VICR Options History — June 2008

In June 2008, VICR traded between $9.98 and $11.14. ATM implied volatility averaged 52.3%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 28.3% (HV 20d: 24.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2008-06-23: Highest Volume — 3,124 contracts
  • 2008-06-09: Largest IV spike — 36.2% change
  • 2008-06-16: Highest IV Rank — 27.9%
  • 2008-06-09: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.59$9.98$11.14$11.10$9.98
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV52.3%40.3%56.1%54.0%50.8%
Expected Move15.3%14.2%16.5%15.5%14.6%
HV 20d24.0%21.3%26.2%22.0%25.2%
HV 60d37.1%30.2%48.8%48.8%30.2%
IV Rank25.4%17.5%27.9%26.5%24.4%
IV Percentile31.5%9.1%41.7%36.5%26.2%
Term Structure2.7%-2.4%8.7%4.2%8.7%
VWIV50.1%44.8%53.9%44.8%47.4%
Skew 25d5.7%4.0%7.3%7.3%4.0%
Skew 10d8.4%6.2%10.7%10.7%6.2%
Call IV 25d44.3%41.9%46.7%41.9%46.7%
Put IV 25d50.0%49.2%50.8%49.2%50.8%
Bid-Ask Spread %40.1115.6376.5831.7618.84
Gamma HHI0.460.370.640.370.61
Net GEX-1.5K-39.2K14.7K1.5K-28.7K
Net DEX471.6K-240.6K917.3K307.5K662.9K
Net VEX-10.4K-12.0K-8.4K-10.9K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.0011.020.000.00
Total Volume329.52403,12412020
Total OI6,770.2386,0718,4406,0718,164

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$11.10$12.5054.0%15.5%22.0%26.5%0.0%0.0%4.2%1.5K307.5K-10.9K0.0031.76N/AN/A12003,7162,355
2008-06-03$11.00$12.5055.4%15.9%22.0%27.5%0.0%0.0%1.5%3.3K307.8K-11.0K0.0033.12N/AN/A003,8262,355
2008-06-04$11.00$12.5050.1%14.4%21.9%23.9%0.0%0.0%6.2%3.7K353.7K-10.8K10.0040.34N/AN/A101003,8262,355
2008-06-05$11.14$12.5053.9%15.5%22.5%26.5%0.0%0.0%3.7%1.1K328.6K-11.0K0.0040.33N/AN/A30003,8362,438
2008-06-06$10.79$12.5040.3%15.6%23.4%17.5%44.8%0.0%0.4%8.1K468.1K-11.0K0.4427.26N/AN/A45204,0322,438
2008-06-09$10.68$12.5054.9%16.5%22.9%27.1%0.0%0.0%-2.4%6.5K681.5K-9.9K0.0069.80N/AN/A303,8722,458
2008-06-10$10.75$12.5047.2%15.7%22.4%22.1%0.0%0.0%0.5%8.2K662.4K-9.8K0.0067.91N/AN/A003,8722,448
2008-06-11$10.59$12.5053.9%15.3%21.3%26.4%53.9%0.0%1.6%6.3K665.7K-9.6K0.0067.56N/AN/A50013,8722,393
2008-06-12$10.66$12.5055.8%16.0%21.7%27.7%0.0%0.0%-1.2%9.9K382.9K-10.5K0.0035.44N/AN/A50004,1422,357
2008-06-13$10.96$12.5052.6%15.1%24.6%25.6%0.0%0.0%3.4%14.7K142.1K-11.4K0.0076.58N/AN/A004,3922,357
2008-06-16$10.86$12.5056.1%16.1%24.1%27.9%0.0%0.0%-0.5%10.8K379.9K-9.5K0.0057.41N/AN/A40003,8922,357
2008-06-17$10.56$12.5054.0%15.5%25.4%26.5%0.0%0.0%0.8%10.1K433.2K-9.6K0.0023.40N/AN/A40004,1122,357
2008-06-18$10.56$12.5055.7%16.0%25.1%27.6%0.0%0.0%-0.7%9.6K433.5K-9.4K0.0654.05N/AN/A200114,1122,357
2008-06-19$10.59$12.5055.8%16.0%25.1%27.7%0.0%0.0%-0.9%8.8K436.9K-9.1K0.0053.04N/AN/A004,0122,368
2008-06-20$10.60$12.5051.7%14.8%25.0%25.0%51.9%0.0%1.7%4.6K570.4K-8.4K0.0855.79N/AN/A660503,9122,368
2008-06-23$10.27$12.5051.1%14.7%25.6%24.6%51.1%0.0%6.1%11.1K-240.6K-9.3K11.0217.81N/AN/A2602,8644,3781,754
2008-06-24$10.05$12.5051.3%14.7%26.2%24.8%51.4%0.0%5.2%-39.2K917.3K-11.9K0.0017.56N/AN/A30004,4633,977
2008-06-25$10.16$12.5049.4%14.2%26.1%23.5%0.0%0.0%6.8%-27.7K636.7K-12.0K0.1017.27N/AN/A1014,6433,541
2008-06-26$10.00$12.5053.7%15.4%25.9%26.3%0.0%0.0%4.1%-25.8K690.1K-11.4K0.0021.44N/AN/A10004,4933,541
2008-06-27$10.09$12.5050.7%14.5%25.5%24.4%47.4%7.3%8.3%-27.8K682.9K-11.3K0.0015.63N/AN/A4504,4933,541
2008-06-30$9.98$12.5050.8%14.6%25.2%24.4%0.0%4.0%8.7%-28.7K662.9K-11.2K0.0018.84N/AN/A2004,6233,541