VICR Options History — March 2011

In March 2011, VICR traded between $14.10 and $16.49. ATM implied volatility averaged 41.2%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 6.8% (HV 20d: 48.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.81.

Notable Days

  • 2011-03-01: Highest Volume — 171 contracts
  • 2011-03-21: Largest IV drop — 18.8% change
  • 2011-03-17: Highest IV Rank — 20.8%
  • 2011-03-17: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.29$14.10$16.49$15.07$16.49
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV41.2%29.5%50.3%41.9%30.8%
Expected Move11.9%8.5%14.4%12.0%8.8%
HV 20d48.0%37.6%58.2%51.1%38.9%
HV 60d38.9%36.3%41.4%36.5%40.9%
IV Rank13.4%4.0%20.8%14.0%5.0%
IV Percentile33.1%1.6%76.6%29.0%4.0%
Term Structure3.5%-2.4%18.1%3.3%10.9%
VWIV41.5%36.5%49.3%40.0%37.6%
Skew 25d5.0%-8.3%27.2%5.4%6.9%
Skew 10d7.7%-13.3%47.1%7.6%-2.5%
Call IV 25d35.2%23.9%49.7%34.7%24.3%
Put IV 25d40.2%24.2%60.0%40.2%31.3%
Bid-Ask Spread %86.0765.5496.9565.7189.49
Gamma HHI0.490.270.920.270.47
Net GEX-116-28.9K160.2K3.2K-19.6K
Net DEX400.3K-493.3K1.3M463.5K-493.3K
Net VEX-5.1K-6.4K-3.4K-6.1K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.0016.292.720.00
Total Volume30.174017117115
Total OI3,455.5222,9113,8943,6233,003

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$15.07$15.0041.9%12.0%51.1%14.0%40.0%5.4%3.3%3.2K463.5K-6.1K2.7265.71N/AN/A461251,8181,805
2011-03-02$14.98$15.0045.5%13.0%49.1%16.9%0.0%-8.3%-1.0%339640.3K-6.4K0.0067.88N/AN/A0101,8241,930
2011-03-03$15.03$15.0044.8%12.8%48.8%16.4%44.0%6.2%-1.7%684598.9K-6.3K16.2965.54N/AN/A71141,8241,920
2011-03-04$15.42$15.0041.8%12.8%49.0%14.0%0.0%-2.4%-0.2%5.9K336.1K-6.2K0.6790.12N/AN/A15101,8311,886
2011-03-07$15.43$15.0046.4%12.9%49.0%17.6%0.0%-0.5%-0.6%3.8K219.4K-6.2K0.0088.46N/AN/A0101,8461,940
2011-03-08$15.28$15.0044.5%12.9%48.9%16.1%0.0%-3.9%0.8%5.5K309.2K-6.1K0.0088.27N/AN/A001,8461,930
2011-03-09$15.20$15.0040.6%13.1%48.7%12.9%0.0%-3.4%-2.4%7.8K454.5K-6.0K0.0089.98N/AN/A001,8461,930
2011-03-10$14.52$15.0046.4%13.3%50.9%17.6%0.0%-0.0%-1.9%3.8K869.0K-5.5K1.4095.05N/AN/A10141,8461,930
2011-03-11$14.74$15.0043.3%12.4%51.4%15.1%36.5%16.5%1.6%9.0K811.9K-5.6K0.8992.59N/AN/A19171,8501,940
2011-03-14$15.10$15.0046.3%13.3%52.4%17.5%0.0%10.7%-0.2%8.6K575.3K-5.5K0.5094.92N/AN/A20101,8351,957
2011-03-15$14.93$15.0048.1%13.8%52.4%19.0%0.0%5.1%1.4%13.8K669.1K-5.4K0.0095.75N/AN/A001,8351,957
2011-03-16$14.32$15.0049.3%14.1%53.9%20.0%49.3%-3.7%-1.3%2.1K1.1M-4.9K0.0096.95N/AN/A0651,8351,944
2011-03-17$14.10$15.0050.3%14.4%53.9%20.8%0.0%6.3%-0.9%-7.6K1.3M-4.8K0.0092.83N/AN/A001,8352,059
2011-03-18$15.04$15.0048.0%13.8%58.2%18.9%48.0%4.7%-1.4%160.2K653.7K-5.1K0.4484.48N/AN/A41181,8352,009
2011-03-21$15.30$15.0038.9%11.2%57.9%11.6%37.8%27.2%5.7%-27.9K548.1K-4.8K0.0085.19N/AN/A1601,1781,733
2011-03-22$15.38$15.0039.0%11.2%57.8%11.7%38.9%7.3%5.8%-25.7K408.2K-4.8K0.0086.15N/AN/A5601,1901,733
2011-03-23$15.36$15.0038.4%11.0%37.6%11.1%0.0%7.8%6.6%-24.4K317.5K-4.7K0.0085.39N/AN/A031,2251,733
2011-03-24$15.78$15.0037.9%10.9%38.6%10.7%37.6%11.2%6.5%-23.8K67.2K-4.5K0.0985.73N/AN/A1111,2251,736
2011-03-25$15.94$15.0035.3%10.1%38.7%8.6%0.0%10.0%10.4%-23.5K-107.2K-4.2K0.0089.67N/AN/A1001,2261,736
2011-03-28$15.79$15.0029.6%8.5%38.7%4.1%0.0%4.8%7.0%-24.6K9.1K-4.1K0.0088.67N/AN/A001,2361,736
2011-03-29$16.05$15.0031.1%8.9%38.7%5.3%0.0%6.8%18.1%-28.9K-212.4K-3.6K0.0083.45N/AN/A001,2361,736
2011-03-30$16.31$15.0029.5%8.5%38.8%4.0%0.0%0.3%14.9%-21.3K-373.5K-3.6K0.5577.27N/AN/A20111,2361,736
2011-03-31$16.49$15.0030.8%8.8%38.9%5.0%0.0%6.9%10.9%-19.6K-493.3K-3.4K0.0089.49N/AN/A1501,2561,747