VNET Options History — December 2012

In December 2012, VNET traded between $8.62 and $9.61. ATM implied volatility averaged 49.8%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 10.1% (HV 20d: 39.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 4.46.

Notable Days

  • 2012-12-19: Highest Volume — 151 contracts
  • 2012-12-13: Largest IV spike — 45.6% change
  • 2012-12-13: Highest IV Rank — 24.3%
  • 2012-12-13: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.06$8.62$9.61$9.58$9.61
Max Pain$11.00$10.00$12.50$10.00$10.00
ATM IV49.8%34.9%65.6%50.0%50.0%
Expected Move15.2%11.5%18.8%14.3%14.3%
HV 20d39.8%32.6%47.9%44.5%47.9%
HV 60d38.6%37.4%42.0%37.4%42.0%
IV Rank11.1%0.0%24.3%9.2%11.9%
IV Percentile13.0%0.0%63.9%6.3%9.1%
Term Structure8.0%-0.2%32.2%6.0%3.3%
VWIV52.1%35.8%56.5%49.7%50.0%
Skew 25d3.4%-13.2%72.9%1.7%72.9%
Skew 10d21.8%-10.0%104.5%5.5%104.5%
Call IV 25d51.5%45.5%58.8%45.5%46.4%
Put IV 25d54.8%38.0%119.3%47.2%119.3%
Bid-Ask Spread %56.428.6494.2212.829.47
Gamma HHI0.580.270.900.860.27
Net GEX20.3K-3.8K64.6K64.6K-1.3K
Net DEX-20.3K-744.3K223.2K-744.3K23.8K
Net VEX-1.6K-2.9K-1.1K-2.9K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.460.0044.003.520.05
Total Volume54.20151140112
Total OI3,656.359964,6194,3851,082

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$9.58$10.0050.0%14.3%44.5%9.2%49.7%1.7%6.0%64.6K-744.3K-2.9K3.5212.82N/AN/A311093,528857
2012-12-04$9.33$10.0051.0%14.6%42.1%10.0%51.1%-5.0%4.9%53.2K-485.8K-2.6K0.499.58N/AN/A49243,557919
2012-12-05$9.12$10.0040.0%11.5%42.0%1.1%35.8%-9.2%9.6%44.8K-268.8K-2.4K3.2216.08N/AN/A9293,548933
2012-12-06$9.05$10.0044.7%12.8%40.6%4.9%0.0%-10.1%6.4%41.8K-162.4K-2.1K0.0017.07N/AN/A053,557962
2012-12-07$8.91$12.5042.5%16.0%40.7%3.1%0.0%15.5%11.1%36.9K-154.1K-2.1K0.0713.16N/AN/A1513,557967
2012-12-10$8.87$12.5034.9%16.2%40.5%0.0%53.1%10.5%9.9%23.4K45.5K-1.4K2.508.64N/AN/A253,553967
2012-12-11$8.95$12.5037.9%15.4%40.4%2.4%53.3%8.9%11.0%29.9K1.6K-1.5K0.0084.91N/AN/A0723,551967
2012-12-12$9.18$12.5045.1%15.9%41.8%8.0%55.3%10.6%9.4%47.9K-177.8K-2.0K15.0084.02N/AN/A2303,5511,034
2012-12-13$8.73$12.5065.6%18.8%44.9%24.3%55.1%10.2%1.3%16.5K117.3K-1.4K0.3782.58N/AN/A108403,5491,028
2012-12-14$8.62$12.5049.2%14.1%44.9%11.3%47.7%3.5%32.2%595223.2K-1.1K0.2584.91N/AN/A44113,4721,058
2012-12-17$8.85$12.5054.7%15.7%41.0%15.6%0.0%6.9%8.1%12.0K177.4K-1.2K0.0085.83N/AN/A003,4501,063
2012-12-18$9.00$12.5054.5%15.6%32.6%15.5%54.6%9.2%10.2%-3.8K214.6K-1.1K0.0084.53N/AN/A2503,4501,063
2012-12-19$9.38$10.0054.3%15.6%36.3%15.3%53.1%-3.0%8.5%53.0K22.2K-1.4K0.3186.58N/AN/A115363,4701,063
2012-12-20$9.27$10.0055.4%15.9%34.7%16.2%55.4%-7.2%7.3%-2.3K154.6K-1.2K1.4086.21N/AN/A25353,5421,072
2012-12-21$9.23$10.0053.3%15.3%34.4%14.5%53.1%-8.6%9.2%-2.3K162.0K-1.2K44.0087.08N/AN/A1443,5461,073
2012-12-24$8.83$10.0054.6%15.7%36.0%15.6%54.8%-13.2%2.6%-2.3K125.2K-1.1K0.1594.22N/AN/A203432564
2012-12-26$8.85$10.0047.6%13.6%36.1%10.0%56.5%-11.2%8.3%-2.2K126.0K-1.1K0.0091.11N/AN/A200452567
2012-12-27$9.00$10.0054.2%15.5%36.9%15.2%54.5%-5.8%1.7%-2.2K103.5K-1.2K0.0031.77N/AN/A600472567
2012-12-28$8.86$10.0057.2%16.4%37.1%17.6%0.0%-9.5%-0.2%-1.4K91.1K-1.2K0.0057.77N/AN/A02517567
2012-12-31$9.61$10.0050.0%14.3%47.9%11.9%50.0%72.9%3.3%-1.3K23.8K-1.3K0.059.47N/AN/A1075517565