VICR Options History — March 2008

In March 2008, VICR traded between $10.61 and $12.71. ATM implied volatility averaged 61.1%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 6.2% (HV 20d: 67.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 15.94.

Notable Days

  • 2008-03-24: Highest Volume — 1,343 contracts
  • 2008-03-11: Largest IV drop — 35.6% change
  • 2008-03-06: Highest IV Rank — 38.3%
  • 2008-03-06: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.72$10.61$12.71$11.76$11.94
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV61.1%50.5%81.5%63.8%56.3%
Expected Move17.5%14.5%23.4%18.3%16.1%
HV 20d67.3%55.2%79.5%59.5%72.0%
HV 60d57.4%51.4%63.1%52.1%62.2%
IV Rank26.8%20.8%38.3%28.3%24.1%
IV Percentile58.8%38.1%89.3%70.2%45.6%
Term Structure-2.2%-16.0%8.3%-1.8%4.4%
VWIV56.6%35.9%73.2%73.2%55.7%
Bid-Ask Spread %46.0219.4487.9933.3050.69
Gamma HHI0.520.430.750.440.46
Net GEX1.9K-20.7K9.5K3.0K-3.5K
Net DEX110.4K-361.0K751.6K221.1K61.6K
Net VEX-10.0K-11.9K-8.0K-8.5K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.940.00202.000.030.70
Total Volume267.5511,3431,0663
Total OI5,588.254,8535,9454,8535,490

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$11.76$12.5063.8%18.3%59.5%28.3%73.2%0.0%-1.8%3.0K221.1K-8.5K0.0333.30N/AN/A1,040262,7832,070
2008-03-04$11.57$12.5063.2%18.1%59.6%28.0%66.2%0.0%-1.0%8.9K19.7K-10.2K0.1743.07N/AN/A490853,4032,090
2008-03-05$11.63$12.5063.2%18.1%55.2%28.0%0.0%0.0%-4.0%8.4K-83.9K-10.3K0.0041.38N/AN/A103,4152,073
2008-03-06$11.19$12.5081.5%23.4%56.2%38.3%71.1%0.0%-16.0%4.4K403.6K-8.8K0.5734.26N/AN/A2281293,2152,073
2008-03-07$11.12$12.5078.3%18.8%55.9%36.5%0.0%0.0%-4.6%5.7K430.3K-9.2K0.1719.44N/AN/A60103,4152,090
2008-03-10$10.61$12.5078.4%19.7%57.8%36.5%0.0%0.0%-7.6%5.7K708.5K-8.0K1.0223.51N/AN/A60613,4722,100
2008-03-11$11.47$12.5050.5%17.3%65.0%20.8%51.3%0.0%-5.1%6.2K185.9K-9.9K3.2937.38N/AN/A311023,5322,124
2008-03-12$11.35$12.5053.7%17.6%65.0%22.6%61.9%0.0%-6.4%5.5K229.7K-10.1K2.2149.44N/AN/A14313,5442,221
2008-03-13$12.12$12.5060.1%17.2%67.6%26.3%35.9%0.0%-7.0%5.8K-361.0K-11.1K11.6738.38N/AN/A3353,5432,222
2008-03-14$11.54$12.5063.2%18.1%68.0%28.0%0.0%0.0%-9.8%5.1K134.2K-10.3K0.0036.97N/AN/A0483,5432,257
2008-03-17$10.99$12.5064.1%18.4%68.8%28.5%43.6%0.0%-2.9%2.5K751.6K-8.5K1.5661.70N/AN/A54843,5432,293
2008-03-18$12.28$12.5058.3%16.7%79.5%25.2%58.3%0.0%-3.0%4.1K-344.3K-11.0K0.5750.85N/AN/A35203,5732,278
2008-03-19$11.74$12.5057.5%16.5%73.9%24.8%57.5%0.0%-2.0%3.8K209.2K-9.9K2.3659.78N/AN/A701653,5682,268
2008-03-20$11.98$12.5056.8%16.3%74.3%24.4%0.0%0.0%-0.1%9.5K11.3K-10.1K1.4751.00N/AN/A15223,5982,164
2008-03-24$12.15$12.5053.9%15.5%73.9%22.8%53.9%0.0%5.5%1.6K-285.7K-9.7K42.3241.56N/AN/A311,3123,1821,832
2008-03-25$12.71$12.5056.1%16.1%74.1%24.0%56.2%0.0%3.5%-20.7K-252.7K-11.9K202.0086.22N/AN/A51,0103,1872,758
2008-03-26$12.20$12.5050.7%14.5%74.0%21.0%50.8%0.0%8.3%-14.1K128.1K-11.4K0.8387.99N/AN/A24203,1932,652
2008-03-27$12.10$12.5057.0%16.3%72.7%24.5%56.9%0.0%3.7%-1.2K-85.9K-10.8K0.0035.71N/AN/A0103,1832,315
2008-03-28$12.02$12.5055.7%16.0%72.7%23.7%55.7%0.0%2.8%-2.5K127.0K-10.5K0.7037.81N/AN/A1073,1782,325
2008-03-31$11.94$12.5056.3%16.1%72.0%24.1%0.0%0.0%4.4%-3.5K61.6K-10.3K0.0050.69N/AN/A033,1652,325