VICR Options History — November 2010

In November 2010, VICR traded between $16.34 and $18.89. ATM implied volatility averaged 46.0%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 12.3% (HV 20d: 58.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2010-11-01: Highest Volume — 257 contracts
  • 2010-11-05: Largest IV spike — 20.4% change
  • 2010-11-16: Highest IV Rank — 19.8%
  • 2010-11-16: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.47$16.34$18.89$17.53$16.78
Max Pain$17.02$15.00$17.50$15.00$17.50
ATM IV46.0%32.6%52.2%45.3%48.1%
Expected Move13.4%9.3%15.0%13.0%13.8%
HV 20d58.4%42.8%70.6%60.5%46.2%
HV 60d47.6%45.8%49.0%48.7%47.3%
IV Rank14.7%3.5%19.8%14.1%16.4%
IV Percentile52.6%2.8%82.1%46.4%61.1%
Term Structure4.5%-2.3%16.0%1.3%5.1%
VWIV45.4%39.6%50.5%40.5%47.2%
Skew 25d10.0%-8.2%30.8%-8.2%9.0%
Skew 10d17.3%-9.1%56.8%-5.9%27.2%
Call IV 25d42.7%34.2%51.3%47.9%44.4%
Put IV 25d52.6%39.7%65.0%39.7%53.5%
Bid-Ask Spread %91.2669.30114.28107.2487.28
Gamma HHI0.410.330.500.350.35
Net GEX4.5K2389.0K6.4K1.9K
Net DEX-471.9K-978.2K-165.0K-570.8K-218.4K
Net VEX-5.7K-6.1K-5.4K-5.9K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.001.670.240.00
Total Volume43.095025725730
Total OI2,105.1431,9302,1961,9462,196

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$17.53$15.0045.3%13.0%60.5%14.1%40.5%-8.2%1.3%6.4K-570.8K-5.9K0.24107.24N/AN/A207501,053893
2010-11-02$18.00$15.0045.4%13.0%60.4%14.2%0.0%30.8%4.7%5.0K-527.6K-5.9K1.36101.81N/AN/A5068996934
2010-11-03$18.62$15.0040.4%11.6%60.6%10.0%0.0%14.3%16.0%6.5K-786.5K-6.0K0.00107.50N/AN/A2301,0461,002
2010-11-04$18.89$15.0032.6%9.3%60.5%3.5%0.0%-2.6%10.7%7.7K-978.2K-5.4K0.00114.28N/AN/A001,0461,002
2010-11-05$18.36$17.5039.2%13.3%62.0%9.0%0.0%-2.6%6.3%6.0K-679.3K-5.8K0.0092.18N/AN/A2001,0461,002
2010-11-08$18.36$17.5046.0%13.6%62.1%14.7%49.5%3.2%5.1%7.0K-785.7K-5.8K0.0070.63N/AN/A1501,0661,002
2010-11-09$17.32$17.5050.4%14.0%66.5%18.3%50.5%2.6%3.2%5.9K-495.2K-5.8K1.5079.93N/AN/A22331,0801,002
2010-11-10$18.06$17.5042.3%14.2%66.7%11.6%39.6%18.6%4.2%5.9K-559.0K-6.1K0.0079.93N/AN/A1001,1021,035
2010-11-11$17.62$17.5048.6%13.9%67.6%16.9%0.0%7.0%4.1%6.0K-552.6K-6.0K0.0082.19N/AN/A001,1121,035
2010-11-12$17.12$17.5047.4%13.6%68.5%15.9%0.0%4.5%6.8%4.1K-343.9K-5.9K0.0086.23N/AN/A1201,1121,035
2010-11-15$16.94$17.5047.2%13.5%68.7%15.6%0.0%20.3%4.2%5.4K-351.5K-5.8K0.0086.43N/AN/A001,1221,035
2010-11-16$16.40$17.5052.2%15.0%69.1%19.8%0.0%17.3%0.1%3.5K-165.0K-5.7K1.6786.90N/AN/A6101,1221,035
2010-11-17$16.34$17.5050.2%14.4%69.0%18.1%0.0%8.0%-2.3%2.9K-180.3K-5.5K0.6592.04N/AN/A17111,1231,025
2010-11-18$17.09$17.5050.1%14.4%70.6%18.1%0.0%15.4%-0.1%7.3K-359.5K-5.7K0.00101.98N/AN/A7001,1331,025
2010-11-19$17.10$17.5050.8%14.6%43.5%18.7%0.0%2.8%1.6%9.0K-310.4K-5.6K0.0095.70N/AN/A3001,1561,025
2010-11-22$17.17$17.5048.8%14.0%42.8%17.0%50.4%19.2%0.8%238-350.4K-5.5K0.3489.27N/AN/A29101,0371,025
2010-11-23$17.06$17.5043.7%12.5%42.8%12.8%43.7%6.0%5.9%672-325.4K-5.6K1.28101.76N/AN/A25321,0511,035
2010-11-24$17.80$17.5045.5%13.1%45.0%14.3%42.2%9.3%7.1%293-584.2K-5.6K0.21101.29N/AN/A47101,0621,067
2010-11-26$17.21$17.5045.5%13.0%46.4%14.2%45.5%17.0%6.3%760-425.0K-5.5K0.0069.30N/AN/A4301,0721,077
2010-11-29$17.17$17.5047.2%13.5%46.0%15.7%47.2%17.9%4.6%3.0K-361.0K-5.5K0.6782.55N/AN/A15101,1071,077
2010-11-30$16.78$17.5048.1%13.8%46.2%16.4%0.0%9.0%5.1%1.9K-218.4K-5.5K0.0087.28N/AN/A3001,1091,087