VNET Options History — November 2012

In November 2012, VNET traded between $9.29 and $11.35. ATM implied volatility averaged 64.7%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 25.5% (HV 20d: 39.2%). 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 18 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2012-11-14: Highest Volume — 1,202 contracts
  • 2012-11-15: Largest IV drop — 33.0% change
  • 2012-11-14: Highest IV Rank — 44.2%
  • 2012-11-06: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.17$9.29$11.35$11.20$9.77
Max Pain$10.24$10.00$12.50$12.50$10.00
ATM IV64.7%49.6%92.9%71.7%50.5%
Expected Move17.3%14.2%21.4%20.6%14.5%
HV 20d39.2%30.5%47.8%33.3%45.0%
HV 60d42.0%37.5%45.9%43.9%37.5%
IV Rank21.2%8.8%44.2%26.9%9.6%
IV Percentile45.0%5.6%96.4%77.4%7.5%
Term Structure5.3%-1.9%13.8%-0.7%4.7%
VWIV58.6%42.1%72.3%59.3%50.3%
Skew 25d4.8%-12.2%19.5%8.5%1.5%
Skew 10d13.2%-19.9%68.5%9.9%3.7%
Call IV 25d53.0%36.8%65.1%60.6%45.4%
Put IV 25d57.8%45.5%75.0%69.1%46.9%
Bid-Ask Spread %52.9810.7596.2062.8212.75
Gamma HHI0.670.480.820.490.81
Net GEX65.7K59.7K77.5K68.1K64.5K
Net DEX-1.7M-3.1M-875.3K-2.9M-914.2K
Net VEX-5.5K-7.9K-3.3K-7.9K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.006.670.000.01
Total Volume210.09501,202790
Total OI5,451.2384,3426,8735,9864,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$11.20$12.5071.7%20.6%33.3%26.9%59.3%8.5%-0.7%68.1K-2.9M-7.9K0.0062.82N/AN/A7905,166820
2012-11-02$11.35$12.5060.2%17.3%30.5%17.5%68.9%7.2%3.3%71.3K-3.1M-7.7K0.0038.24N/AN/A33305,150820
2012-11-05$10.78$10.0073.0%21.0%34.8%27.9%70.8%16.7%-1.9%63.3K-2.5M-7.2K2.2516.97N/AN/A28635,332820
2012-11-06$10.89$10.0075.6%21.4%34.2%30.1%72.0%8.5%-1.6%65.8K-2.5M-7.3K0.6816.31N/AN/A56385,097871
2012-11-07$10.49$10.0072.7%19.3%36.3%27.7%67.8%9.1%3.8%62.8K-2.2M-7.0K0.0016.75N/AN/A605,056887
2012-11-08$10.39$10.0072.5%19.1%34.8%27.5%0.0%-7.0%3.8%64.8K-2.0M-6.7K3.5030.51N/AN/A4145,053887
2012-11-09$10.43$10.0076.4%19.7%34.7%30.7%68.9%11.3%2.2%61.4K-2.0M-6.7K0.0018.87N/AN/A2005,054887
2012-11-12$10.17$10.0088.5%19.1%33.4%40.6%0.0%-9.3%5.9%64.1K-1.8M-6.2K0.9657.20N/AN/A25245,054887
2012-11-13$10.05$10.0089.3%19.2%33.2%41.2%72.3%9.6%3.9%61.7K-1.6M-6.1K3.3856.15N/AN/A602035,077899
2012-11-14$10.00$10.0092.9%17.8%33.1%44.2%63.5%-10.8%9.7%64.7K-1.6M-6.1K0.0085.03N/AN/A1,20025,0631,088
2012-11-15$9.90$10.0062.3%17.9%33.1%19.2%42.1%9.1%5.5%77.5K-1.9M-6.8K2.3178.49N/AN/A521205,7431,088
2012-11-16$9.29$10.0064.5%18.5%35.8%21.0%65.1%19.5%5.0%67.0K-1.0M-6.0K0.2465.00N/AN/A6791615,7761,097
2012-11-19$9.94$10.0052.2%15.0%45.4%11.0%50.7%8.2%8.3%66.2K-1.3M-4.5K0.1854.94N/AN/A286523,913800
2012-11-20$9.79$10.0052.8%15.1%45.3%11.4%52.8%-12.2%7.4%64.0K-1.2M-4.5K0.0190.79N/AN/A8513,933817
2012-11-21$10.06$10.0050.3%14.4%47.2%9.4%46.8%10.8%13.8%71.4K-1.4M-4.3K0.1476.35N/AN/A3553,842816
2012-11-23$10.13$10.0049.6%14.2%47.4%8.8%49.6%7.8%7.8%75.0K-1.4M-4.2K0.0376.06N/AN/A605203,852818
2012-11-26$9.81$10.0051.8%14.8%47.8%10.6%51.8%4.5%12.2%59.7K-1.0M-3.6K0.0396.20N/AN/A3413,507835
2012-11-27$9.75$10.0050.0%14.3%47.8%9.1%50.0%2.1%7.1%62.5K-951.2K-3.5K6.6776.45N/AN/A3203,576836
2012-11-28$9.74$10.0052.1%14.9%45.4%10.9%52.1%3.5%5.4%60.9K-930.1K-3.5K0.0075.91N/AN/A1603,576856
2012-11-29$9.68$10.0050.3%14.4%45.0%9.4%50.3%2.5%6.2%63.0K-875.3K-3.4K0.0110.75N/AN/A8113,586856
2012-11-30$9.77$10.0050.5%14.5%45.0%9.6%0.0%1.5%4.7%64.5K-914.2K-3.3K0.0012.75N/AN/A003,528857