VNET Options History — August 2012

In August 2012, VNET traded between $8.84 and $10.71. ATM implied volatility averaged 84.7%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 16.6% (HV 20d: 68.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2012-08-08: Highest Volume — 4,109 contracts
  • 2012-08-16: Largest IV drop — 42.4% change
  • 2012-08-13: Highest IV Rank — 100.0%
  • 2012-08-16: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.96$8.84$10.71$9.99$10.20
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV84.7%61.6%161.4%84.1%61.6%
Expected Move21.4%17.6%26.6%24.1%17.6%
HV 20d68.0%45.8%83.2%75.1%70.6%
HV 60d64.2%60.2%67.3%62.5%67.3%
IV Rank46.4%18.6%100.0%55.3%18.6%
IV Percentile65.3%30.6%100.0%65.5%30.6%
Term Structure4.9%-9.9%12.8%-4.9%7.2%
VWIV74.4%61.5%92.3%82.1%61.5%
Skew 25d9.2%-19.4%21.6%19.9%11.1%
Skew 10d26.4%-32.1%75.6%28.4%16.5%
Call IV 25d66.2%50.5%94.4%57.4%50.5%
Put IV 25d75.5%59.4%102.3%77.3%61.6%
Bid-Ask Spread %88.0371.8599.5890.5299.58
Gamma HHI0.640.460.800.750.71
Net GEX10.7K-71.0K53.7K-47.0K52.3K
Net DEX-1.5M-3.5M1.4M1.1M-3.2M
Net VEX-9.9K-14.4K-4.0K-4.5K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.002.400.130.50
Total Volume566.8724,1091736
Total OI6,685.3044,4618,4374,5308,437

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$9.99$10.0084.1%24.1%75.1%55.3%82.1%19.9%-4.9%-47.0K1.1M-4.5K0.1390.52N/AN/A1521,3083,222
2012-08-02$9.99$10.0080.9%23.2%74.7%51.4%0.0%21.6%-5.6%-50.3K1.1M-4.4K0.0089.89N/AN/A23011,3083,224
2012-08-03$9.71$10.0081.5%23.4%74.7%52.1%81.5%-19.4%-9.9%-50.8K1.4M-4.0K0.4291.70N/AN/A31131,2363,225
2012-08-06$10.70$10.0097.0%21.7%83.2%71.1%75.9%20.4%2.0%-49.0K610.1K-4.2K0.2686.01N/AN/A219571,2623,238
2012-08-07$10.58$10.0085.5%21.6%82.8%57.1%0.0%16.6%3.1%-51.5K486.6K-4.1K0.0087.55N/AN/A021,4633,288
2012-08-08$10.53$10.0077.9%21.8%80.9%47.8%0.0%10.9%7.5%-71.0K551.3K-4.0K1.6486.94N/AN/A1,5562,5531,4633,290
2012-08-09$10.57$10.0091.7%22.0%80.9%64.6%77.1%2.3%7.3%-172-1.0M-6.6K0.0291.80N/AN/A2,007412,9891,746
2012-08-10$10.66$10.0097.5%22.4%81.0%71.7%78.1%18.5%12.8%15.5K-2.3M-10.5K0.0688.31N/AN/A535344,7701,748
2012-08-13$10.71$10.00122.4%24.6%81.0%100.0%75.2%21.4%4.3%32.4K-3.2M-10.9K0.0888.67N/AN/A634495,2941,774
2012-08-14$10.33$10.00140.2%25.3%50.1%100.0%86.6%8.2%3.7%21.5K-2.6M-12.3K0.0788.14N/AN/A12895,7241,756
2012-08-15$10.08$10.00161.4%25.9%51.1%100.0%91.1%9.2%3.4%21.2K-2.4M-12.0K0.1388.32N/AN/A7295,8061,759
2012-08-16$10.00$10.0092.9%26.6%45.8%44.2%92.3%14.0%1.2%20.9K-2.3M-11.8K0.1088.00N/AN/A570575,7981,766
2012-08-17$8.94$10.0070.1%20.1%60.6%25.5%77.1%18.6%11.2%30.6K-620.8K-9.9K1.0071.85N/AN/A2332336,2261,775
2012-08-20$8.95$10.0066.1%19.0%59.5%22.3%66.0%18.1%10.4%29.5K-1.5M-9.8K1.1483.06N/AN/A74845,198888
2012-08-21$8.92$10.0067.8%19.4%57.2%23.7%68.6%9.1%6.0%28.2K-1.5M-9.9K0.3483.64N/AN/A9653285,227947
2012-08-22$8.84$10.0066.4%19.0%57.0%22.6%66.4%2.8%8.9%29.9K-1.7M-11.7K0.4382.97N/AN/A2791196,0211,252
2012-08-23$9.05$10.0065.6%18.8%58.0%21.9%65.9%9.0%10.2%32.7K-1.9M-12.5K0.0584.95N/AN/A999506,2421,367
2012-08-24$9.57$10.0064.3%18.4%61.7%20.8%63.8%-6.0%9.6%43.9K-2.6M-13.8K0.2388.50N/AN/A223526,9321,412
2012-08-27$10.38$10.0071.2%20.4%68.5%26.4%71.0%-9.7%7.1%53.4K-3.5M-14.4K0.1387.28N/AN/A264356,8571,464
2012-08-28$10.06$10.0069.2%19.8%69.5%24.9%69.2%-10.1%4.1%50.8K-3.2M-14.0K2.4087.73N/AN/A5126,8321,479
2012-08-29$10.27$10.0067.0%19.2%69.8%23.1%0.0%14.6%6.2%53.7K-3.4M-13.9K1.1597.58N/AN/A941086,8271,489
2012-08-30$9.94$10.0065.0%18.6%70.9%21.4%65.0%11.5%7.5%49.3K-3.0M-13.8K0.5091.72N/AN/A1476,8401,593
2012-08-31$10.20$10.0061.6%17.6%70.6%18.6%61.5%11.1%7.2%52.3K-3.2M-13.8K0.5099.58N/AN/A24126,8371,600