VICR Options History — September 2008

In September 2008, VICR traded between $8.33 and $10.01. ATM implied volatility averaged 54.2%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 2.2% (HV 20d: 56.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.64.

Notable Days

  • 2008-09-08: Highest Volume — 1,243 contracts
  • 2008-09-30: Largest IV drop — 63.0% change
  • 2008-09-29: Highest IV Rank — 93.3%
  • 2008-09-29: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.97$8.33$10.01$9.35$8.88
Max Pain$10.36$10.00$12.50$12.50$10.00
ATM IV54.2%31.2%95.4%46.8%35.3%
Expected Move16.2%10.1%27.4%13.4%10.1%
HV 20d56.4%43.1%75.2%44.8%75.2%
HV 60d46.3%39.1%56.2%39.1%56.2%
IV Rank32.8%0.0%93.3%18.3%5.9%
IV Percentile36.9%0.0%98.8%12.7%1.2%
Term Structure-3.9%-33.1%16.5%6.5%16.5%
VWIV48.1%35.4%62.9%47.3%35.9%
Bid-Ask Spread %67.0729.61140.3541.36106.86
Gamma HHI0.530.470.720.480.47
Net GEX13.3K8.1K36.4K19.7K9.7K
Net DEX148.1K-1.1M1.1M1.1M-54.5K
Net VEX-7.7K-10.2K-6.6K-7.0K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.640.0039.903.070.56
Total Volume288.09501,243896140
Total OI6,405.3816,0526,7356,7086,080

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$9.35$12.5046.8%13.4%44.8%18.3%47.3%0.0%6.5%19.7K1.1M-7.0K3.0741.36N/AN/A2206764,0002,708
2008-09-03$9.70$12.5047.0%13.5%43.1%18.7%51.6%0.0%3.8%14.1K427.6K-7.9K34.6029.61N/AN/A103464,0742,386
2008-09-04$9.07$12.5041.3%11.9%47.5%10.0%35.4%0.0%1.9%11.9K615.0K-7.0K39.9035.20N/AN/A103994,2102,258
2008-09-05$8.95$10.0031.2%14.6%46.9%0.0%51.4%0.0%-1.9%9.1K443.1K-6.6K0.0054.49N/AN/A1004,2101,914
2008-09-08$9.12$10.0043.9%14.8%46.3%18.4%0.0%0.0%-5.7%11.3K310.4K-6.8K0.1953.96N/AN/A1,0432004,2151,914
2008-09-09$8.75$10.0050.3%17.7%46.4%27.7%0.0%0.0%-6.5%15.6K268.0K-7.6K0.0051.17N/AN/A1,00004,8391,873
2008-09-10$8.74$10.0049.9%16.9%45.8%27.2%0.0%0.0%-2.4%13.5K341.3K-7.6K0.0072.68N/AN/A3004,8391,873
2008-09-11$8.89$10.0051.0%14.6%46.6%28.7%0.0%0.0%-3.8%9.9K286.7K-7.2K0.0057.33N/AN/A72004,4441,831
2008-09-12$8.72$10.0061.7%17.7%46.5%44.3%43.8%0.0%-6.7%12.2K303.3K-7.7K0.0754.26N/AN/A600454,8041,831
2008-09-15$8.48$10.0059.3%17.0%46.7%40.7%0.0%0.0%-1.8%12.6K331.4K-7.5K0.0067.05N/AN/A004,9441,791
2008-09-16$8.72$10.0058.5%16.8%48.2%39.6%0.0%0.0%-4.2%11.6K237.1K-7.9K0.0094.13N/AN/A804,9441,791
2008-09-17$8.51$10.0059.3%17.0%48.5%40.7%0.0%0.0%-4.2%13.0K336.6K-7.5K0.0081.70N/AN/A1004,9361,791
2008-09-18$9.34$10.0047.1%13.5%60.2%23.0%0.0%0.0%2.0%8.1K-98.3K-8.9K0.0096.89N/AN/A004,9461,763
2008-09-19$10.01$10.0056.6%16.2%64.5%36.9%56.6%0.0%-7.5%36.4K-1.1M-10.2K0.4792.92N/AN/A43204,9461,763
2008-09-22$9.36$10.0058.3%16.7%68.0%39.3%0.0%0.0%-4.7%12.7K-501.4K-9.0K0.0039.84N/AN/A11004,6861,498
2008-09-23$8.89$10.0057.9%16.6%69.6%38.7%0.0%0.0%-1.7%10.5K-98.7K-7.7K0.0048.33N/AN/A2004,6091,488
2008-09-24$8.69$10.0065.8%18.9%69.8%50.2%0.0%0.0%-9.8%11.9K49.7K-7.3K0.0056.00N/AN/A004,6171,488
2008-09-25$9.11$10.0062.8%18.0%72.4%45.9%62.9%0.0%-8.7%11.8K-289.2K-8.3K0.0857.45N/AN/A305254,6171,488
2008-09-26$8.83$10.0059.6%17.1%73.0%41.2%0.0%0.0%-9.3%10.0K5.6K-7.4K0.0076.84N/AN/A004,5391,513
2008-09-29$8.33$10.0095.4%27.4%75.0%93.3%0.0%0.0%-33.1%13.0K164.0K-6.7K0.00140.35N/AN/A6004,5391,513
2008-09-30$8.88$10.0035.3%10.1%75.2%5.9%35.9%0.0%16.5%9.7K-54.5K-7.4K0.56106.86N/AN/A90504,5671,513