VICR Options History — September 2010

In September 2010, VICR traded between $13.79 and $14.61. ATM implied volatility averaged 43.4%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 1.9% (HV 20d: 41.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.97.

Notable Days

  • 2010-09-02: Highest Volume — 283 contracts
  • 2010-09-09: Largest IV spike — 65.6% change
  • 2010-09-10: Highest IV Rank — 19.4%
  • 2010-09-10: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.17$13.79$14.61$14.18$14.61
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV43.4%30.9%51.6%36.9%41.2%
Expected Move13.0%10.6%14.8%10.6%11.8%
HV 20d41.5%32.9%51.0%50.7%32.9%
HV 60d47.6%45.8%48.4%48.4%46.3%
IV Rank12.5%2.1%19.4%7.1%10.7%
IV Percentile36.2%1.2%67.1%11.9%27.0%
Term Structure7.4%0.1%25.1%25.1%9.0%
VWIV48.4%44.6%50.9%48.9%47.1%
Skew 25d3.9%-15.3%17.8%13.2%-1.8%
Skew 10d11.0%-8.1%37.0%4.9%-6.7%
Call IV 25d43.6%32.4%52.9%32.4%46.5%
Put IV 25d47.5%33.3%62.5%45.6%44.7%
Bid-Ask Spread %97.8051.28110.04103.15105.17
Gamma HHI0.590.470.870.510.62
Net GEX-5.9K-27.8K8.3K-27.8K8.3K
Net DEX114.7K-126.3K441.8K441.8K-126.3K
Net VEX-3.1K-4.4K-2.2K-4.4K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.970.0024.7324.730.00
Total Volume33.19028310075
Total OI2,161.0481,6012,7262,7261,618

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$14.18$15.0036.9%10.6%50.7%7.1%48.9%13.2%25.1%-27.8K441.8K-4.4K0.00103.15N/AN/A01009161,810
2010-09-02$14.14$15.0041.8%12.0%50.4%11.2%50.4%3.9%17.4%-24.8K376.9K-4.3K24.73101.38N/AN/A112729161,754
2010-09-03$14.54$15.0031.1%14.3%49.9%2.3%50.9%11.8%0.1%-5.1K-18.6K-3.7K0.5594.87N/AN/A40229191,557
2010-09-07$14.05$15.0043.0%13.7%51.0%12.2%0.0%17.8%6.5%-17.0K161.0K-3.8K1.0084.10N/AN/A10109481,599
2010-09-08$14.24$15.0030.9%13.8%50.4%2.1%0.0%17.8%6.9%-12.8K126.0K-3.5K0.0091.69N/AN/A009381,599
2010-09-09$14.15$15.0051.2%14.7%43.6%19.0%0.0%13.5%1.8%-18.0K186.3K-3.7K0.0089.73N/AN/A1709381,599
2010-09-10$13.89$15.0051.6%14.8%43.1%19.4%0.0%10.8%1.8%-14.9K201.3K-3.5K0.0092.47N/AN/A009551,599
2010-09-13$14.15$15.0045.9%13.1%41.7%14.6%0.0%13.6%10.2%-11.9K172.1K-3.3K0.0097.05N/AN/A009551,599
2010-09-14$13.95$15.0048.8%14.0%40.5%17.0%0.0%10.2%5.1%-11.7K213.8K-3.2K0.0051.28N/AN/A009551,599
2010-09-15$14.06$15.0045.1%12.9%40.4%13.9%0.0%9.2%12.6%-10.6K242.1K-3.1K0.00102.38N/AN/A009551,599
2010-09-16$13.91$15.0049.4%14.2%40.5%17.5%0.0%-9.9%5.0%-9.0K226.5K-3.0K0.00108.05N/AN/A009551,599
2010-09-17$13.89$15.0042.5%12.2%36.0%11.8%48.4%8.6%17.5%1.5K262.9K-2.8K0.0096.59N/AN/A0809551,599
2010-09-20$14.34$15.0044.3%12.7%37.6%13.3%44.6%-9.0%6.2%2.8K2.5K-2.7K0.00107.55N/AN/A100821800
2010-09-21$14.27$15.0046.8%13.4%36.9%15.3%47.1%-5.4%7.0%4.3K-93.5K-2.8K0.43106.02N/AN/A2310828800
2010-09-22$14.18$15.0048.7%14.0%36.9%16.9%0.0%4.1%3.6%4.0K-16.1K-2.8K0.0097.03N/AN/A00841805
2010-09-23$13.79$15.0041.7%11.9%37.8%11.1%0.0%-15.3%4.2%2.5K98.0K-2.5K0.00105.81N/AN/A100796805
2010-09-24$14.43$15.0042.3%12.1%39.6%11.6%0.0%-4.5%6.3%3.6K-22.2K-2.5K0.00106.66N/AN/A00806805
2010-09-27$14.12$15.0040.8%11.7%37.9%10.4%0.0%7.8%4.4%4.5K-28.8K-2.5K0.0096.58N/AN/A00806805
2010-09-28$14.31$15.0040.4%11.6%37.0%10.0%0.0%-6.5%2.5%3.7K17.9K-2.3K0.00106.21N/AN/A70806805
2010-09-29$14.33$15.0047.0%13.5%37.0%15.5%0.0%-8.9%1.7%5.2K-15.9K-2.4K0.00110.04N/AN/A00813805
2010-09-30$14.61$15.0041.2%11.8%32.9%10.7%0.0%-1.8%9.0%8.3K-126.3K-2.2K0.00105.17N/AN/A750813805