VICR Options History — December 2007

In December 2007, VICR traded between $13.77 and $15.59. ATM implied volatility averaged 60.2%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 25.0% (HV 20d: 35.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.27.

Notable Days

  • 2007-12-31: Highest Volume — 879 contracts
  • 2007-12-10: Largest IV spike — 21.3% change
  • 2007-12-10: Highest IV Rank — 32.7%
  • 2007-12-10: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.45$13.77$15.59$14.13$15.59
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV60.2%56.6%71.6%62.4%57.3%
Expected Move17.0%16.2%18.4%17.9%16.4%
HV 20d35.2%30.3%37.6%35.0%35.9%
HV 60d38.4%36.7%40.1%39.5%36.7%
IV Rank26.3%24.2%32.7%27.5%24.7%
IV Percentile74.4%64.5%89.4%82.7%67.6%
Term Structure-2.0%-6.5%7.3%-2.8%7.3%
VWIV72.5%58.0%96.3%71.1%83.0%
Skew 25d10.1%7.9%14.4%8.1%14.4%
Skew 10d20.0%13.3%27.5%13.3%27.5%
Call IV 25d55.3%53.2%57.5%55.3%53.2%
Put IV 25d65.5%63.4%67.5%63.4%67.5%
Bid-Ask Spread %33.8923.0257.9132.3647.61
Gamma HHI0.590.430.700.640.43
Net GEX-13.1K-20.0K-1.5K-15.5K-1.5K
Net DEX-907.4K-1.6M-434.1K-524.9K-1.6M
Net VEX-5.0K-5.7K-4.0K-5.2K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.0012.521.4212.52
Total Volume116.15087975879
Total OI3,320.053,0483,7243,0783,103

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$14.13$12.5062.4%17.9%35.0%27.5%0.0%0.0%-2.8%-15.5K-524.9K-5.2K1.4232.36N/AN/A31441,1751,903
2007-12-04$13.78$12.5057.3%16.4%36.3%24.6%71.1%0.0%0.9%-17.6K-460.3K-5.2K1.0033.67N/AN/A20201,1951,877
2007-12-05$13.77$12.5056.7%16.2%34.5%24.3%0.0%0.0%3.2%-17.8K-434.1K-5.3K0.0036.89N/AN/A001,2081,897
2007-12-06$14.18$12.5057.7%16.5%30.3%24.9%0.0%0.0%-1.2%-15.4K-540.7K-5.2K0.0030.06N/AN/A5001,2081,897
2007-12-07$14.61$12.5059.1%16.9%31.2%25.7%81.3%0.0%-2.5%-15.3K-853.2K-4.9K0.6436.94N/AN/A55351,2581,897
2007-12-10$14.83$12.5071.6%18.4%31.4%32.7%96.3%0.0%-6.5%-13.4K-994.9K-4.8K1.1723.18N/AN/A1621891,3031,897
2007-12-11$14.06$12.5068.3%18.3%37.6%30.9%0.0%0.0%-6.0%-16.1K-643.5K-5.5K0.0057.91N/AN/A0131,4342,046
2007-12-12$14.51$12.5067.6%17.5%36.0%30.5%0.0%0.0%-4.2%-15.1K-847.8K-5.3K0.0025.51N/AN/A4001,4342,059
2007-12-13$14.27$12.5062.2%17.8%36.6%27.4%0.0%0.0%-5.7%-14.7K-727.9K-5.5K0.0023.02N/AN/A10501,4642,059
2007-12-14$14.14$12.5059.9%17.2%36.7%26.1%0.0%0.0%-4.3%-19.5K-719.0K-5.3K0.0125.74N/AN/A17711,4082,059
2007-12-17$13.96$12.5061.3%17.6%37.0%26.9%0.0%0.0%-5.9%-18.7K-778.1K-5.5K0.3027.73N/AN/A33101,5732,059
2007-12-18$14.16$12.5059.5%17.1%36.6%25.9%73.4%0.0%-5.1%-15.9K-819.5K-5.7K6.0024.05N/AN/A10601,5952,069
2007-12-19$14.06$12.5058.5%16.8%36.6%25.4%69.7%0.0%-5.3%-20.0K-876.4K-5.4K10.6737.85N/AN/A6641,5952,129
2007-12-20$14.21$12.5058.6%16.8%35.6%25.4%0.0%0.0%-4.5%-14.5K-974.4K-5.1K0.0035.93N/AN/A2001,5952,089
2007-12-21$14.50$12.5058.5%16.8%35.1%25.3%61.8%0.0%-5.2%-15.6K-1.1M-5.1K1.0035.63N/AN/A1001001,6152,089
2007-12-24$14.90$12.5056.6%16.2%36.1%24.3%0.0%0.0%1.2%-4.9K-1.2M-4.8K0.0023.31N/AN/A001,4461,607
2007-12-26$15.07$12.5057.6%16.5%36.2%24.8%58.1%0.0%2.1%-3.5K-1.3M-4.6K1.6734.53N/AN/A6101,4461,607
2007-12-27$15.05$12.5056.6%16.2%34.6%24.2%0.0%8.1%3.5%-3.5K-1.4M-4.3K0.0043.37N/AN/A0351,4511,607
2007-12-28$15.13$12.5057.2%16.4%34.6%24.6%58.0%7.9%0.6%-2.9K-1.4M-4.4K0.0042.60N/AN/A4801,4511,597
2007-12-31$15.59$12.5057.3%16.4%35.9%24.7%83.0%14.4%7.3%-1.5K-1.6M-4.0K12.5247.61N/AN/A658141,4811,622