VICR Options History — March 2009

In March 2009, VICR traded between $3.87 and $5.21. ATM implied volatility averaged 89.9%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded below realized volatility by 25.6% (HV 20d: 115.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2009-03-11: Highest Volume — 2,326 contracts
  • 2009-03-04: Largest IV drop — 26.4% change
  • 2009-03-20: Highest IV Rank — 50.4%
  • 2009-03-20: Largest Expected Move — 29.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.46$3.87$5.21$4.25$4.89
Max Pain$5.42$5.00$7.50$5.00$7.50
ATM IV89.9%64.5%104.3%98.7%90.9%
Expected Move26.1%18.5%29.9%28.3%26.1%
HV 20d115.6%90.0%137.3%102.6%134.9%
HV 60d115.6%108.8%121.0%114.0%117.8%
IV Rank40.5%23.0%50.4%46.6%41.2%
IV Percentile77.6%49.6%94.8%92.1%73.0%
Term Structure1.7%-7.8%32.6%-5.9%2.1%
VWIV91.5%74.7%98.9%74.7%92.8%
Skew 25d8.9%-15.0%33.3%5.4%27.4%
Skew 10d20.4%-9.8%55.0%19.4%43.9%
Call IV 25d86.7%76.6%100.6%81.8%88.1%
Put IV 25d95.6%75.4%115.5%87.1%115.5%
Bid-Ask Spread %52.3416.3284.6845.2522.63
Gamma HHI0.420.340.590.510.35
Net GEX4.6K3.4K7.0K4.4K4.4K
Net DEX-328.5K-625.5K-94.1K-144.0K-446.8K
Net VEX-1.5K-1.8K-1.1K-1.4K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.010.010.00
Total Volume125.18202,326061
Total OI3,743.4553,3314,0323,3313,874

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$4.25$0.0098.7%28.3%102.6%46.6%0.0%5.4%-5.9%4.4K-144.0K-1.4K0.0045.25N/AN/A002,993338
2009-03-03$4.09$0.0087.6%25.1%99.5%38.9%0.0%-13.0%3.6%4.3K-151.1K-1.4K0.0045.52N/AN/A002,993338
2009-03-04$4.23$0.0064.5%18.5%98.6%23.0%0.0%0.7%32.6%4.3K-139.4K-1.4K0.0063.74N/AN/A002,993338
2009-03-05$4.02$0.0067.6%19.4%94.3%25.1%0.0%-7.9%32.1%3.9K-118.3K-1.3K0.0016.32N/AN/A002,993338
2009-03-06$4.13$5.0073.9%26.2%94.5%29.5%0.0%-4.9%7.5%3.8K-109.1K-1.2K0.0071.19N/AN/A002,993338
2009-03-09$3.87$5.0080.8%28.6%90.0%34.2%0.0%-15.0%3.7%3.4K-94.1K-1.1K0.0025.34N/AN/A002,993338
2009-03-10$4.68$5.0094.9%27.8%115.9%43.9%0.0%21.1%4.1%5.6K-216.5K-1.6K0.0078.34N/AN/A002,993338
2009-03-11$4.33$5.0090.7%21.7%113.8%41.0%74.7%-2.4%0.2%4.6K-147.7K-1.3K0.0181.06N/AN/A2,301252,993338
2009-03-12$4.39$5.0092.0%26.4%114.0%42.0%92.0%6.1%-1.7%4.7K-412.6K-1.7K0.0065.44N/AN/A0503,625359
2009-03-13$4.26$5.0090.7%26.0%114.3%41.0%0.0%5.5%-2.0%4.3K-378.4K-1.6K0.0023.16N/AN/A1003,625374
2009-03-16$4.10$5.0097.1%27.8%111.7%45.4%0.0%-7.2%-7.8%3.9K-339.4K-1.5K0.0084.68N/AN/A003,635374
2009-03-17$4.32$5.0085.8%24.6%110.2%37.6%0.0%4.8%2.4%4.0K-363.0K-1.5K0.0028.42N/AN/A003,635374
2009-03-18$4.59$5.0090.2%25.9%112.5%40.7%0.0%17.9%-5.1%5.0K-421.1K-1.6K0.0081.81N/AN/A003,635374
2009-03-19$4.78$5.0094.4%27.1%113.3%43.6%0.0%18.2%-5.0%5.6K-481.8K-1.7K0.0020.30N/AN/A003,635374
2009-03-20$4.16$5.00104.3%29.9%123.6%50.4%0.0%6.2%-7.0%4.1K-373.0K-1.5K0.0072.99N/AN/A003,635374
2009-03-23$4.97$5.0096.7%27.7%136.3%45.2%0.0%25.3%-4.7%6.0K-530.7K-1.8K0.0044.37N/AN/A503,635374
2009-03-24$4.68$5.0096.2%27.6%130.6%44.8%0.0%25.7%-1.9%5.1K-465.4K-1.6K0.0079.78N/AN/A003,638374
2009-03-25$4.80$5.0092.8%26.6%128.7%42.5%0.0%0.0%-0.1%5.1K-472.1K-1.6K0.0066.50N/AN/A2003,638374
2009-03-26$5.21$5.0098.9%28.3%131.6%46.7%98.9%33.3%-6.9%7.0K-625.5K-1.8K0.0022.62N/AN/A27003,658374
2009-03-27$4.69$7.5099.0%28.4%137.3%46.7%98.9%19.4%-3.6%4.4K-416.3K-1.4K0.0028.08N/AN/A0123,493374
2009-03-30$4.59$7.5091.1%26.1%134.3%41.3%0.0%19.3%1.7%3.8K-380.1K-1.4K0.0083.85N/AN/A003,493381
2009-03-31$4.89$7.5090.9%26.1%134.9%41.2%92.8%27.4%2.1%4.4K-446.8K-1.4K0.0022.63N/AN/A6103,493381