VICR Options History — May 2009

In May 2009, VICR traded between $5.44 and $6.43. ATM implied volatility averaged 69.4%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 4.4% (HV 20d: 73.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 24.50.

Notable Days

  • 2009-05-06: Highest Volume — 326 contracts
  • 2009-05-12: Largest IV spike — 27.6% change
  • 2009-05-12: Highest IV Rank — 46.2%
  • 2009-05-01: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.90$5.44$6.43$5.50$5.44
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV69.4%48.9%98.2%79.0%70.6%
Expected Move19.0%14.0%22.6%22.6%20.2%
HV 20d73.8%61.9%88.1%61.9%88.1%
HV 60d101.0%98.6%103.6%101.6%99.8%
IV Rank26.3%12.2%46.2%32.9%27.1%
IV Percentile39.7%5.6%89.3%52.4%40.9%
Term Structure3.3%-10.8%19.3%-4.8%-4.5%
VWIV68.0%67.6%68.4%68.4%67.6%
Bid-Ask Spread %68.6836.4496.7047.4540.26
Gamma HHI0.470.360.690.650.40
Net GEX-364-8.4K2.1K-8.4K1.6K
Net DEX-448.1K-622.7K-150.0K-150.0K-384.1K
Net VEX-1.6K-2.1K-1.4K-1.9K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio24.500.0098.000.000.00
Total Volume49.1032600
Total OI2,429.82,0412,9192,6342,121

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$5.50$5.0079.0%22.6%61.9%32.9%0.0%0.0%-4.8%-8.4K-150.0K-1.9K0.0047.45N/AN/A001,1091,525
2009-05-04$5.75$5.0062.6%22.1%63.8%21.7%0.0%0.0%-4.4%-6.1K-251.6K-1.8K0.0063.87N/AN/A001,1091,525
2009-05-05$6.32$5.0077.5%18.8%69.5%31.9%0.0%0.0%-4.7%-831-379.6K-1.7K0.0070.11N/AN/A001,1091,525
2009-05-06$6.09$5.0072.9%19.5%68.2%28.8%0.0%0.0%0.4%-3.2K-329.5K-1.6K0.0050.62N/AN/A32601,1091,525
2009-05-07$5.90$5.0068.9%20.3%65.4%26.0%0.0%0.0%2.3%-2.7K-395.4K-2.1K0.0036.44N/AN/A03091,3941,525
2009-05-08$6.25$5.0074.5%19.2%65.5%29.8%0.0%0.0%8.4%810-519.1K-1.8K98.0085.53N/AN/A21961,3941,475
2009-05-11$5.84$5.0077.0%20.1%70.4%31.6%0.0%0.0%1.6%-1.3K-469.8K-1.7K0.0070.68N/AN/A001,3941,350
2009-05-12$5.95$5.0098.2%19.6%70.7%46.2%68.4%0.0%0.8%1.5K-512.4K-1.7K0.0096.70N/AN/A4001,3941,348
2009-05-13$5.52$5.0088.6%20.4%75.9%39.5%0.0%0.0%-4.4%-6.0K-402.8K-1.7K0.0066.64N/AN/A001,4241,348
2009-05-14$5.75$5.0071.4%20.5%73.1%27.7%0.0%0.0%1.0%1.7K-477.0K-1.7K0.0071.54N/AN/A001,4241,348
2009-05-15$5.55$5.0066.8%19.2%74.0%24.6%0.0%0.0%-2.8%1.8K-447.1K-1.6K0.0040.49N/AN/A001,4241,348
2009-05-18$6.14$5.0076.3%21.9%74.8%31.1%0.0%0.0%-10.8%1.8K-556.1K-1.4K0.0076.07N/AN/A001,414630
2009-05-19$5.89$5.0071.1%20.4%76.3%27.5%0.0%0.0%-2.8%1.7K-506.4K-1.6K0.0076.36N/AN/A001,414630
2009-05-20$6.03$5.0062.8%18.0%76.5%21.7%0.0%0.0%11.7%2.0K-533.7K-1.5K0.0076.51N/AN/A001,414630
2009-05-21$5.91$5.0060.5%17.3%76.5%20.2%0.0%0.0%19.3%1.9K-504.1K-1.5K0.0079.29N/AN/A001,414630
2009-05-22$6.02$5.0050.4%14.4%76.6%13.2%0.0%0.0%12.1%1.7K-535.0K-1.6K0.0091.37N/AN/A001,414630
2009-05-26$6.43$5.0052.5%15.1%78.7%14.7%0.0%0.0%18.9%1.3K-622.7K-1.4K0.0089.32N/AN/A001,414630
2009-05-27$6.04$5.0048.9%14.0%82.8%12.2%0.0%0.0%13.7%1.5K-551.1K-1.4K0.0064.91N/AN/A1901,414630
2009-05-28$5.61$5.0057.9%16.6%87.4%18.4%67.6%0.0%15.7%2.1K-435.3K-1.4K0.0079.44N/AN/A0901,411630
2009-05-29$5.44$5.0070.6%20.2%88.1%27.1%0.0%0.0%-4.5%1.6K-384.1K-1.4K0.0040.26N/AN/A001,411710