VNET Options History — May 2012

In May 2012, VNET traded between $11.15 and $13.32. ATM implied volatility averaged 64.0%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 7.9% (HV 20d: 56.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.90.

Notable Days

  • 2012-05-08: Highest Volume — 520 contracts
  • 2012-05-18: Largest IV spike — 21.2% change
  • 2012-05-18: Highest IV Rank — 39.5%
  • 2012-05-18: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.19$11.15$13.32$12.92$11.58
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV64.0%56.8%74.7%59.4%56.8%
Expected Move18.3%16.3%21.4%17.0%16.3%
HV 20d56.0%50.3%66.9%52.5%53.3%
HV 60d47.7%45.6%51.4%47.6%46.6%
IV Rank27.3%19.1%39.5%22.2%19.1%
IV Percentile29.8%9.9%48.0%15.9%9.9%
Term Structure0.5%-7.9%4.7%2.8%2.3%
VWIV66.0%56.6%80.3%62.4%75.8%
Skew 25d9.6%-12.2%24.2%14.2%17.8%
Skew 10d23.6%-0.9%55.5%16.7%36.4%
Call IV 25d56.4%44.6%67.7%44.6%59.9%
Put IV 25d66.0%50.2%77.7%58.8%77.7%
Bid-Ask Spread %87.6474.1399.4298.7989.31
Gamma HHI0.850.760.930.790.88
Net GEX50.5K19.4K91.6K63.7K30.8K
Net DEX-1.2M-2.6M-285.2K-2.3M-307.2K
Net VEX-3.2K-4.4K-2.1K-4.4K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0026.000.500.38
Total Volume70.409052030
Total OI2,875.2732,0583,5543,4902,121

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$12.92$10.0059.4%17.0%52.5%22.2%0.0%14.2%2.8%63.7K-2.3M-4.4K0.5098.79N/AN/A212,918572
2012-05-02$12.84$10.0063.1%18.1%52.5%26.4%0.0%13.8%0.4%62.4K-2.2M-4.4K0.0097.10N/AN/A002,920571
2012-05-03$12.90$10.0061.7%17.7%52.3%24.8%0.0%14.8%1.8%62.7K-2.3M-4.3K0.0098.15N/AN/A3002,911561
2012-05-04$13.32$10.0063.2%18.9%52.9%26.4%0.0%4.2%-0.6%60.1K-2.6M-4.0K0.0080.29N/AN/A302,911561
2012-05-07$13.17$10.0062.9%17.9%53.4%26.1%62.4%-2.1%2.6%64.0K-2.6M-3.8K0.8484.32N/AN/A43362,910561
2012-05-08$13.17$10.0068.5%18.4%50.7%32.5%56.6%14.4%0.6%65.4K-2.5M-3.9K0.0374.13N/AN/A504162,938576
2012-05-09$12.58$10.0064.8%18.2%54.2%28.2%0.0%-12.2%2.4%71.7K-2.1M-4.0K0.0086.49N/AN/A002,963591
2012-05-10$12.58$10.0064.4%18.5%50.3%27.9%0.0%7.4%1.3%70.9K-1.5M-3.8K0.0084.48N/AN/A002,463591
2012-05-11$12.46$10.0064.8%18.6%50.5%28.3%63.4%-9.9%0.4%66.7K-1.4M-3.8K26.0088.57N/AN/A2522,463591
2012-05-14$11.95$10.0064.6%18.5%52.7%28.0%64.1%6.2%0.6%64.2K-974.1K-3.3K0.0585.47N/AN/A4122,465643
2012-05-15$11.89$10.0066.0%18.9%51.7%29.7%65.9%24.0%-0.4%64.2K-945.6K-3.3K0.0688.61N/AN/A3322,490644
2012-05-16$12.73$10.0072.5%20.8%56.8%37.0%66.1%-6.8%-7.4%67.0K-1.6M-3.4K0.4399.42N/AN/A106462,485644
2012-05-17$12.25$10.0061.6%17.7%56.9%24.7%60.6%24.2%3.4%91.6K-1.1M-3.2K0.1390.17N/AN/A304382,565676
2012-05-18$11.15$10.0074.7%21.4%66.3%39.5%67.5%10.9%-7.9%19.4K-285.2K-2.5K0.0381.86N/AN/A18852,663673
2012-05-21$11.49$10.0062.6%17.9%66.9%25.8%80.3%18.7%2.5%24.8K-341.5K-2.4K0.0080.60N/AN/A1201,510548
2012-05-22$11.37$10.0061.4%17.6%65.7%24.4%0.0%15.4%4.7%23.9K-318.5K-2.5K0.0080.35N/AN/A001,518548
2012-05-23$11.63$10.0063.8%18.3%66.2%27.1%62.9%19.0%3.0%25.5K-401.3K-2.5K0.0081.60N/AN/A2701,518548
2012-05-24$11.67$10.0064.8%18.6%66.1%28.3%0.0%17.3%-2.7%26.4K-443.4K-2.6K0.0082.87N/AN/A4501,530548
2012-05-25$11.62$10.0060.5%17.3%54.9%23.4%0.0%14.5%1.5%28.4K-416.9K-2.5K0.0093.44N/AN/A001,565548
2012-05-29$11.55$10.0061.2%17.6%53.0%24.2%75.8%14.3%-0.2%29.0K-373.7K-2.3K0.3888.21N/AN/A831,565548
2012-05-30$11.44$10.0064.3%18.4%52.9%27.7%0.0%-9.2%0.1%27.5K-359.9K-2.3K0.0093.81N/AN/A001,573548
2012-05-31$11.58$10.0056.8%16.3%53.3%19.1%0.0%17.8%2.3%30.8K-307.2K-2.1K0.0089.31N/AN/A001,573548