VICR Options History — May 2008

In May 2008, VICR traded between $11.03 and $12.47. ATM implied volatility averaged 49.8%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 19.8% (HV 20d: 30.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 5.98.

Notable Days

  • 2008-05-19: Highest Volume — 1,532 contracts
  • 2008-05-28: Largest IV spike — 42.3% change
  • 2008-05-07: Highest IV Rank — 31.9%
  • 2008-05-01: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.94$11.03$12.47$12.44$11.29
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV49.8%34.8%62.2%57.5%34.8%
Expected Move14.2%10.0%16.5%16.5%10.0%
HV 20d30.0%21.8%41.4%41.4%21.8%
HV 60d53.1%49.3%57.0%57.0%49.3%
IV Rank23.8%14.0%31.9%28.8%14.0%
IV Percentile30.7%4.4%67.9%49.6%4.4%
Term Structure1.7%-3.3%7.3%-0.4%4.1%
VWIV48.6%41.1%57.5%57.5%41.1%
Bid-Ask Spread %64.2544.9289.3188.9052.23
Gamma HHI0.550.340.770.750.38
Net GEX-31.6K-100.8K4.3K-56.7K-423
Net DEX175.2K-200.2K652.7K328.6K146.9K
Net VEX-9.8K-12.0K-8.6K-10.7K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.980.0072.500.320.00
Total Volume34901,5322595
Total OI5,178.194,3646,2525,3355,989

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$12.44$12.5057.5%16.5%41.4%28.8%57.5%0.0%-0.4%-56.7K328.6K-10.7K0.3288.90N/AN/A1962,4842,851
2008-05-02$12.26$12.5053.0%15.2%41.4%25.9%0.0%0.0%2.8%-25.5K-90.2K-9.5K0.0089.31N/AN/A002,4781,999
2008-05-05$12.17$12.5056.5%16.3%39.2%28.2%0.0%0.0%-1.8%-27.6K95.2K-9.0K0.0050.81N/AN/A1002,4781,999
2008-05-06$12.21$12.5057.0%15.9%38.5%28.5%0.0%0.0%1.0%-28.5K-8.1K-9.2K3.4447.81N/AN/A25862,4841,999
2008-05-07$12.27$12.5062.2%16.3%37.6%31.9%0.0%0.0%-1.0%-29.2K69.4K-9.1K0.0056.22N/AN/A02002,5092,057
2008-05-08$12.43$12.5057.3%16.4%37.4%28.7%57.1%0.0%-1.0%-46.4K-102.5K-9.4K11.2055.92N/AN/A1001,1202,5092,247
2008-05-09$12.17$12.5050.3%16.0%30.6%24.1%55.8%0.0%-1.0%-70.5K652.7K-9.9K5.5764.87N/AN/A301672,6092,986
2008-05-12$12.31$12.5058.3%15.7%30.0%29.3%0.0%0.0%-1.3%-46.1K121.2K-9.5K0.0071.49N/AN/A0102,6392,499
2008-05-13$12.47$12.5052.6%14.8%29.7%25.6%0.0%0.0%1.0%-62.0K-77.2K-9.5K0.1157.19N/AN/A89102,6392,499
2008-05-14$12.27$12.5054.8%15.0%27.6%27.0%0.0%0.0%-3.3%-64.6K55.4K-9.3K0.0068.45N/AN/A8902,7082,509
2008-05-15$12.36$12.5045.8%13.1%26.9%21.2%45.8%0.0%3.8%-100.8K99.8K-9.4K0.0067.92N/AN/A0892,7872,509
2008-05-16$12.12$12.5045.2%13.0%27.6%20.7%45.2%0.0%4.4%-70.6K604.2K-8.9K5.0867.94N/AN/A502542,7872,598
2008-05-19$12.04$12.5046.2%13.2%26.9%21.4%46.2%0.0%1.8%-98-200.2K-8.6K1.9966.33N/AN/A5121,0202,6461,718
2008-05-20$11.83$12.5045.1%12.9%25.9%20.7%0.0%0.0%2.0%-8.4K115.1K-10.4K0.0067.92N/AN/A20003,0342,247
2008-05-21$11.66$12.5043.8%12.6%26.1%19.8%43.8%0.0%3.8%-5.0K150.9K-10.0K1.3372.99N/AN/A3004003,0182,121
2008-05-22$11.70$12.5044.6%12.8%23.4%20.4%44.6%0.0%-0.1%-7.6K221.9K-10.7K72.5044.92N/AN/A107253,1442,275
2008-05-23$11.39$12.5043.7%12.5%24.5%19.8%0.0%0.0%2.3%-12.0K541.1K-10.2K0.0056.47N/AN/A302,9932,590
2008-05-27$11.27$12.5035.1%10.1%24.4%14.1%0.0%0.0%5.0%-3.5K426.9K-9.2K0.2074.36N/AN/A5001002,9962,255
2008-05-28$11.03$12.5049.9%14.3%24.7%23.8%0.0%0.0%7.3%-2.2K492.6K-9.7K0.0073.08N/AN/A1,00003,2462,355
2008-05-29$11.14$12.5051.9%14.9%24.5%25.1%0.0%0.0%6.7%4.3K34.8K-12.0K0.0054.05N/AN/A11003,8972,355
2008-05-30$11.29$12.5034.8%10.0%21.8%14.0%41.1%0.0%4.1%-423146.9K-11.5K0.0052.23N/AN/A9503,6342,355