VICR Options History — October 2008

In October 2008, VICR traded between $4.63 and $8.74. ATM implied volatility averaged 84.0%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded below realized volatility by 45.0% (HV 20d: 129.0%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.22.

Notable Days

  • 2008-10-08: Highest Volume — 4,634 contracts
  • 2008-10-10: Largest IV spike — 135.6% change
  • 2008-10-10: Highest IV Rank — 100.0%
  • 2008-10-10: Largest Expected Move — 32.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.31$4.63$8.74$8.74$6.99
Max Pain$7.86$7.50$10.00$10.00$7.50
ATM IV84.0%56.2%176.2%66.0%84.9%
Expected Move22.1%16.1%32.4%18.9%24.3%
HV 20d129.0%72.4%172.0%73.8%172.0%
HV 60d86.3%56.1%109.6%56.1%109.6%
IV Rank44.7%26.8%100.0%50.6%37.0%
IV Percentile88.2%35.7%100.0%78.2%94.4%
Term Structure-5.7%-26.9%10.2%6.2%-5.1%
VWIV60.9%60.9%60.9%60.9%60.9%
Skew 25d10.3%-14.8%30.8%5.4%10.2%
Skew 10d24.0%-8.2%51.4%13.9%29.0%
Call IV 25d71.3%44.6%88.4%81.4%67.7%
Put IV 25d81.7%61.5%110.4%86.7%77.9%
Bid-Ask Spread %95.9968.40114.7685.2982.44
Gamma HHI0.620.470.900.800.47
Net GEX15.2K8.7K23.8K23.8K22.4K
Net DEX-208.5K-1.1M673.7K399.8K-1.1M
Net VEX-4.9K-6.6K-3.0K-6.1K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.001.500.000.00
Total Volume223.04304,634059
Total OI5,647.0874,5467,5386,0904,677

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$8.74$10.0066.0%18.9%73.8%50.6%0.0%0.0%6.2%23.8K399.8K-6.1K0.0085.29N/AN/A004,5371,553
2008-10-02$8.29$10.0066.6%19.1%72.4%51.5%0.0%0.0%-10.3%12.3K371.0K-6.1K0.0086.70N/AN/A004,5371,553
2008-10-03$8.57$10.0056.2%16.1%73.5%36.3%0.0%0.0%-0.1%12.4K307.5K-6.3K0.00110.79N/AN/A004,5371,553
2008-10-06$7.87$0.0073.1%17.1%78.7%60.9%0.0%0.0%-2.7%14.3K531.0K-5.0K0.0090.32N/AN/A10004,5371,553
2008-10-07$6.69$0.0060.0%17.5%95.6%41.8%60.9%0.0%-2.1%12.0K665.7K-3.5K0.5092.50N/AN/A40204,6371,553
2008-10-08$6.40$7.5072.1%18.5%96.0%59.4%0.0%5.4%-6.2%10.4K673.7K-3.0K0.0196.24N/AN/A4,602324,6671,530
2008-10-09$5.47$7.5074.8%17.5%107.4%63.3%0.0%16.9%0.3%12.8K427.0K-3.9K0.00106.60N/AN/A005,9801,558
2008-10-10$5.35$7.50176.2%32.4%107.4%100.0%0.0%15.5%-26.9%11.2K190.7K-4.9K1.50114.76N/AN/A235,9801,543
2008-10-13$6.80$7.5087.7%22.6%142.5%38.9%0.0%-0.7%-12.2%22.4K-745.0K-6.6K0.00103.14N/AN/A005,980417
2008-10-14$6.45$7.50105.2%23.6%142.5%51.0%0.0%-8.6%-15.3%19.9K-604.7K-6.0K0.00100.63N/AN/A005,980417
2008-10-15$5.60$7.50113.8%23.6%149.4%56.9%0.0%22.3%-11.0%14.6K-323.4K-4.6K0.00100.25N/AN/A1005,980417
2008-10-16$5.79$7.5084.8%24.3%144.8%37.0%0.0%26.7%-2.0%14.8K-417.7K-5.0K0.31100.28N/AN/A32105,990417
2008-10-17$5.99$7.5071.1%20.4%142.3%27.5%0.0%-1.4%10.2%16.1K-539.9K-5.5K0.0099.33N/AN/A006,022384
2008-10-20$6.41$7.5071.3%20.4%145.1%27.7%0.0%13.3%-7.3%19.1K-723.7K-5.7K0.0068.58N/AN/A3004,380166
2008-10-21$6.41$7.5074.1%21.2%144.7%29.6%0.0%0.3%-4.2%20.1K-778.8K-5.9K0.0068.40N/AN/A004,390166
2008-10-22$5.75$7.5087.0%24.9%148.4%38.5%0.0%7.2%-11.5%15.5K-498.1K-4.5K0.00101.96N/AN/A104,390166
2008-10-23$5.13$7.5083.5%23.9%149.6%36.0%0.0%27.1%-9.0%11.2K-299.1K-3.5K0.0099.32N/AN/A3004,391166
2008-10-24$4.76$7.5094.7%27.1%150.5%43.8%0.0%-9.6%-10.0%9.4K-298.3K-3.2K0.00103.77N/AN/A004,421154
2008-10-27$4.63$7.5091.1%26.1%150.2%41.3%0.0%20.9%1.0%8.7K-279.9K-3.0K0.0799.34N/AN/A134104,421154
2008-10-28$5.00$7.5091.3%26.2%151.3%41.4%0.0%30.8%-8.4%11.2K-347.1K-3.5K0.0087.19N/AN/A054,531144
2008-10-29$5.78$7.5077.5%22.2%163.4%31.9%0.0%24.6%9.6%16.0K-602.6K-4.8K0.00106.11N/AN/A0104,531146
2008-10-30$6.21$7.5070.1%20.1%166.1%26.8%0.0%-14.8%-14.8%18.7K-782.7K-5.5K0.00103.73N/AN/A004,531146
2008-10-31$6.99$7.5084.9%24.3%172.0%37.0%0.0%10.2%-5.1%22.4K-1.1M-6.6K0.0082.44N/AN/A5904,531146