VICR Options History — June 2010

In June 2010, VICR traded between $11.11 and $12.83. ATM implied volatility averaged 47.4%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 14.5% (HV 20d: 61.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2010-06-30: Highest Volume — 230 contracts
  • 2010-06-24: Largest IV spike — 28.1% change
  • 2010-06-04: Highest IV Rank — 45.1%
  • 2010-06-08: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.97$11.11$12.83$11.54$12.49
Max Pain$10.34$10.00$12.50$12.50$10.00
ATM IV47.4%36.5%54.2%50.5%50.8%
Expected Move13.8%10.5%16.5%14.5%14.6%
HV 20d61.9%50.9%71.2%70.1%50.9%
HV 60d58.5%55.8%65.8%65.4%57.8%
IV Rank33.2%14.1%45.1%38.6%39.1%
IV Percentile40.0%10.3%60.3%47.6%54.0%
Term Structure6.6%-4.1%83.0%-2.7%2.1%
VWIV49.1%42.5%53.8%53.8%46.7%
Skew 25d10.8%0.7%51.3%15.1%1.1%
Skew 10d17.3%0.8%75.6%22.5%2.8%
Call IV 25d44.7%30.7%76.0%40.7%45.4%
Put IV 25d55.5%43.3%90.4%55.8%46.4%
Bid-Ask Spread %101.1532.06165.1073.4432.06
Gamma HHI0.460.380.560.470.49
Net GEX8.6K4.3K13.2K8.5K9.5K
Net DEX-541.1K-749.2K-302.0K-502.6K-675.9K
Net VEX-2.5K-2.9K-2.1K-2.9K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.003.500.003.50
Total Volume30.273023010230
Total OI1,995.4551,8432,1692,0182,169

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$11.54$12.5050.5%14.5%70.1%38.6%0.0%15.1%-2.7%8.5K-502.6K-2.9K0.0073.44N/AN/A0101,325693
2010-06-02$11.73$12.5047.8%13.7%70.4%33.9%0.0%11.3%-4.1%8.8K-447.6K-2.8K0.00106.10N/AN/A0101,325693
2010-06-03$12.22$12.5049.1%14.1%71.2%36.2%0.0%4.9%-0.6%9.7K-571.1K-2.7K0.0070.19N/AN/A001,325703
2010-06-04$11.27$10.0054.2%15.2%68.8%45.1%53.8%5.4%-1.3%8.2K-388.6K-2.7K0.0059.26N/AN/A201,325703
2010-06-07$11.17$10.0045.8%15.5%66.9%30.3%0.0%5.5%1.4%8.0K-340.9K-2.6K0.0078.83N/AN/A001,325703
2010-06-08$11.11$10.0051.2%16.5%63.7%39.8%0.0%5.9%-4.0%7.8K-302.0K-2.6K0.0095.11N/AN/A001,325703
2010-06-09$11.23$10.0053.1%15.5%62.6%43.2%0.0%4.0%0.3%8.1K-359.0K-2.6K0.0099.34N/AN/A001,325703
2010-06-10$11.75$10.0048.3%13.9%63.9%34.8%0.0%12.3%2.5%9.3K-447.6K-2.4K0.0094.80N/AN/A001,325703
2010-06-11$11.99$10.0049.5%14.2%64.8%36.9%0.0%12.8%2.2%9.6K-507.4K-2.5K0.00100.09N/AN/A001,325703
2010-06-14$11.95$10.0050.4%14.4%64.3%38.4%0.0%14.1%-3.7%9.7K-503.7K-2.5K0.00108.43N/AN/A1501,325703
2010-06-15$12.41$10.0048.1%13.8%66.1%34.3%0.0%14.5%6.3%11.2K-664.4K-2.3K0.00101.88N/AN/A001,340693
2010-06-16$12.39$10.0046.9%13.5%66.0%32.4%0.0%3.6%5.6%13.2K-644.4K-2.3K0.00103.28N/AN/A001,340693
2010-06-17$12.24$10.0045.3%13.0%65.5%29.5%0.0%18.0%-0.3%12.1K-611.6K-2.4K0.00114.12N/AN/A001,340693
2010-06-18$12.35$10.0039.7%11.4%59.1%19.8%0.0%51.3%11.7%10.6K-654.4K-2.1K0.00112.91N/AN/A201,340693
2010-06-21$12.37$10.0042.3%12.1%57.7%24.2%42.5%6.3%83.0%6.2K-660.3K-2.2K0.00116.99N/AN/A701,180663
2010-06-22$12.07$10.0045.2%13.0%57.5%29.4%0.0%4.9%5.3%6.2K-632.1K-2.2K0.00107.79N/AN/A0501,182663
2010-06-23$12.05$10.0036.5%10.5%57.2%14.1%0.0%6.2%10.3%4.3K-564.6K-2.1K0.00121.43N/AN/A001,182713
2010-06-24$11.70$10.0046.7%13.4%58.2%32.0%0.0%6.2%3.3%7.2K-487.7K-2.3K0.00165.10N/AN/A001,182713
2010-06-25$11.99$10.0043.0%12.3%51.1%25.4%0.0%7.6%15.0%5.0K-511.4K-2.1K0.00130.01N/AN/A0101,182713
2010-06-28$12.83$10.0051.0%14.6%54.6%39.5%52.8%26.8%6.8%4.9K-677.6K-2.3K0.00131.09N/AN/A18601,182713
2010-06-29$12.56$10.0047.4%13.6%51.0%33.1%49.5%0.7%5.3%10.6K-749.2K-2.6K3.50102.98N/AN/A321121,368703
2010-06-30$12.49$10.0050.8%14.6%50.9%39.1%46.7%1.1%2.1%9.5K-675.9K-2.8K0.0032.06N/AN/A02301,376793