VICR Options History — March 2007

In March 2007, VICR traded between $8.79 and $10.21. ATM implied volatility averaged 53.6%. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 0.4% (HV 20d: 53.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-03-02: Highest Volume — 100 contracts
  • 2007-03-19: Largest IV spike — 340.3% change
  • 2007-03-26: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.55$8.79$10.21$9.22$10.02
Max Pain$10.23$10.00$12.50$12.50$10.00
ATM IV53.6%32.1%172.8%49.3%40.7%
Expected Move11.6%9.2%21.3%14.1%11.7%
HV 20d53.2%36.7%63.4%57.7%36.7%
HV 60d43.3%42.3%44.7%43.2%42.3%
Term Structure7.9%-11.1%149.5%9.0%-0.2%
VWIV58.1%45.2%69.9%45.2%69.9%
Bid-Ask Spread %97.4556.37131.60124.2279.36
Gamma HHI0.800.720.830.740.82
Net GEX-3.2K-4.3K-1.6K-1.8K-4.0K
Net DEX236.8K159.1K259.5K161.1K247.1K
Net VEX-527-651-372-396-548
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume7.2730100010
Total OI400.545321421321411

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$9.22$12.5049.3%14.1%57.7%0.0%0.0%0.0%9.0%-1.8K161.1K-3960.00124.22N/AN/A0090231
2007-03-02$8.89$12.5046.2%13.3%56.0%0.0%0.0%0.0%-5.5%-1.6K159.1K-3720.0090.80N/AN/A010090231
2007-03-05$8.79$10.0059.3%10.0%54.5%0.0%0.0%0.0%5.9%-2.3K236.0K-4510.00101.13N/AN/A0090331
2007-03-06$9.11$10.0036.8%9.9%57.1%0.0%0.0%0.0%3.1%-2.5K233.9K-5440.0097.32N/AN/A0090331
2007-03-07$9.07$10.0046.7%11.9%57.1%0.0%0.0%0.0%3.0%-2.6K240.9K-4810.0096.00N/AN/A0090331
2007-03-08$9.32$10.0052.9%11.0%55.8%0.0%0.0%0.0%1.6%-3.0K231.4K-6000.00108.14N/AN/A0090331
2007-03-09$9.36$10.0045.0%11.7%55.2%0.0%0.0%0.0%-0.1%-2.9K246.6K-5320.00100.50N/AN/A0090331
2007-03-12$9.43$10.0051.9%11.6%54.9%0.0%0.0%0.0%1.0%-3.1K246.5K-5320.0091.79N/AN/A0090331
2007-03-13$9.11$10.0066.7%11.1%55.8%0.0%0.0%0.0%1.8%-2.5K249.9K-4580.00102.38N/AN/A0090331
2007-03-14$9.08$10.0095.5%9.2%55.4%0.0%0.0%0.0%2.5%-2.6K246.6K-4710.00100.76N/AN/A0090331
2007-03-15$9.48$10.0039.9%11.4%57.9%0.0%0.0%0.0%1.3%-3.0K251.0K-4960.0078.41N/AN/A0090331
2007-03-16$9.54$10.0039.3%11.3%57.8%0.0%0.0%0.0%1.3%-3.2K250.4K-5180.0056.37N/AN/A0090331
2007-03-19$9.28$10.00172.8%0.0%58.1%0.0%0.0%0.0%149.5%-3.1K247.3K-4690.00131.60N/AN/A10030331
2007-03-20$9.71$10.0032.1%9.2%61.0%0.0%0.0%0.0%5.7%-3.3K259.5K-4960.00105.14N/AN/A0040331
2007-03-21$10.15$10.0039.0%11.2%63.4%0.0%45.2%0.0%0.4%-4.0K246.3K-6000.0079.61N/AN/A20040331
2007-03-22$10.06$10.0039.0%11.2%63.0%0.0%59.3%0.0%1.8%-4.0K243.0K-6190.0096.09N/AN/A20060331
2007-03-23$10.21$10.0035.9%10.3%46.9%0.0%0.0%0.0%-0.2%-4.3K241.3K-6190.00118.74N/AN/A0080331
2007-03-26$10.16$10.0074.2%21.3%47.0%0.0%0.0%0.0%-11.1%-3.7K238.0K-6510.00121.31N/AN/A0080331
2007-03-27$10.20$10.0038.5%11.0%39.4%0.0%0.0%0.0%1.8%-4.2K248.4K-5840.0096.37N/AN/A0080331
2007-03-28$10.01$10.0039.6%11.4%40.0%0.0%0.0%0.0%-0.3%-4.1K245.5K-5680.0099.52N/AN/A0080331
2007-03-29$9.95$10.0037.2%10.7%39.7%0.0%0.0%0.0%1.9%-4.1K239.6K-5800.0068.41N/AN/A0080331
2007-03-30$10.02$10.0040.7%11.7%36.7%0.0%69.9%0.0%-0.2%-4.0K247.1K-5480.0079.36N/AN/A10080331