VNET Options History — September 2012

In September 2012, VNET traded between $10.30 and $11.54. ATM implied volatility averaged 67.6%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 18.1% (HV 20d: 49.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.68.

Notable Days

2012-09-20: Highest Volume — 910 contracts
2012-09-28: Largest IV drop — 27.9% change
2012-09-17: Highest IV Rank — 27.6%
2012-09-17: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.86	$10.30	$11.54	$10.30	$11.54
Max Pain	$8.55	$7.50	$10.00	$10.00	$10.00
ATM IV	67.6%	52.3%	72.6%	68.6%	52.3%
Expected Move	19.5%	15.0%	20.8%	19.7%	15.0%
HV 20d	49.5%	31.6%	61.8%	61.3%	31.6%
HV 60d	63.1%	61.2%	66.4%	66.4%	61.8%
IV Rank	23.5%	11.1%	27.6%	24.4%	11.1%
IV Percentile	54.6%	7.1%	69.8%	57.9%	7.1%
Term Structure	10.4%	-1.1%	20.8%	5.9%	20.8%
VWIV	66.9%	53.8%	71.6%	68.6%	53.8%
Skew 25d	10.9%	-6.1%	17.9%	14.7%	14.2%
Skew 10d	34.9%	-1.2%	92.9%	21.2%	18.1%
Call IV 25d	60.7%	50.5%	68.2%	54.0%	50.5%
Put IV 25d	71.6%	62.1%	80.0%	68.6%	64.7%
Bid-Ask Spread %	81.69	59.69	98.72	98.72	80.09
Gamma HHI	0.72	0.62	0.90	0.70	0.67
Net GEX	57.6K	46.2K	64.4K	55.0K	60.7K
Net DEX	-3.9M	-4.5M	-3.3M	-3.3M	-4.5M
Net VEX	-12.3K	-13.5K	-11.0K	-13.5K	-12.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.00	14.00	0.20	0.00
Total Volume	99.684	3	910	12	20
Total OI	7,958.211	6,694	8,901	8,440	6,694

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$10.30	$10.00	68.6%	19.7%	61.3%	24.4%	68.6%	14.7%	5.9%	55.0K	-3.3M	-13.5K	0.20	98.72	N/A	N/A	10	2	6,842	1,598
2012-09-05	$10.53	$10.00	71.6%	20.5%	61.7%	26.8%	71.5%	17.9%	1.1%	57.5K	-3.6M	-13.4K	0.50	98.22	N/A	N/A	26	13	6,832	1,598
2012-09-06	$10.52	$10.00	66.4%	19.0%	61.7%	22.6%	66.3%	12.3%	5.3%	58.5K	-3.6M	-13.3K	0.00	97.33	N/A	N/A	37	0	6,832	1,598
2012-09-07	$10.46	$7.50	66.1%	20.2%	61.7%	22.3%	0.0%	12.7%	13.9%	57.4K	-3.5M	-13.2K	6.25	75.78	N/A	N/A	8	50	6,797	1,598
2012-09-10	$10.41	$7.50	67.6%	20.5%	61.7%	23.5%	71.5%	-6.1%	12.5%	56.5K	-3.4M	-12.7K	0.08	84.41	N/A	N/A	26	2	6,789	1,548
2012-09-11	$10.55	$7.50	69.0%	19.9%	61.8%	24.7%	66.7%	8.4%	13.5%	58.4K	-3.5M	-12.5K	0.00	84.54	N/A	N/A	3	0	6,773	1,550
2012-09-12	$10.70	$7.50	69.2%	20.5%	60.6%	24.8%	0.0%	10.6%	11.4%	63.1K	-3.7M	-12.4K	3.57	83.05	N/A	N/A	7	25	6,776	1,550
2012-09-13	$10.97	$7.50	70.1%	20.1%	60.3%	25.5%	0.0%	12.2%	13.9%	64.4K	-4.0M	-12.4K	0.05	84.54	N/A	N/A	37	2	6,769	1,575
2012-09-14	$11.04	$7.50	69.7%	20.0%	60.1%	25.2%	0.0%	14.6%	10.2%	46.2K	-4.3M	-11.6K	2.50	82.14	N/A	N/A	6	15	6,792	1,575
2012-09-17	$10.89	$7.50	72.6%	20.8%	42.2%	27.6%	71.6%	14.6%	9.7%	62.5K	-4.1M	-12.0K	0.20	84.26	N/A	N/A	46	9	6,791	1,570
2012-09-18	$10.83	$7.50	70.3%	20.2%	42.4%	25.8%	0.0%	10.0%	13.9%	51.1K	-4.0M	-11.5K	2.44	85.52	N/A	N/A	18	44	6,745	1,578
2012-09-19	$10.62	$7.50	69.4%	19.9%	43.5%	25.0%	69.7%	11.5%	13.7%	53.9K	-3.8M	-11.3K	0.11	87.18	N/A	N/A	19	2	6,727	1,551
2012-09-20	$10.99	$7.50	64.7%	18.6%	43.9%	21.2%	63.7%	17.1%	14.0%	50.8K	-4.2M	-11.0K	0.01	83.22	N/A	N/A	898	12	6,731	1,553
2012-09-21	$11.06	$7.50	64.7%	18.5%	43.6%	21.2%	63.4%	8.8%	13.2%	61.9K	-4.5M	-12.3K	1.74	61.07	N/A	N/A	73	127	7,358	1,543
2012-09-24	$11.51	$10.00	62.0%	17.8%	41.7%	18.9%	0.0%	7.7%	9.4%	58.2K	-4.5M	-12.2K	0.14	80.21	N/A	N/A	74	10	5,979	782
2012-09-25	$11.25	$10.00	69.4%	19.9%	33.4%	25.0%	69.1%	9.5%	6.5%	58.7K	-4.3M	-12.1K	0.04	78.73	N/A	N/A	141	5	5,992	792
2012-09-26	$10.93	$10.00	67.5%	19.3%	33.1%	23.4%	53.8%	1.6%	10.1%	58.8K	-3.9M	-12.2K	0.11	63.37	N/A	N/A	47	5	5,904	797
2012-09-27	$11.18	$10.00	72.6%	20.8%	33.2%	27.6%	0.0%	14.2%	-1.1%	60.7K	-4.1M	-12.2K	14.00	59.69	N/A	N/A	5	70	5,935	792
2012-09-28	$11.54	$10.00	52.3%	15.0%	31.6%	11.1%	0.0%	14.2%	20.8%	60.7K	-4.5M	-12.0K	0.00	80.09	N/A	N/A	20	0	5,939	755