VICR Options History — August 2010

In August 2010, VICR traded between $13.15 and $15.93. ATM implied volatility averaged 52.4%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 3.0% (HV 20d: 49.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 7.18.

Notable Days

  • 2010-08-05: Highest Volume — 897 contracts
  • 2010-08-11: Largest IV spike — 17.8% change
  • 2010-08-20: Highest IV Rank — 32.8%
  • 2010-08-20: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.31$13.15$15.93$15.89$13.46
Max Pain$14.43$12.50$15.00$12.50$15.00
ATM IV52.4%35.9%67.8%35.9%47.5%
Expected Move15.5%10.3%19.4%10.3%13.6%
HV 20d49.4%42.2%54.9%53.2%46.0%
HV 60d52.9%47.3%56.1%55.5%47.3%
IV Rank20.0%6.3%32.8%6.3%16.0%
IV Percentile62.7%9.9%98.4%9.9%48.0%
Term Structure-0.7%-9.7%20.8%-9.7%3.9%
VWIV52.6%27.2%67.6%27.2%43.7%
Skew 25d12.4%-4.3%24.6%14.4%-2.6%
Skew 10d17.2%-0.8%51.0%3.5%1.8%
Call IV 25d43.4%24.4%60.6%24.4%41.7%
Put IV 25d55.8%38.8%71.0%38.8%39.1%
Bid-Ask Spread %87.6563.78126.56116.74102.03
Gamma HHI0.570.370.730.690.66
Net GEX-17.3K-31.5K14.0K12.9K-28.8K
Net DEX163.6K-1.1M907.3K-1.1M732.5K
Net VEX-4.9K-5.9K-3.5K-3.5K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.180.0057.631.500.00
Total Volume132.04508971000
Total OI2,883.3641,8493,4021,8492,726

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$15.89$12.5035.9%10.3%53.2%6.3%27.2%14.4%-9.7%12.9K-1.1M-3.5K1.50116.74N/AN/A40601,172677
2010-08-03$15.78$12.5041.5%11.9%53.1%11.0%0.0%6.2%-3.2%14.0K-1.1M-3.7K0.00126.56N/AN/A0501,202677
2010-08-04$15.69$12.5039.9%11.5%52.0%9.6%0.0%15.4%2.9%13.4K-1.0M-3.7K0.0083.75N/AN/A001,202727
2010-08-05$15.38$12.5043.8%12.6%51.5%12.8%0.0%9.6%9.7%13.3K-935.0K-3.8K0.0063.78N/AN/A08971,202727
2010-08-06$15.90$12.5044.3%16.1%51.8%13.3%55.5%23.0%-6.3%392-884.5K-4.5K5.9167.62N/AN/A1106501,2021,554
2010-08-09$15.93$15.0042.1%17.0%50.9%11.4%0.0%14.2%-6.8%-20.9K-571.4K-5.4K2.0092.97N/AN/A10201,1372,146
2010-08-10$15.42$15.0048.4%17.2%49.4%16.7%0.0%22.4%-7.4%-21.8K-292.0K-5.8K0.0082.51N/AN/A0101,1372,166
2010-08-11$14.35$15.0057.0%16.1%54.9%23.9%60.5%17.6%-0.7%-23.9K233.1K-5.9K0.4482.94N/AN/A160701,1372,171
2010-08-12$13.97$15.0058.5%16.8%54.4%25.1%0.0%24.6%-4.0%-20.5K421.9K-5.9K0.0084.25N/AN/A2001,1912,171
2010-08-13$13.51$15.0063.9%18.3%54.2%29.6%60.6%6.5%-8.3%-20.8K610.0K-5.6K0.0087.83N/AN/A0701,1812,171
2010-08-16$13.95$15.0059.5%17.0%54.3%25.9%64.9%15.0%-4.1%-23.5K540.9K-5.7K0.0088.82N/AN/A0221,1812,221
2010-08-17$14.10$15.0058.4%16.7%53.7%25.0%0.0%19.5%-3.8%-24.3K449.0K-5.6K0.0086.92N/AN/A1001,1812,199
2010-08-18$14.22$15.0057.2%16.4%53.0%24.0%0.0%22.3%-3.3%-24.2K405.7K-5.5K0.0086.81N/AN/A001,1892,199
2010-08-19$13.52$15.0063.4%18.2%47.4%29.2%0.0%4.8%0.9%-23.6K650.3K-5.2K0.0087.63N/AN/A001,1892,199
2010-08-20$13.52$15.0067.8%19.4%43.6%32.8%67.6%18.1%-3.7%-27.4K792.7K-5.1K2.3383.76N/AN/A30701,1892,199
2010-08-23$13.28$15.0064.4%18.5%42.8%30.0%39.9%1.8%-4.5%-28.8K771.7K-5.0K2.0090.69N/AN/A10209191,973
2010-08-24$13.18$15.0058.5%16.8%42.2%25.1%58.3%17.9%1.9%-30.6K907.3K-4.9K0.0089.34N/AN/A0979241,983
2010-08-25$13.48$15.0051.9%14.9%43.2%19.6%48.0%3.1%6.4%-31.5K851.6K-4.7K57.6383.69N/AN/A84619241,911
2010-08-26$13.15$15.0052.8%15.1%43.5%20.3%0.0%13.4%5.5%-27.1K765.0K-4.5K0.0070.42N/AN/A009161,810
2010-08-27$13.73$15.0046.7%13.4%46.0%15.3%43.7%10.9%20.8%-29.5K680.3K-4.4K0.0090.40N/AN/A1009161,810
2010-08-30$13.43$15.0048.8%14.0%45.9%17.0%0.0%-4.3%-0.8%-27.6K666.1K-4.4K0.0078.88N/AN/A009161,810
2010-08-31$13.46$15.0047.5%13.6%46.0%16.0%0.0%-2.6%3.9%-28.8K732.5K-4.2K0.00102.03N/AN/A009161,810