VICR Options History — December 2009

In December 2009, VICR traded between $8.16 and $9.48. ATM implied volatility averaged 42.9%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 6.3% (HV 20d: 49.2%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2009-12-29: Highest Volume — 500 contracts
  • 2009-12-10: Largest IV spike — 40.8% change
  • 2009-12-30: Highest IV Rank — 25.8%
  • 2009-12-08: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.02$8.16$9.48$8.27$9.30
Max Pain$8.18$5.00$10.00$5.00$10.00
ATM IV42.9%33.5%50.8%36.4%42.8%
Expected Move13.0%9.8%16.3%10.4%12.3%
HV 20d49.2%38.8%58.0%58.0%46.3%
HV 60d50.9%47.2%52.5%47.2%48.6%
IV Rank14.1%1.5%25.8%4.9%14.6%
IV Percentile7.2%0.8%17.5%1.2%6.7%
Term Structure5.6%-2.2%19.4%8.9%2.5%
VWIV45.1%34.7%55.7%34.7%50.6%
Bid-Ask Spread %78.4236.87105.8388.0743.78
Gamma HHI0.880.510.970.540.97
Net GEX23.8K17.3K31.3K20.7K31.3K
Net DEX-859.8K-1.4M-239.0K-803.6K-561.6K
Net VEX-2.0K-3.1K-1.5K-1.9K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.005.000.000.67
Total Volume43.182050000
Total OI2,746.6822,4282,9602,7292,960

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$8.27$5.0036.4%10.4%58.0%4.9%0.0%0.0%8.9%20.7K-803.6K-1.9K0.0088.07N/AN/A002,284445
2009-12-02$8.39$5.0034.6%9.9%57.9%2.7%0.0%0.0%13.1%17.3K-797.5K-1.6K0.0065.03N/AN/A0192,284445
2009-12-03$8.16$5.0034.3%9.8%38.8%2.4%0.0%0.0%15.3%20.6K-752.3K-1.7K0.0065.96N/AN/A002,284464
2009-12-04$8.89$10.0034.1%13.1%48.6%2.1%34.7%0.0%7.6%20.8K-1.0M-1.9K0.0081.25N/AN/A5002,284464
2009-12-07$9.48$7.5039.8%16.0%51.6%8.8%55.7%0.0%-0.7%22.1K-1.4M-2.2K0.0071.36N/AN/A11702,324464
2009-12-08$9.28$7.5049.5%16.3%52.6%20.4%0.0%0.0%-2.2%24.0K-1.3M-2.3K5.0053.67N/AN/A2102,391464
2009-12-09$9.27$7.5033.5%15.2%52.1%1.5%0.0%0.0%1.6%24.3K-1.3M-2.2K0.0055.98N/AN/A002,391474
2009-12-10$8.94$7.5047.2%13.5%54.5%19.7%0.0%0.0%1.0%23.3K-1.2M-2.1K0.4099.66N/AN/A25102,391474
2009-12-11$9.01$7.5049.1%14.1%51.9%22.2%0.0%0.0%3.5%24.2K-1.1M-2.0K0.00101.43N/AN/A002,396484
2009-12-14$9.08$7.5041.0%11.8%49.2%11.5%0.0%0.0%9.6%25.8K-1.1M-1.8K0.00100.50N/AN/A2502,396484
2009-12-15$8.93$7.5047.7%13.7%49.6%20.3%0.0%0.0%3.1%23.0K-1.2M-2.1K0.0064.70N/AN/A002,421534
2009-12-16$9.02$7.5043.5%12.5%48.1%14.8%0.0%0.0%5.2%22.7K-1.1M-1.9K0.00100.82N/AN/A002,421534
2009-12-17$8.84$7.5044.7%12.8%48.5%16.6%0.0%0.0%8.3%24.1K-1.1M-1.9K0.0072.98N/AN/A002,421534
2009-12-18$8.88$7.5045.3%13.0%48.2%17.5%39.6%0.0%2.2%20.4K-1.0M-1.8K0.0072.90N/AN/A01602,421534
2009-12-21$8.97$10.0042.4%12.2%48.2%14.1%0.0%0.0%9.0%21.0K-345.7K-1.8K0.00105.83N/AN/A001,754674
2009-12-22$8.95$10.0035.6%10.2%46.3%4.5%0.0%0.0%19.4%19.1K-239.0K-1.5K0.0085.07N/AN/A001,754674
2009-12-23$9.30$10.0046.1%13.2%47.9%19.2%0.0%0.0%5.8%25.4K-481.5K-1.9K0.00103.92N/AN/A001,754674
2009-12-24$9.30$10.0047.2%13.5%47.0%20.7%0.0%0.0%2.9%26.1K-503.3K-1.9K0.00105.44N/AN/A001,754674
2009-12-28$9.35$10.0048.9%14.0%46.0%23.1%50.6%0.0%2.9%28.9K-546.4K-1.8K0.0036.87N/AN/A3201,754674
2009-12-29$9.40$10.0049.4%14.2%46.0%23.8%0.0%0.0%2.8%29.2K-527.4K-1.8K0.6746.68N/AN/A3002001,786674
2009-12-30$9.39$10.0050.8%14.6%46.0%25.8%0.0%0.0%1.0%30.1K-579.0K-3.1K0.00103.43N/AN/A002,086874
2009-12-31$9.30$10.0042.8%12.3%46.3%14.6%0.0%0.0%2.5%31.3K-561.6K-3.1K0.0043.78N/AN/A002,086874