VICR Options History — April 2008

In April 2008, VICR traded between $11.68 and $13.03. ATM implied volatility averaged 57.3%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 1.5% (HV 20d: 55.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.81.

Notable Days

  • 2008-04-30: Highest Volume — 1,583 contracts
  • 2008-04-10: Largest IV spike — 18.7% change
  • 2008-04-25: Highest IV Rank — 29.3%
  • 2008-04-14: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.25$11.68$13.03$12.18$12.06
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV57.3%49.5%65.0%55.7%55.8%
Expected Move17.0%14.2%18.6%16.0%16.0%
HV 20d55.7%40.4%72.3%71.4%40.4%
HV 60d60.2%58.2%61.7%61.7%58.2%
IV Rank25.6%20.3%29.3%23.8%27.7%
IV Percentile50.7%34.1%72.2%43.7%40.5%
Term Structure-1.8%-7.4%12.4%5.1%-0.3%
VWIV58.7%49.5%65.6%49.5%55.7%
Bid-Ask Spread %66.1221.4790.6549.8690.65
Gamma HHI0.600.460.720.460.63
Net GEX-17.9K-32.3K-3.5K-4.0K-23.5K
Net DEX28.4K-833.5K821.4K-75.8K102.1K
Net VEX-9.4K-11.0K-7.9K-10.4K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.0020.000.250.00
Total Volume124.72701,58351,583
Total OI5,146.1363,9555,8135,4934,362

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$12.18$12.5055.7%16.0%71.4%23.8%0.0%0.0%5.1%-4.0K-75.8K-10.4K0.2549.86N/AN/A413,1652,328
2008-04-02$12.63$12.5049.5%14.2%72.1%20.3%49.5%0.0%12.4%-3.5K-448.7K-10.7K2.0235.91N/AN/A1102223,1652,329
2008-04-03$12.88$12.5052.5%15.0%72.3%22.0%0.0%0.0%12.3%-6.6K-614.9K-11.0K0.1021.47N/AN/A1013,1412,491
2008-04-04$13.03$12.5052.4%17.5%70.4%21.9%61.1%0.0%-3.2%-7.3K-833.5K-10.8K20.0056.52N/AN/A51003,1412,490
2008-04-07$12.53$12.5051.0%17.6%72.2%21.1%0.0%0.0%-3.2%-17.3K-226.1K-10.5K0.0060.72N/AN/A1003,1362,590
2008-04-08$12.77$12.5050.0%17.5%69.6%20.5%0.0%0.0%-3.2%-15.6K-500.5K-10.6K0.0062.40N/AN/A1303,1462,590
2008-04-09$12.46$12.5051.5%18.3%65.6%21.4%0.0%0.0%-5.6%-18.6K-157.0K-10.3K0.0060.10N/AN/A003,1492,590
2008-04-10$12.66$12.5061.1%17.5%65.4%26.8%0.0%0.0%-3.8%-20.8K-304.1K-10.3K0.0062.75N/AN/A1003,1492,590
2008-04-11$11.89$12.5061.7%17.7%65.7%27.1%0.0%0.0%-3.0%-18.2K537.0K-9.3K0.0061.86N/AN/A003,1592,590
2008-04-14$11.68$12.5065.0%18.6%63.5%29.0%59.7%0.0%-7.4%-15.6K821.4K-8.6K0.0071.30N/AN/A1403,1592,590
2008-04-15$11.88$12.5062.0%17.8%61.0%27.3%0.0%0.0%-4.7%-20.3K537.0K-8.9K0.0049.20N/AN/A4003,1732,590
2008-04-16$12.32$12.5060.5%17.3%48.0%26.5%65.6%0.0%-4.2%-27.7K118.2K-9.3K0.0063.55N/AN/A3303,2132,590
2008-04-17$12.11$12.5061.4%17.6%45.4%27.0%0.0%0.0%-3.9%-26.4K548.0K-8.9K0.0068.47N/AN/A003,2232,590
2008-04-18$12.24$12.5060.6%17.4%45.0%26.5%60.6%0.0%-3.6%-32.3K418.3K-8.9K1.4076.62N/AN/A40563,2232,590
2008-04-21$12.02$12.5063.9%18.3%45.3%28.4%0.0%0.0%-6.0%-13.5K2.1K-8.3K0.0077.80N/AN/A002,1771,778
2008-04-22$11.70$12.5058.5%16.8%42.8%25.3%0.0%0.0%-2.6%-15.6K278.7K-7.9K3.3374.97N/AN/A301002,1771,778
2008-04-23$11.82$12.5057.9%16.6%40.8%26.6%0.0%0.0%-2.6%-18.5K278.9K-8.2K0.0074.78N/AN/A8202,1931,878
2008-04-24$12.19$12.5057.5%16.5%42.2%28.8%0.0%0.0%-2.7%-21.8K44.9K-8.7K0.0080.05N/AN/A18002,2281,878
2008-04-25$12.31$12.5058.2%16.7%42.3%29.3%0.0%0.0%-4.6%-21.0K-126.2K-9.2K0.0087.38N/AN/A002,3841,878
2008-04-28$12.15$12.5057.0%16.3%42.5%28.5%0.0%0.0%-3.6%-23.6K47.2K-8.7K0.0087.64N/AN/A10002,3841,878
2008-04-29$11.92$12.5056.5%16.2%42.4%28.1%0.0%0.0%-1.5%-21.1K177.2K-8.7K0.0080.59N/AN/A002,4841,878
2008-04-30$12.06$12.5055.8%16.0%40.4%27.7%55.7%0.0%-0.3%-23.5K102.1K-8.7K0.0090.65N/AN/A01,5832,4841,878