VICR Options History — April 2009

In April 2009, VICR traded between $4.87 and $6.03. ATM implied volatility averaged 85.8%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded below realized volatility by 20.4% (HV 20d: 106.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 18.20.

Notable Days

  • 2009-04-02: Highest Volume — 827 contracts
  • 2009-04-07: Largest IV drop — 17.1% change
  • 2009-04-06: Highest IV Rank — 47.7%
  • 2009-04-01: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.44$4.87$6.03$4.87$5.37
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV85.8%64.8%100.4%93.2%64.8%
Expected Move24.6%18.6%26.7%26.7%18.6%
HV 20d106.2%70.3%136.5%134.7%70.4%
HV 60d111.8%103.6%118.5%117.3%103.6%
IV Rank37.6%23.1%47.7%42.7%23.1%
IV Percentile62.8%35.7%92.9%76.2%35.7%
Term Structure-0.5%-6.5%9.4%-0.8%9.4%
Skew 25d27.5%18.5%35.5%30.9%20.8%
Skew 10d55.4%21.2%75.1%47.7%75.1%
Call IV 25d103.9%81.5%160.8%95.8%86.7%
Put IV 25d131.4%107.4%179.3%126.7%107.4%
Bid-Ask Spread %52.1922.6097.6397.6345.02
Gamma HHI0.540.350.680.360.68
Net GEX-3.3K-9.4K5.8K4.3K-9.4K
Net DEX-303.2K-592.4K-93.8K-459.9K-138.0K
Net VEX-1.7K-2.2K-986-1.4K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.200.0073.006.5910.40
Total Volume85.429082700
Total OI3,633.7142,4774,6843,9352,634

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$4.87$5.0093.2%26.7%134.7%42.7%0.0%30.9%-0.8%4.3K-459.9K-1.4K0.0097.63N/AN/A003,554381
2009-04-02$5.37$5.0092.3%26.5%136.5%42.1%0.0%26.3%-4.9%5.8K-592.4K-1.5K6.5926.09N/AN/A1097183,554381
2009-04-03$5.38$5.0089.8%24.8%136.5%40.4%0.0%18.5%2.4%-1.6K-444.3K-1.6K0.0061.65N/AN/A15003,4761,099
2009-04-06$5.18$5.00100.4%26.0%134.8%47.7%0.0%33.0%-2.4%-165-295.2K-1.7K0.0054.96N/AN/A003,3561,099
2009-04-07$4.93$5.0083.3%25.6%119.4%35.9%0.0%35.5%2.9%-1.4K-232.4K-1.6K0.0022.80N/AN/A003,3561,099
2009-04-08$5.31$5.0084.5%25.5%118.0%36.8%0.0%20.8%0.6%-1.2K-326.1K-1.6K0.0022.60N/AN/A003,3561,099
2009-04-09$5.62$5.0088.1%25.3%119.1%39.2%0.0%0.0%3.9%-1.9K-447.5K-1.4K0.0068.01N/AN/A0153,3561,099
2009-04-13$5.61$5.0085.9%24.6%118.2%37.7%0.0%0.0%3.7%-2.1K-453.6K-1.4K1.0046.70N/AN/A223,3561,107
2009-04-14$5.62$5.0093.2%26.7%116.7%42.7%0.0%0.0%-5.8%327-570.0K-9860.0027.03N/AN/A02193,3581,107
2009-04-15$5.63$5.0088.7%25.4%116.0%39.7%0.0%0.0%1.0%-3.0K-371.5K-1.7K0.0063.30N/AN/A003,3581,326
2009-04-16$6.03$5.0088.9%25.5%116.5%39.8%0.0%0.0%-0.3%-2.9K-425.7K-1.5K0.0077.21N/AN/A003,2311,326
2009-04-17$5.99$5.0088.7%25.4%116.2%39.6%0.0%0.0%0.1%-2.8K-418.2K-1.5K0.0052.42N/AN/A03113,2311,326
2009-04-20$5.45$5.0088.5%25.4%109.5%39.5%0.0%0.0%-5.6%-4.8K-225.9K-1.9K73.0063.50N/AN/A1731,2091,268
2009-04-21$5.58$5.0083.5%23.9%90.9%36.1%0.0%0.0%-0.1%-6.0K-224.1K-2.0K10.4034.35N/AN/A101041,2101,341
2009-04-22$5.52$5.0086.2%24.7%87.8%37.9%0.0%0.0%-4.5%-5.5K-198.4K-2.2K0.0035.38N/AN/A001,2201,445
2009-04-23$5.41$5.0082.0%23.5%88.1%35.0%0.0%0.0%0.3%-6.5K-126.2K-2.0K0.0068.07N/AN/A0301,1091,445
2009-04-24$5.40$5.0080.2%23.0%83.4%33.7%0.0%0.0%-1.4%-7.2K-105.1K-2.0K0.0070.18N/AN/A001,1091,475
2009-04-27$5.28$5.0081.3%23.3%74.0%34.6%0.0%0.0%-6.5%-7.3K-93.8K-1.9K0.0069.03N/AN/A0501,1091,475
2009-04-28$5.34$5.0085.0%24.4%73.3%37.1%0.0%0.0%-5.5%-7.8K-95.1K-2.0K0.0035.77N/AN/A001,1091,525
2009-04-29$5.42$5.0073.2%21.0%70.3%28.9%0.0%0.0%4.2%-9.0K-122.9K-1.9K0.0054.23N/AN/A001,1091,525
2009-04-30$5.37$5.0064.8%18.6%70.4%23.1%0.0%0.0%9.4%-9.4K-138.0K-1.9K0.0045.02N/AN/A001,1091,525