0K0.0094.64N/AN/A002,041692
2012-03-09$11.62$12.5040.0%17.1%57.4%0.0%59.8%14.8%0.6%50.7K-334.0K-2.2K0.0090.95N/AN/A3002,041692
2012-03-12$11.64$12.5042.8%16.5%57.4%3.2%0.0%17.4%2.7%49.6K-305.0K-2.0K0.0090.97N/AN/A1702,051692
2012-03-13$11.55$12.5061.8%18.2%57.4%24.9%63.6%14.7%-3.4%51.2K-395.8K-2.2K0.0091.64N/AN/A61502,058692
2012-03-14$11.39$12.5060.2%18.2%55.1%23.0%63.3%12.3%-1.5%38.3K-372.9K-2.5K1.5091.02N/AN/A20302,636692
2012-03-15$11.09$12.5064.8%18.6%53.6%28.3%65.6%2.8%2.7%17.2K-247.9K-2.4K0.1789.64N/AN/A2952,626711
2012-03-16$11.15$12.5069.4%19.9%49.9%33.6%69.2%9.4%0.1%16.8K-275.1K-2.4K0.0388.29N/AN/A481162,655711
2012-03-19$11.20$10.0065.3%18.7%47.0%28.9%0.0%10.7%-1.7%24.5K-488.3K-2.5K2.4093.66N/AN/A20481,536319
2012-03-20$11.05$10.0065.3%18.7%47.3%28.9%0.0%6.9%-0.6%23.2K-464.9K-2.6K0.0092.85N/AN/A0151,556367
2012-03-21$11.18$10.0073.4%21.0%47.0%38.1%66.3%15.4%-2.0%22.0K-536.6K-2.8K0.0084.89N/AN/A2,94801,556379
2012-03-22$11.41$10.0064.2%18.4%45.0%27.6%67.3%12.1%-3.4%65.4K-2.2M-7.7K0.3892.37N/AN/A106404,264379
2012-03-23$11.85$10.0062.9%18.0%30.9%26.1%59.5%22.8%1.9%67.9K-2.6M-7.9K1.3189.09N/AN/A59774,295419
2012-03-26$12.26$10.0062.2%17.8%32.8%25.3%62.1%28.4%2.0%70.3K-2.9M-7.9K0.2687.94N/AN/A78204,296472
2012-03-27$11.96$10.0063.3%18.1%33.9%26.6%64.1%19.5%-1.6%68.1K-2.7M-8.0K1.2589.57N/AN/A12154,339486
2012-03-28$11.53$10.0058.4%16.7%35.3%21.0%69.7%17.3%5.7%68.5K-2.3M-7.6K0.0091.05N/AN/A3004,337496
2012-03-29$11.41$10.0061.1%17.5%35.4%24.1%62.4%10.3%2.3%68.0K-2.2M-7.6K0.0091.52N/AN/A1004,342496
2012-03-30$11.35$10.0061.7%17.7%35.0%24.7%69.6%8.7%2.2%69.3K-2.1M-7.3K0.0084.37N/AN/A32604,347496