VICR Options History — January 2011

In January 2011, VICR traded between $14.56 and $16.57. ATM implied volatility averaged 45.9%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 17.3% (HV 20d: 28.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.70.

Notable Days

  • 2011-01-06: Highest Volume — 707 contracts
  • 2011-01-06: Largest IV spike — 85.5% change
  • 2011-01-21: Highest IV Rank — 21.5%
  • 2011-01-21: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.29$14.56$16.57$16.57$14.73
Max Pain$17.00$15.00$17.50$17.50$15.00
ATM IV45.9%24.6%51.2%30.1%44.1%
Expected Move13.3%7.0%14.7%8.6%12.6%
HV 20d28.6%18.8%33.3%18.8%33.1%
HV 60d40.5%33.0%46.5%44.9%33.0%
IV Rank17.2%0.0%21.5%4.0%15.8%
IV Percentile55.7%0.0%80.6%1.2%38.9%
Term Structure3.3%0.2%16.2%5.3%4.9%
VWIV44.0%24.6%50.9%26.7%46.9%
Skew 25d2.9%-11.8%19.1%10.9%0.7%
Skew 10d5.5%-16.7%53.5%11.8%2.1%
Call IV 25d42.9%27.6%52.2%35.2%40.6%
Put IV 25d45.8%39.4%66.4%46.0%41.2%
Bid-Ask Spread %88.4279.09104.5892.9194.50
Gamma HHI0.440.280.610.360.48
Net GEX-4.7K-16.0K10.8K-16.0K-8.8K
Net DEX439.9K-74.1K849.1K-74.1K589.0K
Net VEX-6.6K-7.2K-5.4K-5.8K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.0014.370.220.00
Total Volume130.807072040
Total OI3,316.852,7473,8092,7473,240

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$16.57$17.5030.1%8.6%18.8%4.0%26.7%10.9%5.3%-16.0K-74.1K-5.8K0.2292.91N/AN/A167371,2311,516
2011-01-04$16.02$17.5048.9%14.0%21.8%19.2%24.6%6.0%0.3%-10.4K253.1K-5.7K0.6191.41N/AN/A36221,3191,553
2011-01-05$16.28$17.5024.6%7.0%22.9%0.0%0.0%19.1%16.2%-9.9K195.1K-5.8K0.00104.58N/AN/A001,3501,553
2011-01-06$15.63$17.5045.6%13.1%25.4%16.9%39.8%16.7%6.0%-5.9K519.4K-5.4K14.3794.72N/AN/A466611,3501,553
2011-01-07$15.07$17.5046.1%14.1%27.6%17.4%49.1%5.6%1.0%-7.8K849.1K-5.8K0.5680.24N/AN/A3752101,3771,743
2011-01-10$15.46$17.5050.1%14.5%29.3%20.6%50.7%16.5%3.0%-7.1K502.2K-7.0K1.6081.05N/AN/A10161,6441,894
2011-01-11$15.53$17.5041.8%13.7%29.3%13.9%47.9%0.0%3.3%-4.6K419.6K-6.9K0.0083.12N/AN/A10001,6541,894
2011-01-12$15.51$17.5045.6%13.5%29.3%17.0%0.0%-2.6%5.4%-5.1K409.9K-6.9K0.0079.09N/AN/A0181,6461,894
2011-01-13$15.37$17.5048.0%13.7%29.3%18.9%0.0%-3.6%3.1%-3.2K522.4K-6.8K0.0083.74N/AN/A20001,6461,907
2011-01-14$15.15$17.5048.2%13.8%28.3%19.1%0.0%6.8%4.0%2.9K480.9K-7.2K0.0080.93N/AN/A01001,8461,907
2011-01-18$15.37$17.5051.1%14.6%28.7%21.4%0.0%0.5%1.9%5.6K321.0K-7.2K0.0085.18N/AN/A0101,8461,917
2011-01-19$15.26$17.5049.3%14.1%28.7%20.0%48.9%-3.1%2.7%9.4K265.8K-7.2K5.0085.73N/AN/A5251,8461,927
2011-01-20$14.78$17.5051.2%14.7%30.1%21.5%50.9%-10.1%0.6%10.8K679.1K-6.9K0.0086.88N/AN/A16401,8511,952
2011-01-21$14.61$17.5051.2%14.7%30.0%21.5%0.0%-11.8%1.4%5.5K819.3K-6.7K0.0086.41N/AN/A1001,8571,952
2011-01-24$14.69$17.5051.0%14.6%30.2%21.3%50.4%-8.6%0.2%-10.3K430.0K-6.5K1.2586.19N/AN/A56701,3861,558
2011-01-25$14.98$17.5047.9%13.7%31.3%18.8%47.9%3.5%2.1%-12.2K459.5K-6.6K0.0092.78N/AN/A6401,4131,618
2011-01-26$15.24$15.0048.2%13.8%31.8%19.1%0.0%8.5%1.3%-9.4K272.4K-6.7K0.1692.81N/AN/A139221,4771,618
2011-01-27$15.00$15.0047.4%13.6%32.0%18.5%0.0%4.9%2.1%-8.3K333.2K-6.9K0.0092.17N/AN/A0281,5471,640
2011-01-28$14.56$15.0046.9%13.5%33.3%18.1%46.9%-1.6%1.2%-8.5K551.2K-6.7K0.0093.97N/AN/A2501,5471,668
2011-01-31$14.73$15.0044.1%12.6%33.1%15.8%0.0%0.7%4.9%-8.8K589.0K-6.4K0.0094.50N/AN/A001,5721,668