VICR Options History — June 2009

In June 2009, VICR traded between $6.02 and $7.22. ATM implied volatility averaged 60.9%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 33.6% (HV 20d: 94.5%). 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 20 of 22 days. Put/call ratio averaged 0.05.

Notable Days

  • 2009-06-19: Highest Volume — 860 contracts
  • 2009-06-10: Largest IV drop — 34.9% change
  • 2009-06-09: Highest IV Rank — 30.6%
  • 2009-06-30: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.75$6.02$7.22$6.02$7.22
Max Pain$5.11$5.00$7.50$5.00$5.00
ATM IV60.9%42.7%75.6%55.9%70.4%
Expected Move17.6%12.3%20.2%16.0%20.2%
HV 20d94.5%80.4%102.0%94.9%80.4%
HV 60d90.7%80.2%102.0%101.1%80.2%
IV Rank20.5%7.9%30.6%17.0%27.0%
IV Percentile25.4%1.6%47.6%19.8%40.1%
Term Structure5.9%-3.4%21.7%13.4%-3.4%
VWIV67.0%63.2%72.6%72.6%65.0%
Bid-Ask Spread %65.6414.8691.4291.4231.13
Gamma HHI0.600.420.890.580.75
Net GEX1.4K3362.9K1.1K2.3K
Net DEX-656.9K-793.5K-522.9K-522.9K-793.5K
Net VEX-1.4K-1.7K-1.1K-1.3K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.180.000.00
Total Volume75.955086000
Total OI2,180.8181,9242,4972,1212,497

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$6.02$5.0055.9%16.0%94.9%17.0%0.0%0.0%13.4%1.1K-522.9K-1.3K0.0091.42N/AN/A001,411710
2009-06-02$6.49$5.0042.7%12.3%97.2%7.9%0.0%0.0%16.6%641-633.3K-1.3K0.0014.86N/AN/A1001,411710
2009-06-03$6.69$5.0057.0%16.3%92.0%17.8%72.6%0.0%21.7%336-677.4K-1.3K0.1889.43N/AN/A55101,411710
2009-06-04$7.13$7.5059.3%17.0%93.1%19.4%0.0%0.0%5.5%417-782.9K-1.3K0.0039.62N/AN/A26001,444720
2009-06-05$7.07$5.0054.2%18.0%92.2%15.8%0.0%0.0%4.9%544-758.6K-1.4K0.0082.17N/AN/A0501,446720
2009-06-08$7.02$5.0061.5%18.2%90.5%20.9%0.0%0.0%6.7%956-761.1K-1.3K0.0060.37N/AN/A001,435656
2009-06-09$6.14$5.0075.6%19.7%100.1%30.6%0.0%0.0%3.6%1.6K-569.8K-1.4K0.0586.29N/AN/A200101,435656
2009-06-10$6.48$5.0049.2%15.9%101.7%12.4%0.0%0.0%11.2%1.6K-605.1K-1.2K0.0081.99N/AN/A10001,371653
2009-06-11$6.69$5.0062.9%18.0%97.6%21.8%0.0%0.0%4.9%789-598.4K-1.2K0.0070.20N/AN/A1001,271653
2009-06-12$6.92$5.0061.6%17.6%97.3%20.9%0.0%0.0%5.6%608-643.1K-1.1K0.0066.15N/AN/A001,280653
2009-06-15$6.35$5.0051.5%14.8%102.0%14.0%0.0%0.0%8.6%1.5K-528.3K-1.1K0.0084.04N/AN/A001,280653
2009-06-16$6.54$5.0053.3%15.3%96.2%15.2%63.2%0.0%5.0%967-573.8K-1.1K0.0073.77N/AN/A2601,280653
2009-06-17$6.99$5.0065.0%18.6%97.2%23.3%0.0%0.0%3.5%925-666.3K-1.1K0.0065.82N/AN/A001,306653
2009-06-18$6.89$5.0066.5%19.1%97.3%24.3%0.0%0.0%3.1%1.1K-647.3K-1.1K0.0063.52N/AN/A0501,306653
2009-06-19$6.97$5.0065.0%18.6%96.8%23.3%65.0%0.0%3.9%765-646.8K-1.2K0.1829.57N/AN/A7301301,306703
2009-06-22$6.66$5.0066.5%19.1%98.6%24.3%0.0%0.0%1.5%2.8K-637.7K-1.7K0.0073.49N/AN/A0101,721756
2009-06-23$6.48$5.0066.5%19.1%96.5%24.3%0.0%0.0%-0.3%2.9K-577.0K-1.7K0.0050.07N/AN/A001,721766
2009-06-24$6.56$5.0065.4%18.8%93.6%23.6%0.0%0.0%2.1%2.6K-600.8K-1.7K0.0078.50N/AN/A0101,721766
2009-06-25$6.90$5.0060.7%17.4%90.2%20.3%0.0%0.0%5.8%2.3K-691.4K-1.7K0.0074.79N/AN/A1001,721766
2009-06-26$7.20$5.0065.1%18.7%89.5%23.4%0.0%0.0%2.1%2.3K-789.2K-1.7K0.0067.88N/AN/A001,731766
2009-06-29$7.06$5.0064.3%18.4%84.0%22.8%0.0%0.0%3.2%2.5K-747.1K-1.7K0.0068.89N/AN/A001,731766
2009-06-30$7.22$5.0070.4%20.2%80.4%27.0%0.0%0.0%-3.4%2.3K-793.5K-1.7K0.0031.13N/AN/A001,731766