VICR Options History — July 2008

In July 2008, VICR traded between $9.44 and $10.90. ATM implied volatility averaged 61.5%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 30.5% (HV 20d: 31.1%). Max pain ranged from $10.00 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 5.65.

Notable Days

  • 2008-07-25: Highest Volume — 1,630 contracts
  • 2008-07-10: Largest IV spike — 19.3% change
  • 2008-07-15: Highest IV Rank — 34.9%
  • 2008-07-31: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.99$9.44$10.90$10.11$10.90
Max Pain$11.82$10.00$12.50$12.50$10.00
ATM IV61.5%50.3%67.0%50.3%67.0%
Expected Move18.0%14.4%19.2%14.4%19.2%
HV 20d31.1%23.9%40.4%26.0%40.0%
HV 60d28.1%25.8%30.6%29.6%30.6%
IV Rank31.0%24.1%34.9%24.1%31.1%
IV Percentile63.6%22.6%82.9%24.2%82.9%
Term Structure-4.5%-8.6%10.2%10.2%-7.0%
VWIV57.9%33.3%66.4%61.4%66.4%
Skew 25d8.8%3.6%17.4%8.3%17.4%
Skew 10d11.8%5.7%19.2%12.3%19.2%
Call IV 25d50.9%43.4%58.4%43.4%58.2%
Put IV 25d59.6%51.7%75.5%51.7%75.5%
Bid-Ask Spread %34.0117.9656.0920.8732.55
Gamma HHI0.630.370.850.610.37
Net GEX-34.7K-89.1K-2.5K-30.1K-2.5K
Net DEX683.8K-507.3K2.0M607.2K-507.3K
Net VEX-9.8K-11.2K-8.5K-11.2K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.650.0053.3312.670.00
Total Volume231.18201,630030
Total OI7,334.5455,4869,0998,1546,141

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$10.11$12.5050.3%14.4%26.0%24.1%0.0%8.3%10.2%-30.1K607.2K-11.2K0.0020.87N/AN/A004,6133,541
2008-07-02$10.01$12.5052.3%15.0%26.0%25.4%0.0%3.6%8.4%-29.9K709.5K-11.0K0.0020.96N/AN/A004,6133,541
2008-07-03$9.81$12.5050.7%14.5%25.7%24.3%0.0%4.1%7.2%-32.8K886.4K-10.6K0.0022.47N/AN/A004,6133,541
2008-07-07$9.75$10.0050.4%17.3%23.9%24.2%0.0%7.4%-5.3%-37.4K997.6K-10.1K0.0040.13N/AN/A004,6133,541
2008-07-08$9.93$10.0050.3%17.6%25.2%24.1%61.4%4.7%-7.4%-41.2K883.8K-10.2K0.0041.89N/AN/A01184,6133,531
2008-07-09$9.51$10.0054.4%17.0%28.5%26.8%59.4%10.8%-4.6%-38.0K1.1M-9.7K0.0046.38N/AN/A094,6133,480
2008-07-10$9.57$10.0065.0%18.6%28.6%33.7%35.7%13.9%-8.2%-36.5K1.1M-9.5K12.6735.73N/AN/A841,0644,6133,480
2008-07-11$9.69$12.5063.1%18.1%29.0%32.5%33.3%17.4%-6.0%-47.8K2.0M-9.6K1.4044.13N/AN/A10144,6774,422
2008-07-14$9.56$12.5065.7%18.8%26.4%34.2%0.0%0.0%-8.6%-52.3K1.6M-9.5K0.0045.72N/AN/A004,6713,887
2008-07-15$9.44$12.5066.9%19.2%26.5%34.9%0.0%0.0%-8.6%-43.0K1.5M-9.0K0.0045.44N/AN/A004,6713,609
2008-07-16$9.80$12.5065.5%18.8%29.6%34.1%0.0%0.0%-7.7%-83.8K1.1M-9.4K0.0044.25N/AN/A064,6713,609
2008-07-17$9.81$12.5066.4%19.0%29.7%34.6%0.0%0.0%-8.1%-89.1K1.2M-9.2K0.0042.08N/AN/A3004,6713,612
2008-07-18$9.70$12.5063.8%18.3%29.7%32.9%63.8%0.0%-6.8%-81.0K1.4M-8.8K2.0356.09N/AN/A1202444,6513,612
2008-07-21$9.71$12.5063.8%18.3%29.7%33.0%0.0%0.0%-5.4%-9.1K285.2K-8.5K0.0053.87N/AN/A2003,3202,197
2008-07-22$10.31$12.5065.0%18.6%35.7%33.7%0.0%0.0%-6.9%-10.9K-197.4K-9.4K0.2017.96N/AN/A50103,3062,197
2008-07-23$10.23$12.5064.3%18.4%34.9%33.2%64.3%0.0%-5.1%-12.1K-170.5K-9.3K0.1821.73N/AN/A100183,2792,207
2008-07-24$10.01$12.5066.3%19.0%35.6%34.6%0.0%0.0%-6.7%-9.4K30.2K-8.9K0.0022.83N/AN/A3003,3792,207
2008-07-25$10.25$12.5065.6%18.8%36.1%34.2%64.1%0.0%-7.1%-9.8K-170.6K-9.2K53.3320.68N/AN/A301,6003,3742,207
2008-07-28$10.15$12.5065.7%18.8%36.2%34.2%65.7%0.0%-4.0%-25.8K694.0K-9.7K2.0021.83N/AN/A1753503,3693,213
2008-07-29$10.70$12.5064.9%18.6%40.4%31.7%64.9%0.0%-6.0%-29.1K270.6K-11.0K1.6327.25N/AN/A3696003,5383,388
2008-07-30$10.80$10.0066.6%19.1%40.3%30.8%66.4%0.0%-5.8%-11.7K-193.3K-10.8K0.0023.42N/AN/A503,6162,713
2008-07-31$10.90$10.0067.0%19.2%40.0%31.1%0.0%0.0%-7.0%-2.5K-507.3K-10.9K0.0032.55N/AN/A3003,7282,413