VNET Options History — October 2012

In October 2012, VNET traded between $11.08 and $12.38. ATM implied volatility averaged 62.6%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 28.6% (HV 20d: 34.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2012-10-25: Highest Volume — 1,117 contracts
  • 2012-10-08: Largest IV spike — 16.8% change
  • 2012-10-31: Highest IV Rank — 28.3%
  • 2012-10-31: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.85$11.08$12.38$11.53$11.08
Max Pain$12.02$10.00$12.50$10.00$12.50
ATM IV62.6%53.4%73.4%54.4%73.4%
Expected Move18.2%15.3%21.1%15.6%21.1%
HV 20d34.0%29.3%36.6%30.9%33.9%
HV 60d52.2%46.6%62.0%61.8%48.1%
IV Rank19.4%11.9%28.3%12.7%28.3%
IV Percentile41.6%9.5%79.8%9.9%79.8%
Term Structure3.6%-7.9%11.5%10.9%-7.9%
VWIV66.0%63.3%74.6%63.4%68.8%
Skew 25d12.3%-12.3%30.1%-12.3%4.9%
Skew 10d20.0%-13.2%54.5%-13.2%17.1%
Call IV 25d57.2%43.3%64.3%54.7%64.3%
Put IV 25d69.5%42.4%77.9%42.4%69.2%
Bid-Ask Spread %79.3146.5091.0490.7491.04
Gamma HHI0.550.490.670.660.56
Net GEX73.3K62.5K86.1K62.5K85.1K
Net DEX-4.8M-5.5M-3.7M-4.6M-3.7M
Net VEX-11.3K-12.5K-9.7K-11.8K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.001.881.370.12
Total Volume196.09571,1171421,002
Total OI7,241.4766,7147,5666,7146,958

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$11.53$10.0054.4%15.6%30.9%12.7%0.0%-12.3%10.9%62.5K-4.6M-11.8K1.3790.74N/AN/A60825,959755
2012-10-02$11.76$10.0057.2%16.4%31.3%15.1%0.0%12.8%7.9%63.9K-4.7M-11.6K0.1385.34N/AN/A279375,999837
2012-10-03$11.29$10.0062.4%17.9%34.9%19.3%0.0%0.4%4.7%65.3K-4.4M-12.2K0.7785.37N/AN/A1501156,259874
2012-10-04$11.49$10.0053.4%15.3%35.2%11.9%0.0%-1.8%11.5%66.4K-4.5M-12.5K1.8869.24N/AN/A8156,327936
2012-10-05$11.71$12.5056.1%18.1%35.4%14.1%63.4%8.8%4.0%66.6K-4.8M-12.2K0.1174.92N/AN/A237256,320951
2012-10-08$11.68$12.5065.5%18.2%35.3%21.8%63.3%8.9%6.3%70.0K-4.9M-12.2K0.4574.07N/AN/A2096,551971
2012-10-09$11.94$12.5061.0%18.7%35.7%18.2%65.7%30.1%4.5%72.7K-5.1M-11.9K0.0684.11N/AN/A294186,554980
2012-10-10$11.71$12.5057.6%18.3%36.6%15.4%64.4%5.8%5.3%70.9K-4.9M-12.2K0.0279.22N/AN/A9226,582984
2012-10-11$12.00$12.5062.7%18.0%36.6%19.6%0.0%25.5%5.5%74.0K-5.0M-11.8K0.1076.34N/AN/A4046,513984
2012-10-12$12.01$12.5062.9%18.0%36.6%19.7%0.0%24.7%4.6%72.0K-5.1M-11.8K0.8083.98N/AN/A546,489986
2012-10-15$12.00$12.5063.2%18.1%36.1%20.0%63.4%8.6%3.1%71.8K-5.1M-11.5K0.0080.96N/AN/A706,485982
2012-10-16$11.95$12.5062.5%17.9%36.0%19.4%0.0%8.9%4.6%72.8K-5.1M-11.4K0.1572.90N/AN/A1326,490982
2012-10-17$12.24$12.5064.6%18.5%35.4%21.1%0.0%12.4%3.6%75.4K-5.3M-11.0K0.0083.26N/AN/A1506,488980
2012-10-18$12.38$12.5067.4%19.3%34.0%23.4%0.0%15.4%2.9%74.1K-5.5M-11.0K0.1282.12N/AN/A1726,466979
2012-10-19$12.34$12.5063.4%18.2%34.1%20.1%63.4%16.5%3.1%77.2K-5.5M-10.8K0.4081.05N/AN/A2086,464977
2012-10-22$12.33$12.5064.2%18.4%31.7%20.7%64.2%15.0%5.4%76.5K-5.2M-10.6K1.3382.12N/AN/A686,236703
2012-10-23$12.05$12.5066.0%18.9%31.7%22.2%74.6%25.7%-0.6%81.1K-4.9M-10.2K1.2483.00N/AN/A21266,236701
2012-10-24$12.10$12.5064.8%18.6%29.3%21.3%0.0%19.3%0.8%76.7K-4.9M-10.3K0.0071.73N/AN/A5606,233727
2012-10-25$11.92$12.5067.1%19.2%29.3%23.1%70.6%15.9%-2.5%77.5K-4.8M-10.6K0.0087.58N/AN/A1,11256,289727
2012-10-26$11.33$12.5064.3%18.4%33.1%20.9%64.1%12.5%-1.5%86.1K-4.1M-10.4K0.0546.50N/AN/A287156,432725
2012-10-31$11.08$12.5073.4%21.1%33.9%28.3%68.8%4.9%-7.9%85.1K-3.7M-9.7K0.1291.04N/AN/A8971056,243715