VICR Options History — January 2009

In January 2009, VICR traded between $4.00 and $6.52. ATM implied volatility averaged 86.9%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 25.6%. IV traded below realized volatility by 34.0% (HV 20d: 120.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2009-01-16: Highest Volume — 1,862 contracts
  • 2009-01-05: Largest IV spike — 54.5% change
  • 2009-01-15: Highest IV Rank — 45.8%
  • 2009-01-15: Largest Expected Move — 28.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.16$4.00$6.52$6.35$4.72
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV86.9%60.4%97.6%60.4%93.3%
Expected Move25.6%17.3%28.0%17.3%26.7%
HV 20d120.8%103.6%132.8%124.1%116.3%
HV 60d135.6%129.9%145.4%145.1%129.9%
IV Rank38.4%20.1%45.8%20.1%42.8%
IV Percentile80.4%42.5%92.1%42.5%84.9%
Term Structure-0.1%-12.9%23.3%23.3%-2.7%
VWIV79.9%68.3%91.5%91.5%68.3%
Skew 25d9.2%-16.8%31.9%13.2%-4.8%
Skew 10d22.4%-7.9%58.3%10.6%4.0%
Call IV 25d84.6%58.5%171.4%58.5%85.8%
Put IV 25d93.8%71.6%192.7%71.6%81.0%
Bid-Ask Spread %65.1630.9499.0799.0733.60
Gamma HHI0.380.360.440.360.38
Net GEX9.7K4.4K15.7K15.3K6.4K
Net DEX-525.2K-1.0M-204.4K-989.3K-297.3K
Net VEX-2.8K-3.7K-1.9K-3.7K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.010.000.00
Total Volume108.601,86200
Total OI4,165.653,3104,9854,7693,310

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$6.35$5.0060.4%17.3%124.1%20.1%0.0%13.2%23.3%15.3K-989.3K-3.7K0.0099.07N/AN/A004,576193
2009-01-05$5.98$0.0093.3%26.8%126.6%42.8%0.0%21.3%-1.1%13.9K-851.5K-3.5K0.0071.35N/AN/A004,576193
2009-01-06$6.31$0.0065.8%23.8%126.9%23.8%0.0%19.9%-4.9%15.3K-972.7K-3.6K0.0075.35N/AN/A004,576193
2009-01-07$6.04$0.0089.1%25.5%126.8%39.9%0.0%12.8%-0.9%14.6K-867.5K-3.4K0.0068.76N/AN/A004,576193
2009-01-08$6.52$0.0065.0%23.3%126.6%23.3%0.0%31.9%-4.9%15.7K-1.0M-3.6K0.0068.11N/AN/A004,576193
2009-01-09$5.91$0.0082.7%23.5%132.8%35.5%0.0%5.1%4.6%14.0K-842.1K-3.4K0.0079.57N/AN/A01104,576193
2009-01-12$5.38$0.0087.3%26.4%131.9%38.7%0.0%9.3%-2.8%12.3K-574.8K-3.0K0.0088.54N/AN/A304,576303
2009-01-13$5.20$0.0079.9%26.2%123.2%33.6%91.5%22.1%5.3%11.3K-535.0K-2.9K0.0086.92N/AN/A01264,576293
2009-01-14$5.00$5.0096.3%28.0%117.3%44.9%0.0%19.7%-12.9%10.6K-455.5K-2.9K0.0081.83N/AN/A004,576409
2009-01-15$4.51$5.0097.6%28.0%104.3%45.8%0.0%17.2%-2.2%8.0K-323.3K-2.4K0.0088.58N/AN/A004,576399
2009-01-16$4.40$5.0092.7%26.6%103.6%42.4%0.0%17.7%4.2%7.5K-268.3K-2.3K0.0141.42N/AN/A1,852104,576389
2009-01-20$4.00$5.0083.6%24.0%106.8%36.1%68.3%28.1%-4.8%4.4K-204.4K-1.9K0.0039.51N/AN/A012,987344
2009-01-21$4.53$0.0088.8%25.5%116.8%39.7%0.0%-4.8%2.8%5.9K-284.5K-2.4K0.0038.65N/AN/A5002,987343
2009-01-22$4.23$0.0096.1%27.5%118.4%44.7%0.0%-16.8%-0.4%5.4K-259.5K-2.2K0.0074.58N/AN/A003,017343
2009-01-23$4.47$0.0094.0%27.0%120.9%43.3%0.0%-7.2%-1.6%6.0K-294.9K-2.3K0.0030.94N/AN/A2003,017343
2009-01-26$4.66$0.0093.3%26.7%121.9%42.8%0.0%-4.1%-2.2%6.3K-306.6K-2.4K0.0067.98N/AN/A003,007343
2009-01-27$4.88$0.0089.7%25.7%119.7%40.3%0.0%2.0%3.9%7.1K-383.0K-2.6K0.0064.59N/AN/A003,007343
2009-01-28$5.35$0.0094.4%27.1%122.8%43.6%0.0%6.2%-6.0%8.2K-443.0K-2.7K0.0068.14N/AN/A002,982343
2009-01-29$4.74$0.0094.3%27.0%129.1%43.5%0.0%-4.0%1.9%6.4K-330.7K-2.4K0.0035.74N/AN/A002,982328
2009-01-30$4.72$0.0093.3%26.7%116.3%42.8%0.0%-4.8%-2.7%6.4K-297.3K-2.3K0.0033.60N/AN/A002,982328