VICR Options History — June 2007

In June 2007, VICR traded between $12.13 and $13.37. ATM implied volatility averaged 52.8%. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 3.4% (HV 20d: 49.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2007-06-21: Highest Volume — 1,516 contracts
  • 2007-06-29: Largest IV spike — 199.8% change
  • 2007-06-18: Largest Expected Move — 31.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.79$12.13$13.37$13.18$13.23
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV52.8%33.3%109.0%37.0%99.8%
Expected Move14.7%9.5%31.3%10.6%28.6%
HV 20d49.3%31.6%52.1%49.3%31.6%
HV 60d51.1%50.3%52.1%51.5%50.3%
Term Structure14.3%-78.5%53.1%11.4%-78.5%
VWIV48.6%36.9%60.0%48.8%60.0%
Bid-Ask Spread %110.6669.16159.1582.72159.15
Gamma HHI0.910.660.980.870.97
Net GEX-19.4K-60.0K285-7.7K-19.0K
Net DEX285.2K-141.8K931.5K-14.4K753.2K
Net VEX-2.1K-4.4K-391-933-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.002.610.750.48
Total Volume98.71401,516700
Total OI1,107.9055052,3215052,321

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$13.18$0.0037.0%10.6%49.3%0.0%48.8%0.0%11.4%-7.7K-14.4K-9330.7582.72N/AN/A4030172333
2007-06-04$12.96$12.5096.3%29.0%50.1%0.0%0.0%0.0%-0.8%285-141.8K-3912.61143.39N/AN/A2360161363
2007-06-05$12.71$12.5051.8%11.0%51.0%0.0%0.0%0.0%6.0%-10.4K59.5K-1.3K0.0099.92N/AN/A10184413
2007-06-06$12.70$12.5037.7%11.6%50.6%0.0%0.0%0.0%6.6%-10.4K61.8K-1.2K1.00109.76N/AN/A1010185413
2007-06-07$12.70$12.5039.4%11.7%50.6%0.0%0.0%0.0%3.2%-10.1K56.0K-1.3K0.0099.39N/AN/A00195423
2007-06-08$13.04$12.5038.5%11.7%48.7%0.0%0.0%0.0%7.1%-11.3K28.6K-1.3K0.0098.71N/AN/A00195423
2007-06-11$12.59$12.5070.1%15.6%51.2%0.0%0.0%0.0%9.6%-7.7K44.7K-1.3K0.00106.31N/AN/A00195423
2007-06-12$12.13$12.5046.4%11.5%52.1%0.0%0.0%0.0%3.6%-10.3K120.0K-1.2K0.00102.23N/AN/A00195423
2007-06-13$12.18$12.5048.3%11.3%51.6%0.0%0.0%0.0%4.9%-11.0K130.9K-1.2K0.0095.84N/AN/A00195423
2007-06-14$12.46$12.5041.0%11.8%51.7%0.0%0.0%0.0%3.8%-11.0K96.7K-1.2K0.0097.33N/AN/A00195423
2007-06-15$12.40$12.5036.9%10.6%50.6%0.0%36.9%0.0%21.7%-13.7K88.6K-1.2K0.00100.38N/AN/A050195423
2007-06-18$12.60$12.50109.0%31.3%50.1%0.0%0.0%0.0%52.6%-14.0K110.7K-1.2K0.00136.87N/AN/A00195453
2007-06-19$12.49$12.5037.2%10.7%50.4%0.0%0.0%0.0%10.8%-14.0K91.7K-1.2K0.0069.16N/AN/A00195453
2007-06-20$12.42$12.5045.0%12.9%50.1%0.0%0.0%0.0%38.1%-11.6K97.1K-1.2K0.00149.71N/AN/A0211195453
2007-06-21$12.96$12.5034.4%9.9%51.9%0.0%0.0%0.0%28.9%-15.3K140.2K-1.6K0.00110.77N/AN/A01,516195653
2007-06-22$13.08$12.5033.8%9.7%50.0%0.0%0.0%0.0%36.7%-51.6K885.1K-4.4K0.00108.55N/AN/A011952,126
2007-06-25$12.99$12.5059.8%17.2%48.4%0.0%60.0%0.0%53.1%-32.6K931.5K-4.3K0.48117.23N/AN/A65311952,126
2007-06-26$13.27$12.5041.0%11.8%48.4%0.0%0.0%0.0%11.6%-50.1K838.9K-4.2K0.00115.49N/AN/A0251832,136
2007-06-27$13.37$12.5071.0%20.4%48.3%0.0%0.0%0.0%46.6%-36.5K785.0K-4.2K0.00141.78N/AN/A001602,161
2007-06-28$13.19$12.5033.3%9.5%48.8%0.0%0.0%0.0%23.3%-60.0K825.6K-4.1K0.0079.12N/AN/A001602,161
2007-06-29$13.23$12.5099.8%28.6%31.6%0.0%0.0%0.0%-78.5%-19.0K753.2K-4.0K0.00159.15N/AN/A001602,161