VNET Options History — June 2012

In June 2012, VNET traded between $9.58 and $11.98. ATM implied volatility averaged 65.6%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 10.1% (HV 20d: 55.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.12.

Notable Days

  • 2012-06-21: Highest Volume — 462 contracts
  • 2012-06-12: Largest IV drop — 20.9% change
  • 2012-06-11: Highest IV Rank — 61.0%
  • 2012-06-04: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.90$9.58$11.98$11.00$11.45
Max Pain$8.93$7.50$10.00$10.00$7.50
ATM IV65.6%52.8%90.0%70.1%55.1%
Expected Move18.1%15.1%21.2%20.1%15.8%
HV 20d55.5%48.8%62.2%55.6%56.8%
HV 60d51.4%47.6%54.8%47.6%54.8%
IV Rank30.7%15.9%61.0%34.3%18.7%
IV Percentile31.8%6.3%67.9%47.6%9.9%
Term Structure2.9%-2.9%8.9%6.1%7.5%
VWIV64.7%56.1%73.2%73.2%65.7%
Skew 25d5.2%-14.1%25.0%4.0%-13.4%
Skew 10d26.8%-14.4%90.6%22.2%-14.4%
Call IV 25d56.5%46.6%70.3%70.3%54.8%
Put IV 25d61.6%41.5%85.3%74.3%41.5%
Bid-Ask Spread %93.7384.80100.7486.25100.74
Gamma HHI0.600.260.900.880.67
Net GEX7.0K-1.3K23.3K23.3K13.9K
Net DEX-114.4K-568.9K173.8K-140.1K-566.8K
Net VEX-1.7K-3.1K-1.1K-1.8K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.0016.000.470.00
Total Volume83.8570462590
Total OI1,695.3816682,2002,1211,692

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$11.00$10.0070.1%20.1%55.6%34.3%73.2%4.0%6.1%23.3K-140.1K-1.8K0.4786.25N/AN/A40191,573548
2012-06-04$10.91$10.0078.7%21.2%53.6%44.1%0.0%16.8%-2.9%18.7K-81.2K-1.6K0.0084.80N/AN/A601,584539
2012-06-05$10.49$10.0073.3%19.9%54.6%38.0%0.0%-4.6%2.9%11.6K-234-1.4K0.0089.07N/AN/A0101,578539
2012-06-06$10.53$10.0078.0%19.6%54.7%43.4%0.0%-2.1%0.6%12.1K-1.3K-1.5K0.0091.69N/AN/A051,578549
2012-06-07$10.57$10.0076.2%19.8%53.3%41.3%0.0%0.1%3.5%10.7K15.4K-1.4K5.0091.23N/AN/A2101,578554
2012-06-08$9.99$10.0078.3%19.2%55.8%46.7%66.9%-9.9%3.5%3.6K104.1K-1.2K4.5093.77N/AN/A10451,579554
2012-06-11$9.83$10.0090.0%19.1%55.8%61.0%66.5%5.5%2.6%1.2K150.1K-1.2K1.2796.94N/AN/A15191,589599
2012-06-12$9.58$10.0071.2%19.9%55.0%38.1%0.0%1.7%-0.3%-1.1K173.8K-1.1K1.0995.98N/AN/A11121,604596
2012-06-13$9.72$10.0057.5%19.8%55.7%21.4%69.1%2.6%-1.7%-1.3K172.6K-1.1K0.0597.36N/AN/A4021,595595
2012-06-14$9.90$10.0068.1%19.5%48.8%34.4%0.0%13.5%4.5%-922146.8K-1.1K0.0097.11N/AN/A001,595593
2012-06-15$10.95$10.0068.0%19.5%62.2%34.2%0.0%24.8%1.3%-38717.7K-1.2K16.0094.27N/AN/A2321,595593
2012-06-18$11.06$10.0070.8%20.3%52.8%38.2%71.2%25.0%-1.2%-50132.2K-1.2K0.1591.57N/AN/A6510282386
2012-06-19$11.56$7.5056.1%16.1%54.1%20.0%56.6%12.6%1.5%125-54.2K-1.2K0.0092.00N/AN/A480345386
2012-06-20$11.56$7.5056.2%16.1%54.0%20.0%56.6%9.1%2.8%719-78.9K-1.3K5.0092.98N/AN/A210393386
2012-06-21$11.90$7.5055.0%15.8%54.3%18.6%56.1%16.7%1.7%702-112.9K-1.3K0.0092.63N/AN/A4620393396
2012-06-22$11.98$7.5052.8%15.1%54.4%15.9%65.7%10.7%3.4%4.8K-247.1K-1.9K0.0093.48N/AN/A3670623396
2012-06-25$11.35$7.5057.9%16.6%57.8%22.2%0.0%6.8%3.5%9.5K-329.9K-2.5K0.0592.22N/AN/A19010976396
2012-06-26$11.52$7.5054.3%15.6%58.1%17.7%0.0%8.9%7.5%12.4K-486.1K-2.9K0.3396.80N/AN/A30101,156406
2012-06-27$11.77$7.5053.0%15.2%58.4%16.1%0.0%-6.1%8.9%13.4K-547.3K-2.9K0.0099.52N/AN/A27701,176416
2012-06-28$11.35$7.5057.2%16.4%59.8%21.4%0.0%-14.1%4.4%13.6K-568.9K-3.1K0.0097.97N/AN/A001,276416
2012-06-29$11.45$7.5055.1%15.8%56.8%18.7%0.0%-13.4%7.5%13.9K-566.8K-3.1K0.00100.74N/AN/A001,276416