VNET Options History — April 2012

In April 2012, VNET traded between $10.97 and $13.13. ATM implied volatility averaged 60.8%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 22.8% (HV 20d: 38.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2012-04-26: Highest Volume — 552 contracts
  • 2012-04-10: Largest IV spike — 40.9% change
  • 2012-04-10: Highest IV Rank — 39.3%
  • 2012-04-11: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.72$10.97$13.13$11.50$13.13
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV60.8%45.5%74.5%58.8%61.5%
Expected Move17.7%13.1%20.4%16.8%17.6%
HV 20d38.0%30.0%51.9%31.9%51.9%
HV 60d44.2%41.4%48.3%44.1%48.3%
IV Rank23.8%6.3%39.3%21.4%24.6%
IV Percentile20.3%3.0%39.7%13.8%21.5%
Term Structure2.8%-0.4%10.8%6.0%0.6%
VWIV63.6%60.5%70.5%66.2%61.8%
Skew 25d11.2%-11.9%30.6%14.7%17.9%
Skew 10d22.1%-8.0%77.8%18.7%20.5%
Call IV 25d54.1%43.4%61.3%59.0%43.4%
Put IV 25d65.4%45.4%75.0%73.7%61.3%
Bid-Ask Spread %94.9089.93101.8793.1498.77
Gamma HHI0.600.520.880.570.88
Net GEX72.4K57.6K112.7K67.5K64.4K
Net DEX-2.1M-2.8M-1.6M-2.1M-2.4M
Net VEX-5.8K-7.0K-4.4K-7.0K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.002.470.000.00
Total Volume68.250552072
Total OI4,469.053,5264,8694,6823,526

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$11.50$10.0058.8%16.8%31.9%21.4%0.0%14.7%6.0%67.5K-2.1M-7.0K0.0093.14N/AN/A004,186496
2012-04-03$11.42$10.0059.7%17.1%31.3%22.5%0.0%8.7%6.2%68.3K-2.0M-6.9K0.0096.95N/AN/A004,186496
2012-04-04$11.35$10.0061.5%17.6%30.8%24.5%0.0%8.8%3.5%68.4K-1.9M-6.7K0.0096.64N/AN/A024,186496
2012-04-05$11.30$10.0045.5%13.1%30.8%6.3%0.0%-5.4%10.8%69.0K-1.9M-6.6K0.00101.87N/AN/A004,186494
2012-04-09$11.40$10.0052.9%17.8%30.0%14.7%0.0%16.8%3.9%73.2K-1.9M-6.2K0.0091.53N/AN/A024,186494
2012-04-10$10.97$10.0074.5%20.3%32.8%39.3%0.0%6.2%0.7%64.4K-1.6M-5.8K0.0092.32N/AN/A904,186496
2012-04-11$11.13$10.0057.9%20.4%33.3%20.5%0.0%10.6%-0.1%64.5K-1.6M-5.7K0.0093.06N/AN/A0204,185496
2012-04-12$11.82$10.0065.2%18.7%39.5%28.7%66.2%23.2%1.6%81.2K-2.2M-6.2K0.0089.93N/AN/A7504,185516
2012-04-13$11.76$10.0062.8%18.0%38.2%26.0%63.5%18.9%3.3%81.9K-2.2M-6.2K0.0090.73N/AN/A24704,203516
2012-04-16$11.62$10.0062.8%18.0%38.5%26.0%0.0%14.0%2.9%83.4K-2.1M-5.9K2.4791.40N/AN/A30744,270516
2012-04-17$11.96$10.0061.8%17.7%39.7%24.9%0.0%16.8%3.5%94.2K-2.4M-5.9K0.0093.48N/AN/A1004,280589
2012-04-18$12.21$10.0060.3%17.3%39.6%23.1%0.0%16.9%7.3%112.7K-2.7M-5.8K0.9194.78N/AN/A11104,280589
2012-04-19$11.76$10.0062.1%17.8%42.3%25.2%61.5%8.0%1.8%88.5K-2.1M-5.6K0.0095.15N/AN/A704,270599
2012-04-20$11.78$10.0061.0%17.5%41.7%23.9%0.0%12.3%2.2%57.6K-2.0M-5.4K0.0094.19N/AN/A104,270599
2012-04-23$12.00$10.0062.2%17.8%40.0%25.3%63.2%21.0%1.0%61.4K-2.1M-5.1K0.0094.62N/AN/A2003,352488
2012-04-24$11.55$10.0061.2%17.5%40.3%24.1%0.0%-11.9%1.3%59.2K-1.8M-5.0K1.9699.41N/AN/A26513,365488
2012-04-25$11.61$10.0061.2%17.5%39.5%24.2%60.5%7.4%-0.4%62.0K-1.8M-4.8K0.0095.87N/AN/A1903,376501
2012-04-26$11.50$10.0062.4%17.9%37.4%25.5%70.5%-11.2%-0.4%60.4K-1.7M-4.8K0.0297.82N/AN/A542103,386501
2012-04-27$12.70$10.0061.5%17.6%51.2%24.6%61.5%30.6%-0.1%65.4K-2.8M-4.9K0.9296.29N/AN/A66613,436511
2012-04-30$13.13$10.0061.5%17.6%51.9%24.6%61.8%17.9%0.6%64.4K-2.4M-4.4K0.0098.77N/AN/A7202,954572