VICR Options History — May 2010

In May 2010, VICR traded between $11.77 and $15.93. ATM implied volatility averaged 53.6%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 11.1% (HV 20d: 64.7%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2010-05-06: Highest Volume — 189 contracts
  • 2010-05-06: Largest IV spike — 86.6% change
  • 2010-05-06: Highest IV Rank — 82.0%
  • 2010-05-06: Largest Expected Move — 24.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.19$11.77$15.93$15.93$12.20
Max Pain$14.88$12.50$17.50$17.50$12.50
ATM IV53.6%38.6%85.7%38.6%51.9%
Expected Move15.0%11.1%24.6%11.1%14.9%
HV 20d64.7%45.5%73.6%45.5%72.4%
HV 60d59.3%52.5%64.3%52.5%64.3%
IV Rank40.6%14.6%82.0%14.6%41.0%
IV Percentile55.5%13.1%99.2%13.1%52.0%
Term Structure-2.5%-33.7%3.6%3.6%-2.0%
VWIV55.8%37.1%81.3%81.3%59.9%
Skew 25d7.6%0.3%16.7%5.3%1.4%
Skew 10d19.3%7.4%34.0%8.6%7.4%
Call IV 25d47.0%37.0%60.1%38.8%49.8%
Put IV 25d54.6%43.1%67.7%44.2%51.2%
Bid-Ask Spread %80.9251.55104.3160.3891.74
Gamma HHI0.460.330.570.490.50
Net GEX5.9K-2.6K11.3K-4189.0K
Net DEX-264.4K-955.4K228.0K-955.4K-591.1K
Net VEX-2.7K-3.1K-2.4K-2.6K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.002.500.000.00
Total Volume48.950189760
Total OI2,407.51,7682,6702,4722,018

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$15.93$17.5038.6%11.1%45.5%14.6%0.0%5.3%3.6%-418-955.4K-2.6K0.0060.38N/AN/A7601,2511,221
2010-05-04$15.32$17.5040.9%11.7%48.1%17.9%0.0%1.1%-2.0%10.5K-763.1K-3.1K0.0059.16N/AN/A1101,3271,221
2010-05-05$14.52$17.5045.9%13.2%52.3%25.1%0.0%0.3%-5.0%10.8K-490.7K-3.0K0.0086.92N/AN/A0201,3381,221
2010-05-06$13.18$17.5085.7%24.6%62.7%82.0%81.3%16.7%-33.7%4.1K-90.8K-3.1K0.47104.31N/AN/A129601,3381,232
2010-05-07$12.52$15.0061.7%14.4%64.8%47.7%0.0%3.3%0.8%4.0K141.1K-2.9K0.0089.87N/AN/A0301,3871,283
2010-05-10$13.14$15.0057.7%15.4%67.1%42.0%0.0%10.0%-1.5%5.4K-40.7K-2.8K0.8095.10N/AN/A40321,3871,229
2010-05-11$13.53$15.0061.0%15.4%67.3%46.6%0.0%14.9%-0.8%7.4K-123.1K-2.8K0.0091.31N/AN/A0131,3671,217
2010-05-12$13.97$15.0046.8%13.1%66.0%26.4%37.1%16.7%1.1%11.3K-225.2K-2.7K0.0070.77N/AN/A2001,3671,217
2010-05-13$13.90$15.0044.4%12.7%65.9%26.6%51.3%14.2%0.9%9.8K-257.9K-2.8K0.0073.04N/AN/A5001,3671,217
2010-05-14$13.50$15.0048.5%13.9%66.5%35.0%49.6%8.1%2.2%7.6K-167.8K-2.6K0.2094.96N/AN/A50101,3631,217
2010-05-17$13.42$15.0053.3%15.3%66.4%43.4%0.0%2.9%-2.0%7.7K-101.5K-2.4K0.0073.30N/AN/A001,3631,217
2010-05-18$13.22$15.0051.3%14.7%66.2%40.0%0.0%9.5%-1.6%4.5K-44.5K-2.4K0.0051.55N/AN/A0641,3631,227
2010-05-19$12.87$15.0053.9%15.4%66.6%44.5%0.0%9.0%-1.4%82284.9K-2.5K2.5076.22N/AN/A4101,3631,263
2010-05-20$11.90$15.0060.8%17.4%71.1%56.6%0.0%2.7%-2.4%1.3K228.0K-2.5K0.0092.29N/AN/A0101,3591,229
2010-05-21$12.34$15.0059.9%17.2%67.9%55.0%59.9%15.0%-3.2%-2.6K138.9K-2.5K0.2586.49N/AN/A80201,3591,196
2010-05-24$12.00$12.5058.0%16.6%68.1%51.7%0.0%6.5%-1.5%5.2K-469.1K-2.5K0.0079.94N/AN/A2001,075693
2010-05-25$11.83$12.5059.1%16.9%68.1%53.5%0.0%3.7%-4.1%5.5K-393.2K-2.5K0.00102.73N/AN/A14201,095693
2010-05-26$11.77$12.5044.0%12.6%67.5%27.3%0.0%4.1%-0.1%7.4K-501.7K-2.8K0.0070.17N/AN/A1001,237693
2010-05-27$12.74$12.5048.5%13.9%73.6%35.1%0.0%6.0%3.1%9.1K-664.8K-2.5K0.0068.22N/AN/A7801,247693
2010-05-28$12.20$12.5051.9%14.9%72.4%41.0%0.0%1.4%-2.0%9.0K-591.1K-3.1K0.0091.74N/AN/A001,325693