VICR Options History — October 2010

In October 2010, VICR traded between $14.79 and $19.06. ATM implied volatility averaged 46.8%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 8.6% (HV 20d: 38.1%). Max pain ranged from $15.00 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 7.33.

Notable Days

  • 2010-10-04: Highest Volume — 492 contracts
  • 2010-10-08: Largest IV spike — 20.1% change
  • 2010-10-15: Highest IV Rank — 21.7%
  • 2010-10-13: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.42$14.79$19.06$14.79$17.87
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV46.8%36.4%54.4%46.2%44.2%
Expected Move14.1%10.4%16.0%13.2%12.7%
HV 20d38.1%28.1%59.7%33.0%59.7%
HV 60d43.6%37.4%49.0%45.6%49.0%
IV Rank15.3%6.7%21.7%14.8%13.2%
IV Percentile52.4%11.9%86.1%47.6%41.3%
Term Structure1.4%-4.7%9.0%3.4%4.8%
VWIV43.7%36.8%49.0%49.0%40.5%
Skew 25d7.2%-5.0%19.5%-3.2%-0.3%
Skew 10d15.8%-5.1%36.0%-5.1%-2.2%
Call IV 25d44.3%34.2%49.3%47.3%46.7%
Put IV 25d51.6%33.7%60.2%44.1%46.5%
Bid-Ask Spread %88.8761.05105.32105.3296.10
Gamma HHI0.670.370.890.660.37
Net GEX10.5K3.2K20.8K10.0K9.1K
Net DEX-670.5K-1.1M-263.3K-263.4K-771.5K
Net VEX-4.5K-5.5K-2.6K-2.6K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.330.00100.000.84100.00
Total Volume84.4760492118101
Total OI1,876.8571,3242,4381,6781,846

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$14.79$15.0046.2%13.2%33.0%14.8%0.0%-3.2%3.4%10.0K-263.4K-2.6K0.84105.32N/AN/A6454873805
2010-10-04$15.00$15.0045.9%14.5%32.0%14.6%0.0%19.5%0.6%13.0K-382.7K-2.8K1.0096.58N/AN/A246246927849
2010-10-05$15.45$15.0047.2%14.9%30.5%15.7%0.0%8.4%-0.5%16.2K-600.2K-4.9K0.0074.72N/AN/A0151,1731,095
2010-10-06$15.25$15.0046.9%14.8%30.9%15.4%49.0%7.6%0.7%13.9K-548.3K-4.7K0.0061.05N/AN/A4501,1531,095
2010-10-07$15.31$15.0040.8%14.9%30.7%10.4%0.0%7.7%0.9%17.6K-625.8K-4.7K0.0075.76N/AN/A1001,1981,095
2010-10-08$15.29$15.0049.0%15.4%29.6%17.2%0.0%9.2%-2.6%15.8K-602.9K-4.7K0.0067.15N/AN/A001,1881,095
2010-10-11$15.38$15.0043.5%15.1%29.2%12.6%0.0%11.7%-2.8%16.9K-642.3K-4.5K1.6779.14N/AN/A30501,1881,090
2010-10-12$15.39$15.0045.6%15.5%28.4%14.3%0.0%-3.4%9.0%20.8K-710.5K-4.6K2.0092.70N/AN/A10201,2181,130
2010-10-13$16.00$15.0050.2%16.0%30.9%18.1%0.0%7.0%-4.7%10.8K-955.4K-4.6K0.0087.53N/AN/A1001,2281,150
2010-10-14$16.09$15.0051.5%14.8%30.2%19.3%46.9%13.5%1.5%10.1K-1.0M-4.5K1.4379.90N/AN/A42601,2281,150
2010-10-15$15.99$15.0054.4%15.6%30.4%21.7%0.0%14.1%-3.5%10.0K-953.3K-4.6K0.0083.05N/AN/A2001,2281,210
2010-10-18$16.10$15.0053.9%15.5%29.0%21.3%0.0%14.1%-2.5%4.7K-364.0K-4.6K0.0094.45N/AN/A00739585
2010-10-19$15.69$15.0053.2%15.2%30.9%20.6%0.0%17.2%-0.6%3.8K-263.3K-4.5K0.0093.60N/AN/A05739585
2010-10-20$15.90$15.0052.8%15.1%30.7%20.3%0.0%12.2%0.5%4.3K-383.0K-4.4K0.0091.35N/AN/A00739585
2010-10-21$16.08$15.0052.3%15.0%28.1%20.0%0.0%16.4%-0.4%4.4K-344.0K-4.6K0.00101.00N/AN/A100739585
2010-10-22$18.72$15.0044.3%12.7%57.3%13.2%45.3%2.5%1.6%3.7K-824.9K-4.2K0.9895.49N/AN/A4342749585
2010-10-25$19.06$15.0036.4%10.4%55.9%6.7%36.8%-3.1%6.7%3.2K-950.7K-4.1K0.4295.56N/AN/A23699771607
2010-10-26$18.90$15.0038.8%11.1%56.5%8.7%0.0%-5.0%4.2%11.9K-1.1M-4.7K1.73101.33N/AN/A3052992681
2010-10-27$18.37$15.0041.3%11.8%58.3%10.7%40.5%-3.3%9.0%10.2K-921.6K-5.0K1.57100.59N/AN/A651021,012713
2010-10-28$18.24$15.0043.3%12.4%58.7%12.4%0.0%8.5%4.7%11.3K-844.6K-5.5K5.7093.81N/AN/A10571,053743
2010-10-29$17.87$15.0044.2%12.7%59.7%13.2%0.0%-0.3%4.8%9.1K-771.5K-5.2K100.0096.10N/AN/A11001,053793