VICR Options History — October 2007

In October 2007, VICR traded between $12.58 and $14.53. ATM implied volatility averaged 53.0%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 16.7% (HV 20d: 36.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 13.59.

Notable Days

  • 2007-10-29: Highest Volume — 922 contracts
  • 2007-10-11: Largest IV spike — 22.4% change
  • 2007-10-25: Highest IV Rank — 27.6%
  • 2007-10-25: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.32$12.58$14.53$12.58$14.04
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV53.0%39.3%62.5%44.8%55.1%
Expected Move16.0%11.8%17.9%12.9%15.8%
HV 20d36.3%28.3%45.8%44.2%33.7%
HV 60d48.8%45.0%53.2%52.5%45.0%
IV Rank22.3%14.5%27.6%17.6%23.4%
IV Percentile66.6%30.6%85.9%46.5%71.8%
Term Structure2.9%-2.7%18.5%14.5%6.2%
VWIV64.0%55.8%74.3%55.8%71.6%
Bid-Ask Spread %60.5725.31103.4097.2450.49
Gamma HHI0.610.370.930.460.80
Net GEX13.3K-29.6K81.6K27.1K-29.6K
Net DEX-1.4M-3.1M-107.1K-584.4K-107.1K
Net VEX-4.9K-8.0K-2.9K-8.0K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.590.0076.200.000.00
Total Volume101.3910922068
Total OI5,495.1741,9187,7457,2042,838

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$12.58$12.5044.8%12.9%44.2%17.6%0.0%0.0%14.5%27.1K-584.4K-8.0K0.0097.24N/AN/A004,2972,907
2007-10-02$12.97$12.5044.5%12.8%45.1%17.5%0.0%0.0%12.5%35.5K-1.5M-7.8K0.00103.40N/AN/A1504,2972,907
2007-10-03$12.65$12.5041.2%11.8%44.5%15.6%0.0%0.0%18.5%31.9K-1.2M-7.5K0.0068.03N/AN/A0204,3122,907
2007-10-04$13.11$12.5045.3%13.0%45.8%17.9%0.0%0.0%13.8%38.0K-1.7M-7.4K0.00100.52N/AN/A004,3122,913
2007-10-05$13.13$12.5040.0%16.4%42.6%14.9%0.0%0.0%-0.5%38.3K-1.9M-7.0K0.0071.25N/AN/A004,3122,913
2007-10-08$13.05$12.5040.5%16.8%41.3%15.2%0.0%0.0%-1.0%35.4K-1.8M-6.4K0.0048.66N/AN/A004,3122,913
2007-10-09$13.08$12.5039.3%17.0%39.9%14.5%0.0%0.0%-2.7%34.2K-1.8M-6.1K0.0044.12N/AN/A004,3122,913
2007-10-10$13.22$12.5045.4%16.0%38.0%18.0%0.0%0.0%0.1%38.9K-2.1M-5.9K0.0059.45N/AN/A2404,3122,913
2007-10-11$13.47$12.5055.6%15.9%38.2%23.7%0.0%0.0%2.6%33.2K-2.8M-4.8K0.0082.20N/AN/A004,3122,913
2007-10-12$13.61$12.5055.9%16.0%37.6%23.9%55.8%0.0%1.4%18.4K-3.1M-3.6K1.6057.91N/AN/A10164,3122,913
2007-10-15$13.38$12.5056.4%16.2%36.1%24.2%0.0%0.0%1.4%19.5K-2.8M-3.8K0.0070.95N/AN/A11104,3122,929
2007-10-16$13.22$12.5058.2%16.7%31.1%25.2%0.0%0.0%-1.1%-37-3.0M-2.9K0.0055.59N/AN/A014,2322,929
2007-10-17$13.14$12.5057.8%16.6%28.3%24.9%58.0%0.0%-0.8%5.0K-2.9M-3.0K76.2064.93N/AN/A107624,2612,930
2007-10-18$13.00$12.5061.3%17.6%28.7%26.9%61.4%0.0%-0.1%2.4K-2.6M-4.3K0.0048.77N/AN/A0104,2713,474
2007-10-19$12.65$12.5059.7%17.1%30.1%26.0%59.6%0.0%-0.7%81.6K-1.5M-4.5K1.5263.49N/AN/A40614,2713,225
2007-10-22$12.96$12.5058.7%16.8%31.3%25.5%0.0%0.0%1.6%-14.2K-131.6K-3.7K0.0058.53N/AN/A006951,223
2007-10-23$13.17$12.5061.3%17.6%30.5%26.9%0.0%0.0%-1.4%-13.8K-177.8K-3.6K0.0051.93N/AN/A0206951,223
2007-10-24$13.11$12.5060.3%17.3%30.6%26.3%0.0%0.0%-0.8%-14.7K-166.7K-3.6K0.0065.87N/AN/A006951,243
2007-10-25$13.57$12.5062.5%17.9%32.5%27.6%0.0%0.0%-0.2%-13.3K-295.2K-3.4K0.0040.71N/AN/A006951,243
2007-10-26$14.34$12.5057.1%16.4%36.2%24.6%74.3%0.0%-0.4%-10.8K-426.7K-3.2K20.9133.56N/AN/A112306951,243
2007-10-29$14.53$12.5060.2%17.3%34.6%26.3%67.7%0.0%2.2%-12.0K-453.3K-3.3K22.0530.21N/AN/A408826951,365
2007-10-30$14.30$12.5058.9%16.9%34.4%25.6%0.0%0.0%2.6%-26.1K-189.9K-4.4K0.0025.31N/AN/A107352,070
2007-10-31$14.04$12.5055.1%15.8%33.7%23.4%71.6%0.0%6.2%-29.6K-107.1K-4.5K0.0050.49N/AN/A0687352,103