VICR Options History — February 2008

In February 2008, VICR traded between $11.26 and $13.11. ATM implied volatility averaged 65.3%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 8.8% (HV 20d: 56.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 17.12.

Notable Days

  • 2008-02-04: Highest Volume — 1,272 contracts
  • 2008-02-12: Largest IV drop — 31.0% change
  • 2008-02-04: Highest IV Rank — 32.5%
  • 2008-02-04: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.22$11.26$13.11$13.06$12.13
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV65.3%45.8%71.3%65.7%60.9%
Expected Move19.5%17.5%20.7%18.8%17.5%
HV 20d56.5%50.3%62.8%55.1%62.8%
HV 60d47.5%44.2%52.0%44.7%52.0%
IV Rank29.2%18.2%32.5%29.4%26.7%
IV Percentile74.5%37.3%83.7%78.6%64.7%
Term Structure0.3%-2.7%3.4%3.4%-0.7%
VWIV66.2%41.1%86.1%62.9%60.9%
Bid-Ask Spread %36.3322.9751.2436.3533.47
Gamma HHI0.480.440.710.540.44
Net GEX5.3K23813.0K12.6K2.6K
Net DEX-146.7K-871.0K714.4K-863.2K-64.3K
Net VEX-9.2K-10.8K-7.3K-9.6K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.120.00126.20107.730.91
Total Volume236.9501,2721,19663
Total OI5,027.154,4165,6864,9884,794

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$13.06$12.5065.7%18.8%55.1%29.4%62.9%0.0%3.4%12.6K-863.2K-9.6K107.7336.35N/AN/A111,1853,0661,922
2008-02-04$13.01$12.5071.3%20.7%51.8%32.5%71.5%0.0%-1.1%1.6K-560.5K-10.8K126.2026.53N/AN/A101,2623,0572,629
2008-02-05$12.17$12.5070.5%19.8%55.9%32.1%69.7%0.0%0.9%7.5K-204.6K-9.7K11.0022.97N/AN/A101103,0572,169
2008-02-06$11.90$12.5065.0%19.9%55.4%29.0%0.0%0.0%0.8%4.5K84.3K-9.3K0.0030.11N/AN/A003,0522,197
2008-02-07$12.07$12.5065.0%19.7%56.0%29.0%69.2%0.0%1.3%4.2K41.0K-9.3K2.0030.23N/AN/A5103,0522,177
2008-02-08$12.10$12.5064.0%20.0%56.0%28.4%0.0%0.0%1.4%3.9K-57.1K-9.2K0.0030.87N/AN/A003,0572,187
2008-02-11$11.92$12.5066.4%19.7%51.5%29.8%86.1%0.0%2.3%2.2K164.0K-8.7K0.0034.31N/AN/A6003,0572,187
2008-02-12$11.78$12.5045.8%19.9%51.6%18.2%41.1%0.0%0.2%1.8K354.1K-8.4K1.0034.53N/AN/A10103,0672,187
2008-02-13$12.28$12.5055.9%19.7%50.4%23.9%0.0%0.0%0.6%238-7.5K-8.8K0.0030.61N/AN/A003,0672,197
2008-02-14$11.74$12.5068.6%19.7%52.1%31.0%69.2%0.0%1.2%2.2K435.7K-8.2K6.9439.94N/AN/A171183,0672,197
2008-02-15$11.30$12.5068.6%19.7%52.5%31.0%66.4%0.0%1.1%2.2K714.4K-7.6K0.6247.45N/AN/A131813,0692,215
2008-02-19$11.26$12.5068.8%19.7%50.3%31.2%0.0%0.0%-0.6%3.5K402.3K-7.3K0.0323.63N/AN/A707202,4811,935
2008-02-20$12.37$12.5067.3%19.3%60.7%30.3%0.0%0.0%1.3%10.1K-364.3K-9.6K0.0045.43N/AN/A72602,8281,955
2008-02-21$12.40$12.5067.6%19.4%60.0%30.5%67.0%0.0%1.6%13.0K-646.2K-10.6K1.1138.15N/AN/A27303,0711,955
2008-02-22$12.08$12.5067.0%19.2%60.8%30.1%66.4%0.0%-0.4%5.6K-111.7K-9.4K0.0844.89N/AN/A2422,7321,975
2008-02-25$12.61$12.5067.8%19.4%61.9%30.6%0.0%0.0%-2.0%7.1K-500.8K-9.7K0.0051.24N/AN/A1202,7471,976
2008-02-26$13.11$12.5068.3%19.6%61.0%30.8%0.0%0.0%-2.7%8.5K-871.0K-9.9K0.0050.36N/AN/A002,7411,976
2008-02-27$12.58$12.5067.7%19.4%62.5%30.5%0.0%0.0%-1.6%6.8K-451.7K-9.6K10.0044.46N/AN/A1102,7411,976
2008-02-28$12.49$12.5064.2%18.4%62.5%28.6%64.2%0.0%-0.5%6.2K-427.1K-9.4K6.2530.96N/AN/A12752,7421,986
2008-02-29$12.13$12.5060.9%17.5%62.8%26.7%60.9%0.0%-0.7%2.6K-64.3K-9.0K0.9133.47N/AN/A33302,7542,040