VICR Options History — November 2007

In November 2007, VICR traded between $13.03 and $14.44. ATM implied volatility averaged 63.5%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 18.6% (HV 20d: 44.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 4.49.

Notable Days

  • 2007-11-16: Highest Volume — 742 contracts
  • 2007-11-13: Largest IV drop — 47.1% change
  • 2007-11-12: Highest IV Rank — 47.4%
  • 2007-11-05: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.74$13.03$14.44$13.07$14.44
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV63.5%51.6%97.6%64.5%58.2%
Expected Move18.4%15.6%21.1%18.5%16.7%
HV 20d44.9%33.7%48.7%41.4%33.7%
HV 60d41.3%40.1%44.3%44.3%40.1%
IV Rank28.2%21.5%47.4%28.8%25.2%
IV Percentile80.5%63.8%91.7%87.1%73.0%
Term Structure0.3%-7.6%8.8%5.5%0.3%
VWIV66.3%58.9%74.0%74.0%58.9%
Bid-Ask Spread %51.1231.3787.1887.1860.50
Gamma HHI0.740.660.810.800.66
Net GEX-19.6K-28.8K-11.8K-25.0K-16.1K
Net DEX-236.3K-567.5K81.4K81.4K-529.2K
Net VEX-4.6K-5.2K-4.2K-4.5K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.490.0017.500.000.46
Total Volume94.2380742100111
Total OI2,766.9522,4903,0482,4903,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$13.07$12.5064.5%18.5%41.4%28.8%0.0%0.0%5.5%-25.0K81.4K-4.5K0.0087.18N/AN/A10007351,755
2007-11-02$13.12$12.5061.3%17.6%41.4%26.9%0.0%0.0%8.8%-23.6K-42.1K-4.6K0.0067.30N/AN/A008251,755
2007-11-05$13.28$12.5065.5%21.1%41.6%29.3%74.0%0.0%-7.6%-23.2K-104.9K-4.3K17.5033.50N/AN/A2358251,755
2007-11-06$13.71$12.5052.5%20.5%43.0%22.0%0.0%0.0%-6.3%-25.0K-229.2K-4.2K0.0040.35N/AN/A008251,775
2007-11-07$13.03$12.5066.9%20.7%46.8%30.1%0.0%0.0%-7.2%-26.1K-681-4.4K0.0040.27N/AN/A008251,775
2007-11-08$13.27$12.5071.3%19.1%46.8%32.6%66.7%0.0%1.7%-25.0K-76.6K-4.4K1.1747.91N/AN/A901058251,775
2007-11-09$13.42$12.5074.5%20.4%46.8%34.4%0.0%0.0%-4.3%-28.8K-132.5K-4.7K0.0045.26N/AN/A069051,880
2007-11-12$13.39$12.5097.6%20.4%46.4%47.4%0.0%0.0%-4.7%-13.2K-238.2K-4.4K0.0048.48N/AN/A0719051,880
2007-11-13$13.99$12.5051.6%17.2%48.7%21.5%0.0%0.0%-1.4%-17.7K-347.2K-4.3K2.6045.39N/AN/A10269051,809
2007-11-14$13.96$12.5052.6%17.2%48.6%22.0%0.0%0.0%-0.2%-15.4K-363.8K-4.2K0.0053.34N/AN/A009051,783
2007-11-15$14.00$12.5061.8%17.7%48.3%27.2%67.5%0.0%0.9%-11.8K-399.5K-4.2K10.4544.57N/AN/A202099051,783
2007-11-16$14.02$12.5054.5%15.6%47.0%23.1%62.3%0.0%4.8%-14.5K-358.9K-4.3K9.6044.96N/AN/A706729051,926
2007-11-19$13.75$12.5068.0%19.5%47.2%30.7%60.9%0.0%4.7%-22.7K-128.6K-5.2K10.8045.63N/AN/A5549032,109
2007-11-20$13.91$12.5058.5%16.8%47.0%25.3%70.6%0.0%1.8%-17.6K-206.1K-4.8K0.0055.88N/AN/A0169031,883
2007-11-21$13.59$12.5069.7%20.0%47.9%31.7%70.3%0.0%3.8%-18.7K-145.4K-4.8K2.5060.92N/AN/A10259081,893
2007-11-23$13.95$12.5060.4%17.3%47.2%26.4%0.0%0.0%3.2%-17.6K-232.8K-4.7K0.0055.05N/AN/A0309181,918
2007-11-26$13.88$12.5062.6%18.0%42.7%27.7%69.1%0.0%2.2%-18.3K-207.7K-4.7K2.0054.65N/AN/A5109181,918
2007-11-27$13.94$12.5061.9%17.7%42.4%27.2%62.5%0.0%-0.3%-18.9K-249.2K-4.6K0.0049.91N/AN/A16109231,918
2007-11-28$14.40$12.5060.4%17.3%43.8%26.4%58.9%0.0%0.1%-15.3K-484.4K-5.0K1.2561.10N/AN/A16201,0691,918
2007-11-29$14.34$12.5058.9%16.9%43.3%25.6%0.0%0.0%-0.2%-17.2K-567.5K-4.8K0.0031.37N/AN/A10001,0801,938
2007-11-30$14.44$12.5058.2%16.7%33.7%25.2%0.0%0.0%0.3%-16.1K-529.2K-5.1K0.4660.50N/AN/A76351,1101,938