VNET Options History — July 2012

In July 2012, VNET traded between $9.37 and $11.89. ATM implied volatility averaged 72.1%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 6.1% (HV 20d: 66.0%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.79.

Notable Days

  • 2012-07-17: Highest Volume — 3,032 contracts
  • 2012-07-10: Largest IV spike — 51.1% change
  • 2012-07-17: Highest IV Rank — 66.2%
  • 2012-07-17: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.62$9.37$11.89$11.56$10.06
Max Pain$9.64$7.50$10.00$7.50$10.00
ATM IV72.1%38.7%93.0%51.5%88.7%
Expected Move21.3%12.5%26.7%14.8%25.4%
HV 20d66.0%42.7%78.5%56.7%76.2%
HV 60d59.6%53.8%66.2%54.9%62.5%
IV Rank40.4%0.0%66.2%14.3%60.9%
IV Percentile45.9%0.0%77.4%5.2%73.4%
Term Structure-4.5%-13.1%11.7%5.7%-13.1%
VWIV76.5%44.9%99.1%52.9%88.7%
Skew 25d17.2%-7.6%47.6%-7.6%20.9%
Skew 10d22.2%-8.5%58.4%-8.1%18.4%
Call IV 25d57.8%48.6%84.4%52.7%60.4%
Put IV 25d75.0%43.1%99.6%45.1%81.3%
Bid-Ask Spread %90.7679.28101.38101.3896.00
Gamma HHI0.680.480.750.690.74
Net GEX-9.4K-42.3K17.0K14.7K-42.3K
Net DEX220.3K-682.4K1.3M-597.1K1.0M
Net VEX-4.0K-5.6K-2.2K-3.0K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.790.0044.250.000.00
Total Volume18003,032221
Total OI3,101.0481,6924,7221,6924,530

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$11.56$7.5051.5%14.8%56.7%14.3%52.9%-7.6%5.7%14.7K-597.1K-3.0K0.00101.38N/AN/A2201,276416
2012-07-03$11.89$7.5055.6%15.9%55.1%19.3%0.0%-5.1%7.0%16.4K-682.4K-3.1K0.0098.57N/AN/A301,298416
2012-07-05$11.53$7.5043.7%12.5%56.6%4.6%0.0%-7.1%11.7%16.1K-620.1K-3.0K0.00100.29N/AN/A001,301416
2012-07-06$11.66$10.0047.6%16.8%56.7%9.5%66.4%20.5%-2.1%16.3K-622.9K-2.9K0.0086.39N/AN/A20001,301416
2012-07-09$11.33$10.0038.7%17.2%53.5%0.0%60.0%8.4%-0.9%16.3K-605.9K-2.9K0.0087.90N/AN/A6401,366416
2012-07-10$11.02$10.0058.5%18.8%54.3%24.1%59.4%8.0%0.1%15.6K-549.0K-2.9K0.0085.99N/AN/A2001,380416
2012-07-11$11.52$10.0055.3%17.5%54.6%20.2%0.0%16.3%-3.8%17.0K-628.2K-2.9K0.0087.12N/AN/A001,380416
2012-07-12$11.36$10.0062.0%17.8%55.2%28.4%0.0%10.4%-5.9%16.3K-577.4K-2.8K0.0088.42N/AN/A001,380416
2012-07-13$11.26$10.0061.8%17.7%55.3%28.2%0.0%7.7%-2.3%15.5K-603.7K-2.9K0.0091.73N/AN/A001,380416
2012-07-16$11.19$10.0065.8%18.9%42.7%33.0%0.0%7.5%-0.3%15.1K-560.9K-2.7K0.0089.86N/AN/A1001,380416
2012-07-17$9.37$10.0093.0%26.7%76.2%66.2%92.1%31.4%-12.4%9.1K-191.2K-2.2K44.2596.54N/AN/A672,9651,383416
2012-07-18$9.40$10.0090.4%25.9%73.8%63.1%99.1%13.8%-11.5%-29.5K1.3M-5.4K0.3182.72N/AN/A188581,4343,271
2012-07-19$10.03$10.0089.6%25.7%78.5%62.0%0.0%47.6%-10.8%-32.3K1.0M-5.6K0.0089.89N/AN/A2001,4283,294
2012-07-20$9.96$10.0085.9%24.6%77.3%57.5%85.9%18.6%-6.9%-34.4K1.0M-5.6K0.0085.27N/AN/A7801,4183,294
2012-07-23$9.60$10.0085.4%24.5%77.7%56.9%84.8%38.7%-4.6%-34.6K1.3M-5.1K0.0079.28N/AN/A501,2823,218
2012-07-24$10.00$10.0088.6%25.4%78.0%60.8%88.7%44.7%-9.0%-36.5K1.1M-5.2K0.0088.07N/AN/A1301,2873,218
2012-07-25$10.06$10.0087.8%25.2%77.8%59.9%87.8%19.9%-7.7%-37.3K1.0M-5.2K0.0091.16N/AN/A2001,2853,218
2012-07-26$10.00$10.0086.3%24.7%77.1%58.0%44.9%18.5%-8.7%-38.3K1.0M-5.2K0.0095.54N/AN/A2001,2903,218
2012-07-27$10.10$10.0086.4%24.8%76.6%58.1%84.3%22.3%-8.1%-40.3K1.1M-5.0K0.1495.89N/AN/A2131,2903,218
2012-07-30$10.03$10.0090.6%26.0%76.4%63.3%0.0%25.9%-10.1%-39.7K1.0M-4.8K0.0087.99N/AN/A021,3083,220
2012-07-31$10.06$10.0088.7%25.4%76.2%60.9%88.7%20.9%-13.1%-42.3K1.0M-4.7K0.0096.00N/AN/A101,3083,222