VICR Options History — August 2008

In August 2008, VICR traded between $9.96 and $11.43. ATM implied volatility averaged 59.8%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 14.8% (HV 20d: 45.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 7.65.

Notable Days

  • 2008-08-29: Highest Volume — 1,443 contracts
  • 2008-08-14: Largest IV drop — 28.0% change
  • 2008-08-13: Highest IV Rank — 33.8%
  • 2008-08-01: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.62$9.96$11.43$10.77$10.07
Max Pain$12.38$10.00$12.50$10.00$12.50
ATM IV59.8%45.7%79.3%66.0%45.7%
Expected Move16.1%13.1%18.9%18.9%13.1%
HV 20d45.0%39.5%48.4%39.5%42.2%
HV 60d35.3%30.7%36.7%30.7%36.7%
IV Rank23.8%13.5%33.8%23.8%16.7%
IV Percentile50.8%11.5%94.8%79.4%11.5%
Term Structure-2.0%-6.5%1.6%-6.5%1.6%
VWIV53.2%50.5%56.2%50.5%54.7%
Bid-Ask Spread %30.7516.8461.8726.2024.03
Gamma HHI0.530.330.810.340.58
Net GEX13.1K-3.9K35.5K-3.1K35.5K
Net DEX-270.4K-894.5K182.7K-393.8K150.0K
Net VEX-8.9K-10.7K-7.1K-10.7K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.650.0074.950.0074.95
Total Volume157.71401,44301,443
Total OI5,870.4295,2606,3246,1415,796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$10.77$10.0066.0%18.9%39.5%23.8%0.0%0.0%-6.5%-3.1K-393.8K-10.7K0.0026.20N/AN/A003,7282,413
2008-08-04$10.13$12.5072.3%17.3%45.8%28.5%0.0%0.0%0.1%-3.4K182.7K-9.5K0.0061.87N/AN/A01983,7282,413
2008-08-05$10.63$12.5070.3%17.4%48.4%27.0%0.0%0.0%-1.6%-3.2K-244.1K-10.0K0.0055.89N/AN/A003,7282,374
2008-08-06$10.83$12.5071.3%17.1%45.4%27.8%0.0%0.0%-2.1%-3.7K-432.0K-10.3K0.0028.73N/AN/A01113,7282,374
2008-08-07$10.97$12.5076.3%17.4%45.4%31.6%0.0%0.0%-2.4%-3.9K-445.0K-10.3K0.0027.89N/AN/A003,7282,467
2008-08-08$11.25$12.5067.1%16.9%45.9%24.5%0.0%0.0%-0.3%-2.9K-716.9K-10.3K0.0023.97N/AN/A0303,7282,467
2008-08-11$11.43$12.5052.6%16.7%45.3%13.5%0.0%0.0%-2.4%-1.7K-894.5K-10.4K0.0051.13N/AN/A2703,7282,483
2008-08-12$11.02$12.5067.0%17.3%47.5%24.5%50.5%0.0%-4.4%3.6K-613.7K-9.6K0.6028.52N/AN/A4622773,7492,483
2008-08-13$11.07$12.5079.3%16.6%46.2%33.8%0.0%0.0%-2.2%-2.2K-489.1K-9.2K0.0030.27N/AN/A003,5092,563
2008-08-14$11.04$12.5057.1%16.4%46.3%16.9%0.0%0.0%-2.4%4.7K-520.7K-9.4K0.0031.38N/AN/A003,7612,563
2008-08-15$11.01$12.5055.8%16.0%46.0%15.9%55.8%0.0%-1.7%16.8K-508.4K-9.3K0.0032.30N/AN/A15903,7612,563
2008-08-18$10.64$12.5055.7%16.0%48.1%21.2%0.0%0.0%-1.4%21.5K-262.9K-8.3K0.0038.67N/AN/A0203,6821,578
2008-08-19$10.49$12.5056.2%16.1%43.8%21.8%56.2%0.0%-2.6%21.7K-132.1K-8.1K0.1117.79N/AN/A90103,6821,598
2008-08-20$10.69$12.5057.9%16.6%44.2%23.5%0.0%0.0%-2.3%21.9K-430.1K-8.7K0.0038.71N/AN/A003,7721,608
2008-08-21$10.27$12.5054.7%15.7%45.9%30.5%0.0%0.0%-4.3%25.1K-182.0K-8.0K0.0016.84N/AN/A01503,7721,608
2008-08-22$10.48$12.5051.4%14.7%45.7%25.3%51.4%0.0%-1.8%23.1K-180.5K-8.3K0.0019.76N/AN/A2003,7721,747
2008-08-25$10.21$12.5050.6%14.5%46.6%24.2%50.6%0.0%-1.9%27.1K13.1K-7.6K0.0023.80N/AN/A10003,7921,747
2008-08-26$10.08$12.5051.2%14.7%42.4%25.1%0.0%0.0%-1.2%31.5K97.1K-7.3K0.0020.20N/AN/A203,8921,747
2008-08-27$9.96$12.5048.9%14.0%42.3%21.6%0.0%0.0%-1.9%32.6K172.2K-7.1K0.8525.00N/AN/A110933,8941,747
2008-08-28$9.97$12.5048.8%14.0%42.0%21.3%0.0%0.0%-0.9%33.6K153.0K-7.3K0.0022.85N/AN/A1003,9741,832
2008-08-29$10.07$12.5045.7%13.1%42.2%16.7%54.7%0.0%1.6%35.5K150.0K-7.1K74.9524.03N/AN/A191,4243,9841,812