VICR Options History — March 2010

In March 2010, VICR traded between $9.60 and $14.12. ATM implied volatility averaged 40.1%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 18.9% (HV 20d: 58.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.53.

Notable Days

  • 2010-03-15: Highest Volume — 451 contracts
  • 2010-03-10: Largest IV drop — 28.8% change
  • 2010-03-09: Highest IV Rank — 29.4%
  • 2010-03-09: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.15$9.60$14.12$9.60$13.81
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV40.1%31.9%53.5%42.2%34.8%
Expected Move11.2%9.1%13.2%12.1%10.0%
HV 20d58.9%37.7%69.4%42.5%69.4%
HV 60d48.0%37.0%53.2%42.7%53.2%
IV Rank10.9%0.0%29.4%13.8%4.3%
IV Percentile10.5%0.0%38.1%10.7%4.0%
Term Structure3.3%-0.4%13.6%1.6%0.0%
VWIV36.9%27.9%45.3%42.4%27.9%
Skew 25d4.6%0.3%12.1%0.8%1.8%
Skew 10d11.7%0.4%42.2%0.4%6.0%
Call IV 25d36.3%27.0%40.6%36.9%40.6%
Put IV 25d40.9%36.4%45.5%37.8%42.4%
Bid-Ask Spread %44.6123.1779.7347.9443.70
Gamma HHI0.560.340.920.540.54
Net GEX3.3K-2.2K7.4K-2.2K7.3K
Net DEX-953.3K-1.4M-375.7K-375.7K-1.1M
Net VEX-2.1K-3.0K-1.1K-2.9K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.005.000.000.00
Total Volume840451110111
Total OI2,075.871,6222,2872,1812,064

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$9.60$10.0042.2%12.1%42.5%13.8%42.4%0.0%1.6%-2.2K-375.7K-2.9K0.0047.94N/AN/A11001,226955
2010-03-02$9.97$10.0045.3%13.0%44.0%18.0%0.0%0.0%-0.4%1.6K-522.1K-2.9K0.0042.68N/AN/A001,326955
2010-03-03$10.08$10.0044.6%12.8%43.1%17.1%0.0%0.0%0.7%1.4K-604.3K-3.0K0.0043.34N/AN/A001,326955
2010-03-04$10.28$10.0041.0%11.8%42.0%12.1%41.4%0.0%5.1%1.6K-705.8K-2.9K0.0041.83N/AN/A1601,326955
2010-03-05$10.23$10.0050.9%12.4%38.7%25.8%0.0%0.0%2.1%1.3K-710.1K-2.8K0.0079.73N/AN/A001,332955
2010-03-08$10.16$10.0052.2%13.1%37.9%27.6%0.0%0.0%2.7%1.4K-661.6K-2.8K0.0026.29N/AN/A001,332955
2010-03-09$10.36$10.0053.5%13.2%37.7%29.4%0.0%0.0%1.1%1.6K-737.6K-2.7K5.0054.86N/AN/A10501,332955
2010-03-10$12.17$10.0038.0%11.3%64.3%8.0%39.5%0.0%3.4%1.5K-1.4M-1.6K0.0051.35N/AN/A23601,332909
2010-03-11$11.97$10.0037.5%10.8%64.8%7.2%30.1%0.0%4.3%2.1K-1.2M-1.7K0.3552.51N/AN/A43151,140909
2010-03-12$11.80$10.0038.8%11.1%63.3%9.0%0.0%0.0%3.2%1.3K-1.1M-1.6K0.0025.52N/AN/A10001,107921
2010-03-15$11.65$10.0038.3%11.0%63.2%8.4%30.9%0.0%2.8%739-985.9K-1.7K0.0048.42N/AN/A45101,049921
2010-03-16$11.79$10.0034.1%9.8%63.1%2.5%0.0%0.0%5.9%969-934.1K-1.3K0.0032.88N/AN/A00953921
2010-03-17$12.81$10.0037.1%10.6%68.1%6.7%37.0%0.0%3.4%2.5K-1.1M-1.1K0.1523.17N/AN/A13020953921
2010-03-18$13.29$10.0037.6%10.8%68.6%7.3%37.4%0.8%3.0%5.0K-1.3M-1.2K1.7236.39N/AN/A29501,064937
2010-03-19$12.98$10.0036.7%10.5%68.5%6.1%0.0%6.4%4.5%5.4K-1.2M-1.5K0.0450.99N/AN/A4721,090987
2010-03-22$13.53$10.0039.3%11.3%67.3%9.8%0.0%2.9%3.0%5.8K-955.3K-1.5K0.3938.00N/AN/A16364852770
2010-03-23$14.12$10.0038.6%11.1%65.9%9.2%45.3%6.6%3.5%7.2K-1.1M-1.9K1.3629.12N/AN/A951291,011834
2010-03-24$13.83$10.0041.1%11.8%67.5%12.9%0.0%3.9%0.3%6.0K-1.1M-2.3K0.0062.75N/AN/A1001,096954
2010-03-25$13.58$10.0039.1%11.2%68.8%9.9%0.0%0.3%4.3%5.7K-1.0M-2.4K0.0046.67N/AN/A1001,096954
2010-03-26$13.56$10.0035.2%10.1%69.1%4.2%0.0%12.1%13.6%5.5K-1.0M-2.3K0.0058.34N/AN/A001,074954
2010-03-29$13.79$10.0033.7%9.7%69.0%2.0%0.0%3.7%2.1%5.9K-1.0M-2.2K0.0045.36N/AN/A3101,074954
2010-03-30$13.99$10.0031.9%9.1%68.6%0.0%0.0%7.9%4.6%7.4K-1.1M-2.2K0.0044.25N/AN/A1001,105954
2010-03-31$13.81$10.0034.8%10.0%69.4%4.3%27.9%1.8%0.0%7.3K-1.1M-2.2K0.0043.70N/AN/A11101,110954