VICR Options History — July 2009

In July 2009, VICR traded between $6.55 and $7.89. ATM implied volatility averaged 59.7%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 1.3% (HV 20d: 61.0%). 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 17 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2009-07-17: Highest Volume — 545 contracts
  • 2009-07-10: Largest IV spike — 25.3% change
  • 2009-07-01: Highest IV Rank — 29.1%
  • 2009-07-01: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.12$6.55$7.89$7.31$7.89
Max Pain$7.08$5.00$7.50$5.00$7.50
ATM IV59.7%48.8%73.4%73.4%58.3%
Expected Move18.4%15.8%21.0%21.0%16.7%
HV 20d61.0%46.3%84.0%80.0%46.3%
HV 60d78.0%74.9%80.7%79.7%74.9%
IV Rank19.7%12.1%29.1%29.1%18.7%
IV Percentile20.7%4.0%44.8%44.8%18.7%
Term Structure2.0%-4.1%7.0%-4.1%4.4%
VWIV58.5%55.1%62.2%62.2%55.1%
Bid-Ask Spread %35.3519.7068.8161.7943.32
Gamma HHI0.670.570.830.830.72
Net GEX2.3K8714.3K2.7K2.9K
Net DEX-586.2K-830.8K-425.1K-830.8K-630.6K
Net VEX-1.5K-1.7K-1.3K-1.7K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.001.601.600.00
Total Volume30.818054503
Total OI2,277.1821,9322,5612,4971,932

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$7.31$5.0073.4%21.0%80.0%29.1%0.0%0.0%-4.1%2.7K-830.8K-1.7K0.0061.79N/AN/A001,731766
2009-07-02$6.85$5.0055.0%15.8%80.3%16.4%0.0%0.0%3.3%2.0K-659.9K-1.6K0.0049.78N/AN/A001,731766
2009-07-06$7.12$0.0061.0%18.7%81.6%20.5%0.0%0.0%4.0%2.9K-755.4K-1.6K0.0067.62N/AN/A0891,731766
2009-07-07$6.73$0.0048.8%20.3%84.0%12.1%0.0%0.0%1.4%1.8K-599.3K-1.6K0.0068.81N/AN/A001,731830
2009-07-08$6.78$0.0049.3%20.1%68.1%12.4%0.0%0.0%1.9%1.9K-604.7K-1.6K0.0045.42N/AN/A001,731830
2009-07-09$6.55$0.0055.1%20.0%66.9%16.4%0.0%0.0%-0.0%1.4K-544.4K-1.5K0.0048.73N/AN/A001,731830
2009-07-10$6.94$0.0069.0%20.2%69.1%26.1%0.0%0.0%-0.7%2.4K-691.0K-1.6K0.0045.00N/AN/A001,731830
2009-07-13$6.98$0.0054.4%20.1%68.1%16.0%0.0%0.0%-0.2%2.5K-639.4K-1.5K0.0021.85N/AN/A001,721830
2009-07-14$6.98$0.0055.7%19.4%59.9%16.9%0.0%0.0%1.6%2.4K-623.6K-1.4K0.0023.88N/AN/A001,721830
2009-07-15$7.01$0.0065.9%20.0%59.2%23.9%0.0%0.0%-0.0%2.6K-639.9K-1.4K0.0022.70N/AN/A001,721830
2009-07-16$7.25$0.0068.3%19.6%55.6%25.6%0.0%0.0%2.4%4.3K-716.9K-1.4K0.0021.63N/AN/A001,721830
2009-07-17$7.01$0.0062.2%17.8%56.8%21.4%62.2%0.0%3.7%871-583.1K-1.3K1.6019.70N/AN/A2103351,691810
2009-07-20$7.11$7.5058.1%16.7%56.8%18.5%58.1%0.0%5.3%1.5K-505.8K-1.6K0.0023.62N/AN/A2201,312715
2009-07-21$7.21$7.5055.3%15.8%54.2%16.6%55.1%0.0%7.0%1.9K-531.8K-1.6K0.0021.66N/AN/A901,334715
2009-07-22$7.12$7.5057.6%16.5%53.4%18.2%0.0%0.0%2.8%2.1K-524.3K-1.6K0.0025.16N/AN/A1001,343715
2009-07-23$7.11$7.5059.8%17.1%53.3%19.7%0.0%0.0%2.2%2.0K-426.5K-1.6K0.0022.19N/AN/A001,222710
2009-07-24$7.17$7.5061.3%17.6%50.5%20.7%0.0%0.0%3.5%2.0K-439.6K-1.6K0.0025.46N/AN/A001,222710
2009-07-27$7.14$7.5060.6%17.4%48.2%20.3%0.0%0.0%2.5%2.2K-425.1K-1.5K0.0030.29N/AN/A001,222710
2009-07-28$7.45$7.5063.8%18.3%49.9%22.5%0.0%0.0%0.0%2.2K-500.2K-1.5K0.0025.13N/AN/A001,222710
2009-07-29$7.32$7.5062.1%17.8%49.8%21.3%0.0%0.0%0.5%2.4K-483.4K-1.5K0.0027.12N/AN/A001,222710
2009-07-30$7.57$7.5059.6%17.1%51.0%19.5%0.0%0.0%1.7%2.6K-540.7K-1.5K0.0036.84N/AN/A001,222710
2009-07-31$7.89$7.5058.3%16.7%46.3%18.7%0.0%0.0%4.4%2.9K-630.6K-1.4K0.0043.32N/AN/A301,222710