VICR Options History — December 2008

In December 2008, VICR traded between $4.45 and $6.61. ATM implied volatility averaged 98.9%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded below realized volatility by 41.5% (HV 20d: 140.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.06.

Notable Days

  • 2008-12-16: Highest Volume — 50 contracts
  • 2008-12-10: Largest IV drop — 15.8% change
  • 2008-12-09: Highest IV Rank — 58.8%
  • 2008-12-01: Largest Expected Move — 31.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.27$4.45$6.61$4.73$6.61
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV98.9%77.2%116.5%108.8%77.2%
Expected Move27.9%22.1%31.2%31.2%22.1%
HV 20d140.4%114.5%152.8%151.0%122.7%
HV 60d142.5%136.9%148.7%136.9%148.7%
IV Rank46.7%31.7%58.8%53.5%31.7%
IV Percentile92.1%75.0%99.6%99.2%75.0%
Term Structure-1.4%-11.5%22.9%-4.4%4.7%
VWIV87.1%78.2%95.9%95.9%78.2%
Skew 25d23.6%-2.5%40.6%-2.5%-1.0%
Skew 10d36.2%-1.6%72.1%11.6%-1.6%
Call IV 25d84.0%65.7%163.2%106.1%77.3%
Put IV 25d107.6%76.3%172.8%103.5%76.3%
Bid-Ask Spread %75.8823.9998.5664.4394.74
Gamma HHI0.370.340.410.350.34
Net GEX11.7K8.6K16.2K9.8K16.2K
Net DEX-683.5K-1.1M-421.2K-584.7K-1.1M
Net VEX-3.6K-4.0K-2.9K-3.7K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.330.000.33
Total Volume6.8640501540
Total OI4,862.4554,7494,9494,9004,759

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$4.73$5.00108.8%31.2%151.0%53.5%0.0%-2.5%-4.4%9.8K-584.7K-3.7K0.0064.43N/AN/A1504,672228
2008-12-02$5.01$5.00107.3%30.8%147.9%52.5%0.0%4.0%-2.5%10.7K-638.7K-3.8K0.0062.66N/AN/A004,676228
2008-12-03$5.01$5.00107.6%30.9%148.0%52.7%0.0%38.0%-1.6%10.9K-643.5K-3.8K0.0084.22N/AN/A1004,676228
2008-12-04$4.97$5.00108.1%31.0%148.1%53.0%0.0%36.6%-4.5%10.7K-650.2K-3.8K0.0035.97N/AN/A004,676228
2008-12-05$4.86$5.00108.5%29.8%139.9%53.3%0.0%30.6%-7.2%10.2K-555.9K-3.5K0.0096.77N/AN/A004,676228
2008-12-08$5.19$5.00112.9%27.6%139.0%56.4%0.0%35.6%0.6%11.5K-662.8K-3.7K0.0097.63N/AN/A004,676228
2008-12-09$4.90$5.00116.5%28.5%136.8%58.8%0.0%26.5%-3.4%10.6K-590.5K-3.5K0.0097.02N/AN/A004,676228
2008-12-10$4.93$5.0098.1%28.1%136.5%46.1%0.0%23.0%-3.8%10.7K-564.4K-3.4K0.0096.51N/AN/A004,676228
2008-12-11$4.45$5.0095.9%27.5%136.4%44.6%95.9%11.7%1.2%8.6K-421.2K-2.9K0.0098.56N/AN/A064,676228
2008-12-12$5.12$5.0094.8%27.2%137.8%43.9%0.0%35.1%2.0%11.0K-646.3K-3.7K0.0088.31N/AN/A004,676228
2008-12-15$4.59$5.00100.7%28.9%139.4%47.9%0.0%16.7%-4.1%9.5K-452.9K-3.0K0.0097.55N/AN/A0104,676228
2008-12-16$5.47$5.00108.0%31.0%152.8%53.0%0.0%40.6%-11.5%12.6K-795.3K-3.9K0.0045.33N/AN/A5004,676238
2008-12-17$5.61$5.00104.0%29.8%152.5%50.2%0.0%9.9%-7.2%13.2K-845.2K-3.9K0.0069.22N/AN/A004,711238
2008-12-18$5.31$5.00106.8%30.6%150.1%52.1%0.0%37.6%-9.9%12.4K-717.5K-3.6K0.0085.97N/AN/A004,711238
2008-12-19$5.46$5.0098.3%28.2%147.5%46.3%0.0%34.1%-7.5%12.3K-752.1K-3.6K0.0045.93N/AN/A1004,711238
2008-12-22$5.51$5.0090.4%25.9%142.2%40.8%0.0%2.1%-2.8%12.2K-672.4K-3.3K0.0023.99N/AN/A004,566183
2008-12-23$5.44$5.0095.2%27.3%137.3%44.1%0.0%38.1%-6.4%12.7K-675.0K-3.4K0.0076.59N/AN/A004,566183
2008-12-24$5.54$5.0090.9%26.1%137.2%41.2%0.0%33.0%-3.0%12.9K-696.0K-3.4K0.0089.35N/AN/A004,566183
2008-12-26$5.97$5.0078.6%22.5%134.5%32.7%0.0%38.7%22.9%13.9K-843.6K-3.6K0.0033.30N/AN/A1004,566183
2008-12-29$5.57$5.0088.9%25.5%136.6%39.8%0.0%20.4%-1.4%12.9K-733.1K-3.5K0.0090.26N/AN/A004,576183
2008-12-30$5.74$5.0078.6%22.5%114.5%32.7%0.0%9.6%19.6%13.1K-773.6K-3.4K0.0095.10N/AN/A004,576183
2008-12-31$6.61$5.0077.2%22.1%122.7%31.7%78.2%-1.0%4.7%16.2K-1.1M-4.0K0.3394.74N/AN/A30104,576183