VICR Options History — July 2010

In July 2010, VICR traded between $12.33 and $15.74. ATM implied volatility averaged 57.9%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 9.3% (HV 20d: 48.7%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2010-07-13: Highest Volume — 25,767 contracts
  • 2010-07-29: Largest IV spike — 262.9% change
  • 2010-07-29: Highest IV Rank — 100.0%
  • 2010-07-29: Largest Expected Move — 42.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.99$12.33$15.74$12.41$15.74
Max Pain$12.74$10.00$15.00$10.00$12.50
ATM IV57.9%36.2%148.4%47.9%102.7%
Expected Move16.1%10.4%42.5%13.7%29.4%
HV 20d48.7%38.3%57.9%49.0%53.3%
HV 60d59.8%57.6%62.7%57.8%59.2%
IV Rank43.1%13.7%100.0%34.0%61.9%
IV Percentile56.6%9.9%100.0%43.7%99.6%
Term Structure2.2%-53.6%52.8%3.8%45.3%
VWIV65.4%38.4%119.0%53.7%95.1%
Skew 25d8.2%-3.3%36.6%0.1%17.8%
Skew 10d16.8%-11.9%65.1%-0.4%26.8%
Call IV 25d53.3%29.3%130.7%50.3%130.7%
Put IV 25d61.5%36.9%148.5%50.4%148.5%
Bid-Ask Spread %99.7536.22151.23106.00151.23
Gamma HHI0.780.520.930.520.79
Net GEX12.7K7.3K21.6K8.7K12.6K
Net DEX-712.5K-1.2M-285.8K-619.1K-1.1M
Net VEX-3.2K-3.6K-2.6K-2.7K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.002.000.000.47
Total Volume1,280.857025,7670126
Total OI1,7471,2382,2782,1741,828

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$12.41$10.0047.9%13.7%49.0%34.0%0.0%0.1%3.8%8.7K-619.1K-2.7K0.00106.00N/AN/A001,376798
2010-07-02$12.45$10.0047.3%13.6%38.3%32.9%0.0%21.1%5.2%8.7K-637.1K-2.7K0.00107.05N/AN/A001,376798
2010-07-06$12.33$12.5046.6%15.6%38.3%31.8%0.0%1.7%-1.3%8.8K-665.7K-2.6K0.0086.96N/AN/A001,376798
2010-07-07$12.89$12.5048.5%15.0%40.6%35.1%0.0%9.7%0.3%9.2K-701.5K-2.6K0.0070.00N/AN/A001,376798
2010-07-08$13.45$12.5053.9%15.5%42.4%44.6%53.7%2.9%0.1%8.8K-877.2K-2.8K0.0088.49N/AN/A201,376798
2010-07-09$13.85$12.5048.7%13.9%41.0%35.5%0.0%4.7%4.4%9.1K-1.0M-2.9K0.0088.57N/AN/A10201,378798
2010-07-12$13.58$12.5081.7%14.8%41.9%93.1%49.9%1.0%-1.1%11.0K-1.1M-3.2K0.0036.22N/AN/A1001,480798
2010-07-13$14.37$12.5050.5%13.6%45.3%38.6%48.2%5.8%-0.8%11.8K-1.2M-3.3K0.0077.95N/AN/A25,76701,468798
2010-07-14$13.92$12.5066.3%14.0%46.2%66.2%0.0%-2.6%1.2%10.9K-449.6K-3.4K0.0086.06N/AN/A00990798
2010-07-15$13.45$12.5049.9%14.3%48.3%37.6%0.0%-3.3%0.9%10.3K-326.6K-3.3K0.0086.16N/AN/A00990786
2010-07-16$12.99$12.5053.8%15.4%50.0%44.4%0.0%19.8%-4.0%7.3K-285.8K-3.2K2.0096.04N/AN/A510990776
2010-07-19$13.40$12.5053.7%15.4%50.9%44.2%0.0%15.0%52.8%12.6K-338.0K-3.2K0.0094.22N/AN/A00943295
2010-07-20$13.74$12.5055.6%15.9%51.4%47.5%0.0%10.8%-18.9%13.6K-396.3K-3.2K0.0091.52N/AN/A400943295
2010-07-21$13.42$12.5051.9%14.9%51.4%41.1%0.0%-1.7%1.5%13.9K-434.8K-3.4K0.0089.89N/AN/A320975295
2010-07-22$14.56$12.5053.3%15.3%57.9%43.4%53.4%9.7%-7.5%16.1K-604.4K-3.4K0.54108.57N/AN/A3720973295
2010-07-23$15.25$12.5040.5%11.6%57.4%21.1%38.4%36.6%6.1%17.4K-740.2K-3.4K0.48119.72N/AN/A12560973315
2010-07-26$15.54$15.0038.0%10.9%57.3%16.8%0.0%9.0%4.9%21.6K-887.1K-3.6K0.00123.16N/AN/A1001,066355
2010-07-27$15.72$15.0036.2%10.4%53.6%13.7%0.0%5.7%5.9%20.3K-944.2K-3.5K0.00122.11N/AN/A001,056355
2010-07-28$15.35$15.0040.9%11.7%53.8%21.8%0.0%-2.9%-0.1%19.2K-880.3K-3.5K0.00120.01N/AN/A001,056355
2010-07-29$15.39$15.00148.4%42.5%53.5%100.0%119.0%11.4%-53.6%15.7K-817.1K-3.6K1.30144.83N/AN/A2403121,039355
2010-07-30$15.74$12.50102.7%29.4%53.3%61.9%95.1%17.8%45.3%12.6K-1.1M-3.5K0.47151.23N/AN/A86401,171657