VICR Options History — December 2010

In December 2010, VICR traded between $16.17 and $17.53. ATM implied volatility averaged 41.4%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 10.3% (HV 20d: 31.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2010-12-21: Highest Volume — 347 contracts
  • 2010-12-31: Largest IV drop — 50.6% change
  • 2010-12-30: Highest IV Rank — 18.9%
  • 2010-12-06: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.87$16.17$17.53$16.92$16.40
Max Pain$16.48$15.00$17.50$17.50$17.50
ATM IV41.4%25.2%51.1%46.0%25.2%
Expected Move12.4%7.2%14.8%13.2%7.2%
HV 20d31.1%19.4%45.1%45.1%19.5%
HV 60d46.0%44.8%46.8%46.7%44.8%
IV Rank11.0%0.0%18.9%14.7%0.0%
IV Percentile33.4%0.0%77.8%50.4%0.0%
Term Structure6.1%-11.5%25.1%5.0%15.2%
VWIV46.4%36.3%51.5%46.0%36.3%
Skew 25d8.5%-4.7%19.5%-4.7%18.9%
Skew 10d9.2%-1.1%20.6%-0.7%15.5%
Call IV 25d39.6%28.5%47.2%42.2%28.5%
Put IV 25d48.1%37.5%55.6%37.5%47.4%
Bid-Ask Spread %87.6872.99101.5992.55101.59
Gamma HHI0.410.340.520.350.35
Net GEX-560-15.6K15.6K2.4K-13.4K
Net DEX-229.5K-597.8K218.0K-303.7K120.3K
Net VEX-5.4K-6.2K-4.9K-5.4K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.0011.900.001.50
Total Volume65.0450347100
Total OI2,403.52,0032,7472,1922,747

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$16.92$17.5046.0%13.2%45.1%14.7%46.0%-4.7%5.0%2.4K-303.7K-5.4K0.0092.55N/AN/A1001,1051,087
2010-12-02$17.14$17.5046.3%13.3%43.4%14.9%46.3%-0.4%5.5%2.9K-343.0K-5.4K0.0094.22N/AN/A5901,1051,087
2010-12-03$17.43$17.5043.8%12.6%43.6%12.8%0.0%1.7%6.1%4.2K-435.7K-5.3K0.0092.34N/AN/A301,1131,087
2010-12-06$17.29$15.0048.3%14.8%42.6%16.6%0.0%7.9%3.6%4.3K-454.4K-5.1K0.0077.53N/AN/A001,1161,087
2010-12-07$17.25$15.0046.0%13.9%42.6%14.7%48.5%8.1%3.7%5.0K-420.8K-5.0K1.0072.99N/AN/A10101,1161,087
2010-12-08$17.53$15.0045.3%14.3%37.8%14.1%0.0%7.8%4.8%5.8K-547.4K-4.9K0.0078.60N/AN/A15401,1161,083
2010-12-09$17.35$15.0043.2%14.0%34.6%12.4%0.0%7.3%8.5%9.1K-597.8K-5.3K0.5081.21N/AN/A20101,2471,083
2010-12-10$16.96$15.0046.3%14.2%34.4%14.9%47.7%5.3%4.4%7.8K-384.3K-5.4K0.0079.12N/AN/A801,2671,093
2010-12-13$17.02$15.0040.8%13.9%33.0%10.4%0.0%10.4%5.7%10.3K-396.9K-5.2K0.0082.30N/AN/A1001,2751,093
2010-12-14$16.99$15.0038.6%14.4%32.8%8.5%0.0%7.8%4.8%11.6K-355.5K-5.2K0.0084.19N/AN/A001,2851,093
2010-12-15$16.88$15.0048.2%13.8%30.6%16.5%0.0%13.3%4.6%10.5K-269.8K-5.1K0.0081.56N/AN/A001,2851,093
2010-12-16$17.18$15.0046.1%13.2%31.0%14.7%47.3%19.5%6.9%15.6K-361.0K-5.1K2.4484.34N/AN/A39951,2851,093
2010-12-17$16.84$17.5045.7%13.1%27.6%14.4%47.2%16.5%6.9%1.1K-128.2K-5.1K3.5081.92N/AN/A10351,2931,139
2010-12-20$16.85$17.5038.8%11.1%27.6%8.7%51.5%13.0%2.0%-1.3K-386.3K-4.9K3.2388.81N/AN/A652101,046957
2010-12-21$16.89$17.5040.5%11.6%27.6%10.1%0.0%11.3%4.1%-6.3K-229.3K-5.5K0.0087.86N/AN/A03471,1111,167
2010-12-22$16.69$17.5030.5%8.8%27.8%1.8%0.0%7.0%6.1%-15.6K-30.9K-6.0K0.5289.60N/AN/A86451,1111,484
2010-12-23$16.44$17.5030.2%8.7%22.9%1.5%0.0%8.8%8.7%-13.8K-5.5K-6.2K11.9097.72N/AN/A101191,1871,484
2010-12-27$16.51$17.5030.8%8.8%20.2%2.0%0.0%10.7%6.6%-14.9K-5.3K-6.0K0.0095.37N/AN/A1001,1971,486
2010-12-28$16.20$17.5043.0%12.3%21.1%12.1%36.3%8.8%7.8%-13.0K164.3K-5.8K0.0093.01N/AN/A1601,2071,486
2010-12-29$16.22$17.5036.2%10.4%19.7%6.5%0.0%6.2%25.1%-13.2K104.8K-5.9K0.0097.39N/AN/A001,2111,486
2010-12-30$16.17$17.5051.1%14.6%19.4%18.9%0.0%0.8%-11.5%-11.4K218.0K-5.8K1.5094.73N/AN/A20301,2111,486
2010-12-31$16.40$17.5025.2%7.2%19.5%0.0%0.0%18.9%15.2%-13.4K120.3K-5.9K0.00101.59N/AN/A001,2311,516