VICR Options History — August 2007

In August 2007, VICR traded between $11.16 and $13.98. ATM implied volatility averaged 66.2%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded above realized volatility by 4.1% (HV 20d: 62.1%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 14.56.

Notable Days

  • 2007-08-16: Highest Volume — 1,230 contracts
  • 2007-08-02: Largest IV spike — 221.4% change
  • 2007-08-16: Highest IV Rank — 86.0%
  • 2007-08-16: Largest Expected Move — 47.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.18$11.16$13.98$12.19$11.79
Max Pain$11.74$10.00$15.00$15.00$12.50
ATM IV66.2%22.4%166.1%22.4%36.9%
Expected Move22.6%6.4%47.6%6.4%10.6%
HV 20d62.1%55.1%67.6%55.1%55.3%
HV 60d50.6%46.4%53.3%46.4%49.2%
IV Rank29.7%5.0%86.0%5.0%13.2%
IV Percentile66.4%1.4%98.1%1.4%22.2%
Term Structure-8.3%-107.8%136.7%136.7%8.8%
VWIV70.0%32.1%168.2%32.1%60.9%
Bid-Ask Spread %132.6881.82200.00129.3694.44
Gamma HHI0.720.430.990.890.46
Net GEX-87.1K-647.4K33.1K-67.0K31.3K
Net DEX1.4M218.5K3.6M1.6M519.6K
Net VEX-13.8K-18.9K-8.4K-17.7K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.560.00122.000.200.00
Total Volume219.04301,23012017
Total OI9,069.7836,51310,7779,5677,987

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$12.19$15.0022.4%6.4%55.1%5.0%32.1%0.0%136.7%-67.0K1.6M-17.7K0.20129.36N/AN/A100203,4786,089
2007-08-02$12.59$15.0071.8%20.6%56.4%32.9%0.0%0.0%-9.5%-91.5K2.2M-16.6K0.02148.19N/AN/A1,154263,4986,077
2007-08-03$11.98$15.00102.8%29.5%58.8%50.3%0.0%0.0%-60.9%-26.5K2.4M-17.2K111.00122.89N/AN/A11114,2956,088
2007-08-06$11.88$10.0055.7%14.4%57.6%23.8%0.0%0.0%3.5%-68.1K3.6M-15.3K0.00128.42N/AN/A004,3926,198
2007-08-07$12.23$10.0040.7%46.9%58.6%15.3%0.0%0.0%-107.8%-87.2K2.5M-16.9K0.20140.68N/AN/A1024,1726,198
2007-08-08$13.30$10.0043.3%44.5%66.4%16.8%0.0%0.0%-95.2%-85.2K1.0M-18.7K1.24151.37N/AN/A2412984,1826,198
2007-08-09$13.98$10.0053.0%25.7%61.9%22.2%0.0%0.0%-11.5%-69.0K218.5K-14.5K10.00164.45N/AN/A101004,4026,210
2007-08-10$13.02$10.0048.8%36.4%66.6%19.9%0.0%0.0%-66.5%-67.2K1.3M-18.9K0.00173.24N/AN/A7004,3786,310
2007-08-13$12.62$10.00134.7%20.6%67.2%68.3%66.1%0.0%15.0%-85.9K1.8M-17.2K0.00135.09N/AN/A11004,3986,268
2007-08-14$12.42$10.0050.2%22.4%67.3%20.6%0.0%0.0%-9.1%-392.4K1.9M-17.2K0.00128.43N/AN/A0754,5086,258
2007-08-15$12.06$10.0061.3%13.0%67.6%26.9%0.0%0.0%15.4%-132.6K3.5M-14.6K0.00104.78N/AN/A0534,5086,269
2007-08-16$12.34$10.00166.1%47.6%66.9%86.0%168.2%0.0%-22.7%-471.5K1.8M-16.9K122.00183.17N/AN/A101,2204,5086,269
2007-08-17$12.38$10.00111.8%32.1%66.9%55.4%0.0%0.0%24.0%-647.4K2.5M-8.4K0.00200.00N/AN/A0102,0394,474
2007-08-20$12.34$12.5041.5%11.9%66.9%15.7%41.3%0.0%24.8%18.6K997.8K-13.9K0.80108.66N/AN/A50404,5063,843
2007-08-21$12.12$12.50133.1%38.2%65.8%67.4%0.0%0.0%-68.7%23.1K252.3K-11.2K0.00162.37N/AN/A13904,4962,693
2007-08-22$11.95$12.5051.9%14.9%65.7%21.6%51.0%0.0%1.2%30.1K219.2K-11.3K0.00125.61N/AN/A0104,5462,693
2007-08-23$11.59$12.5053.4%15.3%64.9%22.5%0.0%0.0%-4.4%27.4K668.5K-10.4K0.00119.20N/AN/A16004,5852,693
2007-08-24$11.80$12.5049.8%14.3%62.3%20.4%0.0%0.0%6.0%32.6K532.6K-10.8K0.00118.83N/AN/A16604,7332,693
2007-08-27$11.47$12.5049.5%14.2%57.3%20.3%0.0%0.0%-2.0%32.9K623.6K-10.1K0.39116.25N/AN/A180704,8952,693
2007-08-28$11.16$12.5057.4%16.5%57.8%24.7%60.9%0.0%21.4%31.2K750.4K-9.7K0.14104.25N/AN/A388555,0752,763
2007-08-29$11.52$12.5045.3%13.0%58.5%17.9%0.0%0.0%3.8%33.1K388.3K-10.5K1.58110.07N/AN/A55875,2772,783
2007-08-30$11.50$12.5041.4%11.9%57.1%15.7%0.0%0.0%6.4%27.4K745.2K-9.7K0.0081.82N/AN/A005,1332,854
2007-08-31$11.79$12.5036.9%10.6%55.3%13.2%0.0%0.0%8.8%31.3K519.6K-10.2K0.0094.44N/AN/A1705,1332,854