VICR Options History — October 2009

In October 2009, VICR traded between $6.82 and $8.02. ATM implied volatility averaged 55.2%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 11.1% (HV 20d: 44.1%). 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 11 of 22 days. Put/call ratio averaged 0.10.

Notable Days

  • 2009-10-26: Highest Volume — 1,000 contracts
  • 2009-10-14: Largest IV spike — 36.3% change
  • 2009-10-15: Highest IV Rank — 27.5%
  • 2009-10-15: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.35$6.82$8.02$7.24$6.82
Max Pain$7.27$5.00$7.50$5.00$7.50
ATM IV55.2%42.2%62.7%56.6%47.4%
Expected Move16.5%13.6%18.0%16.2%13.6%
HV 20d44.1%37.6%51.0%37.9%43.6%
HV 60d38.4%36.5%41.0%38.8%37.7%
IV Rank14.4%0.0%27.5%10.4%7.0%
IV Percentile13.6%0.0%34.9%12.3%1.2%
Term Structure1.2%-4.9%12.0%5.4%7.0%
VWIV56.7%48.8%62.3%56.7%62.3%
Bid-Ask Spread %30.2017.6752.3442.3452.34
Gamma HHI0.770.480.900.730.51
Net GEX6.4K1.1K13.8K3.2K2.9K
Net DEX-328.8K-967.2K165.9K-325.2K107.1K
Net VEX-1.2K-1.4K-970-1.0K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.000.830.000.00
Total Volume138.72701,00089910
Total OI2,040.2731,1642,6332,1931,738

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$7.24$5.0056.6%16.2%37.9%10.4%56.7%0.0%5.4%3.2K-325.2K-1.0K0.0042.34N/AN/A89901,219974
2009-10-02$7.12$5.0058.9%16.9%38.5%12.1%0.0%0.0%2.6%7.8K-428.7K-1.4K0.0041.11N/AN/A001,619974
2009-10-05$7.17$7.5061.2%17.5%37.6%13.8%60.9%0.0%-1.1%8.4K-421.4K-1.3K0.0022.57N/AN/A12001,619974
2009-10-06$7.55$7.5054.6%17.8%41.8%8.9%0.0%0.0%-2.7%10.4K-596.0K-1.4K0.0021.85N/AN/A001,659974
2009-10-07$7.51$7.5060.5%17.8%41.8%13.3%0.0%0.0%-2.9%9.8K-598.6K-1.4K0.0021.27N/AN/A001,659974
2009-10-08$7.49$7.5052.7%17.3%41.9%7.4%0.0%0.0%-0.7%11.0K-624.9K-1.4K0.0021.39N/AN/A0101,659974
2009-10-09$7.76$7.5055.6%16.1%41.5%9.7%56.3%0.0%4.7%9.9K-746.4K-1.3K0.0017.67N/AN/A0591,607964
2009-10-12$7.73$7.5043.8%17.3%41.6%0.8%0.0%0.0%-0.7%10.9K-762.0K-1.2K0.0024.04N/AN/A1001,6071,014
2009-10-13$7.82$7.5042.2%17.3%41.7%0.0%0.0%0.0%0.7%9.9K-852.7K-1.1K0.0025.76N/AN/A001,5971,014
2009-10-14$7.85$7.5057.6%17.7%40.9%20.6%0.0%0.0%-1.4%9.2K-850.3K-1.1K0.0024.29N/AN/A001,5871,014
2009-10-15$8.02$7.5062.7%18.0%41.4%27.5%0.0%0.0%-1.5%6.9K-967.2K-9790.0026.30N/AN/A001,5871,014
2009-10-16$7.66$7.5057.3%16.4%45.0%20.3%57.3%0.0%0.3%13.8K-743.7K-1.0K0.8326.05N/AN/A2462041,5871,014
2009-10-19$7.63$7.5056.0%16.1%45.1%18.5%0.0%0.0%-0.9%4.8K-105.6K-1.1K0.0029.80N/AN/A00650514
2009-10-20$7.14$7.5054.6%15.7%50.8%16.7%54.6%0.0%-1.4%4.8K38.4K-1.0K0.0029.47N/AN/A050650514
2009-10-21$7.10$7.5056.2%16.1%50.7%18.8%56.2%0.0%0.2%3.9K41.3K-1.1K0.0035.50N/AN/A0100650564
2009-10-22$7.24$7.5055.0%15.8%51.0%17.3%0.0%0.0%-1.1%2.4K64.0K-1.2K0.0028.20N/AN/A00650664
2009-10-23$6.98$7.5056.9%16.3%51.0%19.7%0.0%0.0%-4.9%2.0K134.5K-1.0K0.0033.26N/AN/A00650664
2009-10-26$7.06$7.5048.5%13.9%47.6%8.5%48.8%0.0%5.6%2.8K165.9K-9700.0035.56N/AN/A1,0000650664
2009-10-27$6.99$7.5062.4%17.9%47.6%27.1%62.3%0.0%1.4%1.1K65.5K-1.3K0.0036.50N/AN/A2440740664
2009-10-28$6.84$7.5058.8%16.8%47.9%22.3%0.0%0.0%6.7%2.3K100.8K-1.3K0.0035.03N/AN/A1000974664
2009-10-29$6.97$7.5054.3%15.6%43.4%16.2%0.0%0.0%12.0%2.7K71.2K-1.4K0.0033.97N/AN/A001,074664
2009-10-30$6.82$7.5047.4%13.6%43.6%7.0%0.0%0.0%7.0%2.9K107.1K-1.3K0.0052.34N/AN/A1001,074664