VICR Options History — April 2010

In April 2010, VICR traded between $13.79 and $16.04. ATM implied volatility averaged 38.1%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 5.4% (HV 20d: 43.5%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.25.

Notable Days

  • 2010-04-27: Highest Volume — 359 contracts
  • 2010-04-15: Largest IV spike — 25.6% change
  • 2010-04-19: Highest IV Rank — 25.0%
  • 2010-04-19: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.84$13.79$16.04$13.82$15.12
Max Pain$13.93$10.00$17.50$10.00$17.50
ATM IV38.1%28.4%45.9%29.0%40.3%
Expected Move11.8%8.3%13.1%8.3%11.6%
HV 20d43.5%27.7%69.6%69.6%43.2%
HV 60d51.7%50.3%53.1%52.9%52.7%
IV Rank13.7%0.0%25.0%0.0%17.1%
IV Percentile13.6%0.0%29.4%0.0%17.1%
Term Structure-0.4%-3.7%11.5%11.5%-1.7%
VWIV40.9%28.4%46.8%41.9%41.1%
Skew 25d7.3%-1.0%92.2%-1.0%1.3%
Skew 10d14.3%-1.4%129.3%-1.4%6.7%
Call IV 25d39.3%28.5%44.6%28.5%39.6%
Put IV 25d46.6%27.5%136.8%27.5%40.8%
Bid-Ask Spread %48.5833.2980.0244.4566.29
Gamma HHI0.700.460.880.590.48
Net GEX13.6K-1.8K31.3K9.4K6.7K
Net DEX-1.2M-1.6M-731.4K-1.2M-731.4K
Net VEX-2.7K-3.2K-2.3K-2.5K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.250.0027.750.000.49
Total Volume6203596961
Total OI2,206.2381,7852,4622,1632,462

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$13.82$10.0029.0%8.3%69.6%0.0%0.0%-1.0%11.5%9.4K-1.2M-2.5K0.0044.45N/AN/A6901,209954
2010-04-05$14.26$12.5033.2%11.5%69.5%5.9%0.0%92.2%-0.3%11.8K-1.3M-2.4K0.0033.29N/AN/A001,242954
2010-04-06$14.21$12.5033.6%11.9%69.3%6.5%0.0%2.6%-0.1%11.2K-1.3M-2.6K0.0035.44N/AN/A5601,242954
2010-04-07$14.24$12.5035.2%12.0%69.5%8.7%0.0%2.6%-1.4%14.4K-1.3M-2.5K0.0037.43N/AN/A0101,286954
2010-04-08$14.05$12.5028.4%11.8%44.1%0.0%0.0%4.0%-1.0%13.4K-1.2M-2.5K0.0034.87N/AN/A001,286954
2010-04-09$13.79$12.5034.5%11.8%44.3%8.8%0.0%3.2%-0.6%11.7K-1.2M-2.5K0.0034.31N/AN/A001,286964
2010-04-12$14.02$12.5034.6%12.0%43.7%9.0%0.0%2.3%-0.1%13.3K-1.2M-2.5K0.0035.71N/AN/A001,286964
2010-04-13$14.39$12.5030.2%11.5%43.3%2.6%0.0%3.7%0.4%16.2K-1.3M-2.3K0.0042.64N/AN/A0701,286964
2010-04-14$15.09$12.5033.7%12.0%45.3%7.5%41.9%2.4%-1.6%18.4K-1.5M-2.5K0.0070.30N/AN/A16901,2861,034
2010-04-15$15.14$12.5042.3%12.1%36.8%19.9%0.0%4.8%-1.0%25.1K-1.6M-2.7K0.0053.47N/AN/A001,3901,034
2010-04-16$14.96$12.5043.3%12.4%35.9%21.3%43.3%4.8%-1.8%31.3K-1.5M-2.9K0.0052.12N/AN/A0701,3901,034
2010-04-19$14.95$15.0045.9%13.1%34.3%25.0%45.9%1.9%-3.4%12.5K-1.2M-2.6K0.0071.01N/AN/A12301,135650
2010-04-20$15.11$15.0043.4%12.4%31.8%21.5%43.4%5.1%-2.4%19.2K-1.3M-3.1K0.0051.32N/AN/A01001,258650
2010-04-21$15.09$15.0045.6%13.1%28.7%24.6%0.0%3.8%-3.7%14.6K-1.2M-3.1K0.0051.34N/AN/A001,258742
2010-04-22$14.96$15.0044.4%12.7%27.7%22.9%46.8%3.8%-2.2%14.9K-1.2M-3.1K0.0041.21N/AN/A0901,258742
2010-04-23$15.94$15.0039.7%11.4%33.5%16.2%0.0%5.2%0.5%14.3K-1.5M-2.6K0.0044.00N/AN/A1001,258800
2010-04-26$15.63$15.0039.1%11.2%34.8%15.3%36.2%2.6%1.2%15.1K-1.4M-2.9K27.7547.35N/AN/A41111,263800
2010-04-27$15.35$15.0041.3%11.8%35.7%18.4%28.4%0.6%-1.1%11.6K-1.2M-2.9K5.7780.02N/AN/A533061,267911
2010-04-28$15.53$17.5041.2%11.8%35.6%18.3%0.0%4.0%-0.2%1.8K-845.4K-3.2K0.0052.13N/AN/A001,2611,201
2010-04-29$16.04$17.5041.1%11.8%36.2%18.1%0.0%3.7%0.5%-1.8K-1.0M-2.8K0.0041.56N/AN/A001,2611,201
2010-04-30$15.12$17.5040.3%11.6%43.2%17.1%41.1%1.3%-1.7%6.7K-731.4K-2.8K0.4966.29N/AN/A41201,2611,201