VICR Options History — January 2008

In January 2008, VICR traded between $11.67 and $15.54. ATM implied volatility averaged 76.9%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded above realized volatility by 29.2% (HV 20d: 47.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 4.24.

Notable Days

  • 2008-01-24: Highest Volume — 2,418 contracts
  • 2008-01-11: Largest IV spike — 17.3% change
  • 2008-01-14: Highest IV Rank — 48.8%
  • 2008-01-14: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.06$11.67$15.54$14.94$12.31
Max Pain$12.98$12.50$15.00$12.50$12.50
ATM IV76.9%63.6%100.0%66.0%67.9%
Expected Move22.5%18.7%28.7%18.9%19.5%
HV 20d47.7%38.5%54.2%38.5%52.3%
HV 60d42.9%37.9%45.5%37.9%43.0%
IV Rank35.7%28.2%48.8%29.6%30.6%
IV Percentile87.8%81.0%93.3%85.7%81.0%
Term Structure-9.9%-38.7%4.1%1.6%1.2%
VWIV81.3%71.6%92.8%72.4%77.1%
Skew 25d11.8%6.0%16.7%7.7%16.7%
Skew 10d26.5%17.6%46.7%21.2%28.6%
Call IV 25d62.4%55.6%67.0%65.9%55.6%
Put IV 25d74.1%72.3%78.1%73.6%72.3%
Bid-Ask Spread %34.7119.7652.9149.9036.95
Gamma HHI0.480.440.590.500.53
Net GEX-3.5K-23.8K10.0K-9.9K10.0K
Net DEX-560.5K-1.8M975.0K-1.2M-314.9K
Net VEX-7.8K-9.5K-5.3K-5.3K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.240.0068.093.050.00
Total Volume501.90502,41883520
Total OI4,775.7623,6436,0303,6434,968

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$14.94$12.5066.0%18.9%38.5%29.6%72.4%7.7%1.6%-9.9K-1.2M-5.3K3.0549.90N/AN/A2066291,5462,097
2008-01-03$15.54$12.5065.1%18.7%39.1%29.1%76.4%13.9%4.1%-8.7K-1.4M-5.5K2.8937.84N/AN/A4031,1661,5812,516
2008-01-04$14.65$15.0063.6%20.5%45.4%28.2%74.1%6.0%-14.6%-7.0K-1.0M-6.8K0.2520.11N/AN/A5581381,8242,482
2008-01-07$14.73$15.0065.6%20.4%44.4%29.4%83.2%0.0%-13.9%8.0K-1.4M-7.1K0.4124.05N/AN/A191792,1622,280
2008-01-08$14.24$15.0066.6%20.7%44.8%29.9%0.0%15.3%-14.5%187-1.1M-7.0K0.0032.69N/AN/A1502,0932,310
2008-01-09$14.18$15.0071.6%24.2%44.4%32.7%92.8%0.0%-22.3%-814-969.9K-7.1K0.1724.80N/AN/A8971542,1082,310
2008-01-10$14.19$12.5082.9%23.8%40.1%39.1%89.4%10.8%-20.6%5.4K-1.8M-8.0K0.2719.76N/AN/A3082,8422,431
2008-01-11$13.26$12.5097.2%27.9%45.1%47.2%84.2%16.7%-29.1%-7.5K-705.4K-7.6K0.0034.08N/AN/A75402,5142,431
2008-01-14$13.19$12.50100.0%28.7%44.8%48.8%91.2%0.0%-38.7%-3.8K-892.9K-8.1K0.3430.49N/AN/A157542,9902,431
2008-01-15$12.46$12.5085.0%24.4%48.6%40.3%84.8%0.0%-15.8%-18.1K-346.0K-7.7K0.0348.16N/AN/A1,165302,8762,451
2008-01-16$12.72$12.5085.2%24.4%49.5%40.4%85.2%0.0%-14.9%-13.4K-1.1M-9.3K1.6937.98N/AN/A1161963,5792,451
2008-01-17$12.31$12.5083.8%24.0%49.9%39.6%0.0%0.0%-13.1%-23.8K-430.1K-8.5K0.0035.30N/AN/A003,1962,475
2008-01-18$11.77$12.5078.3%22.4%51.7%36.5%71.6%0.0%-8.8%3.2K206.6K-7.6K0.7629.62N/AN/A1321003,1962,475
2008-01-22$11.67$12.5081.4%23.3%51.2%38.2%0.0%0.0%-6.3%2.8K22.2K-7.3K2.0037.08N/AN/A10202,5561,597
2008-01-23$11.98$12.5080.3%23.0%51.7%37.6%80.1%0.0%-7.6%2.2K-92.7K-7.6K0.0939.30N/AN/A5852,5661,617
2008-01-24$12.01$12.5077.4%22.2%50.1%36.0%77.2%0.0%0.6%1.5K-217.1K-7.7K68.0931.61N/AN/A352,3832,6241,622
2008-01-25$11.71$12.5077.2%22.1%49.6%35.9%81.6%0.0%-1.8%-23.6K975.0K-9.5K0.3532.87N/AN/A148522,5892,985
2008-01-28$12.30$12.5074.9%21.5%54.2%34.6%0.0%0.0%2.4%3.7K-116.8K-8.8K0.0035.09N/AN/A002,5871,921
2008-01-29$12.06$12.5074.4%21.3%54.0%34.3%79.3%0.0%3.7%3.4K-5.3K-8.5K0.1338.30N/AN/A142192,5871,911
2008-01-30$12.00$12.5070.3%20.1%51.8%32.0%77.1%0.0%0.4%3.5K6.5K-8.4K0.0952.91N/AN/A431392,6221,892
2008-01-31$12.31$12.5067.9%19.5%52.3%30.6%0.0%0.0%1.2%10.0K-314.9K-9.3K0.0036.95N/AN/A2003,0461,922