VICR Options History — July 2007

In July 2007, VICR traded between $11.87 and $14.36. ATM implied volatility averaged 57.4%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 19.7% (HV 20d: 37.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 4.29.

Notable Days

  • 2007-07-19: Highest Volume — 1,985 contracts
  • 2007-07-10: Largest IV spike — 263.2% change
  • 2007-07-26: Highest IV Rank — 69.7%
  • 2007-07-26: Largest Expected Move — 40.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.41$11.87$14.36$13.27$12.57
Max Pain$14.29$12.50$15.00$12.50$15.00
ATM IV57.4%13.6%141.2%34.0%50.6%
Expected Move17.0%3.9%40.5%9.8%14.5%
HV 20d37.7%24.8%54.2%31.0%54.2%
HV 60d48.1%41.2%51.5%50.2%45.9%
IV Rank21.3%0.0%69.7%7.4%20.9%
IV Percentile59.3%0.0%97.2%38.9%70.8%
Term Structure1.2%-108.5%80.1%23.5%-4.9%
VWIV61.0%50.2%87.0%53.1%50.2%
Bid-Ask Spread %114.1561.09173.10104.58108.33
Gamma HHI0.770.540.980.980.97
Net GEX-79.2K-149.4K-21.6K-59.9K-111.6K
Net DEX1.6M592.7K2.9M774.0K2.7M
Net VEX-7.7K-14.1K-3.1K-3.9K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.290.0036.450.000.51
Total Volume412.09501,98551,656
Total OI4,6802,3198,1472,3218,147

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$13.27$12.5034.0%9.8%31.0%0.0%0.0%0.0%23.5%-59.9K774.0K-3.9K0.00104.58N/AN/A501602,161
2007-07-03$13.16$12.5034.0%9.7%30.3%0.0%0.0%0.0%19.9%-50.0K836.6K-3.9K0.00104.93N/AN/A101582,161
2007-07-05$13.28$12.5039.1%11.2%30.4%7.4%0.0%0.0%80.0%-21.6K726.0K-3.7K0.00161.14N/AN/A001592,161
2007-07-06$13.18$12.5026.7%15.9%30.5%0.0%0.0%0.0%-8.9%-64.5K767.2K-3.7K0.0061.09N/AN/A001592,161
2007-07-09$13.55$12.5030.3%15.7%30.7%2.2%0.0%0.0%-5.4%-73.2K592.7K-3.1K0.0078.49N/AN/A001592,161
2007-07-10$13.27$12.50109.9%14.2%28.8%50.7%53.1%0.0%21.8%-50.3K755.1K-3.5K0.0092.33N/AN/A01,0761592,161
2007-07-11$13.22$15.0048.0%27.9%24.8%13.0%0.0%0.0%-34.4%-75.5K1.2M-4.8K0.00102.51N/AN/A001513,107
2007-07-12$14.36$15.0053.1%15.2%37.3%16.1%0.0%0.0%18.1%-77.8K931.2K-4.1K0.00134.68N/AN/A08351513,107
2007-07-13$14.17$15.0057.0%16.3%37.6%18.4%0.0%0.0%53.4%-76.6K1.3M-6.5K0.00121.08N/AN/A001513,902
2007-07-16$13.99$15.0058.6%16.8%38.0%19.4%55.5%0.0%2.9%-80.5K1.3M-6.1K0.0099.79N/AN/A0301513,902
2007-07-17$13.78$15.0047.7%13.7%38.5%12.8%0.0%0.0%20.0%-82.6K1.6M-6.4K0.00115.57N/AN/A001513,922
2007-07-18$13.89$15.0070.3%20.2%38.2%26.5%0.0%0.0%-7.9%-88.2K1.5M-6.2K0.00111.87N/AN/A03611513,922
2007-07-19$14.35$15.0044.5%12.8%39.2%10.8%54.3%0.0%-1.6%-88.0K1.1M-5.6K36.4591.80N/AN/A531,9321514,222
2007-07-20$14.11$15.0039.1%11.2%37.7%7.5%0.0%0.0%-2.4%-149.4K2.4M-10.7K0.0077.22N/AN/A0251986,049
2007-07-23$13.92$15.0062.9%18.0%38.2%22.1%0.0%0.0%72.0%-102.7K2.2M-10.5K0.00111.42N/AN/A001675,656
2007-07-24$13.37$15.00114.4%32.8%41.1%53.4%0.0%0.0%-76.5%-122.3K2.9M-10.5K0.00133.05N/AN/A1,39711675,656
2007-07-25$13.09$15.00112.3%32.2%41.1%52.1%65.8%0.0%-102.6%-100.4K2.8M-13.1K0.06119.19N/AN/A972551,4055,656
2007-07-26$12.55$15.00141.2%40.5%43.5%69.7%87.0%0.0%-108.5%-73.6K2.4M-14.1K1.61146.85N/AN/A31502,3515,671
2007-07-27$11.87$15.0013.6%3.9%47.3%0.0%0.0%0.0%80.1%-55.5K2.6M-13.9K0.00148.06N/AN/A1402,3635,686
2007-07-30$12.72$15.0018.0%5.2%54.1%2.5%0.0%0.0%-12.5%-58.8K2.7M-13.8K0.00173.10N/AN/A16002,3615,686
2007-07-31$12.57$15.0050.6%14.5%54.2%20.9%50.2%0.0%-4.9%-111.6K2.7M-14.0K0.51108.33N/AN/A1,0965602,4615,686