VICR Options History — April 2011

In April 2011, VICR traded between $15.41 and $17.06. ATM implied volatility averaged 36.8%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 1.0% (HV 20d: 37.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.07.

Notable Days

  • 2011-04-15: Highest Volume — 479 contracts
  • 2011-04-21: Largest IV spike — 58.7% change
  • 2011-04-11: Highest IV Rank — 21.5%
  • 2011-04-14: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.33$15.41$17.06$16.43$16.71
Max Pain$15.25$15.00$17.50$15.00$15.00
ATM IV36.8%23.8%51.1%25.4%34.6%
Expected Move11.2%6.8%13.1%7.3%9.9%
HV 20d37.9%30.7%42.7%38.2%42.7%
HV 60d41.3%39.7%43.3%40.8%43.1%
IV Rank10.1%0.0%21.5%0.7%8.7%
IV Percentile20.0%0.0%80.6%0.8%8.3%
Term Structure0.2%-7.8%13.3%12.5%0.8%
VWIV46.0%39.7%51.4%51.4%49.6%
Skew 25d9.6%-5.0%20.3%3.3%-5.0%
Skew 10d13.9%-2.6%101.7%1.5%1.2%
Call IV 25d34.6%24.0%41.9%24.0%34.2%
Put IV 25d44.2%27.2%56.1%27.2%29.2%
Bid-Ask Spread %65.7951.7889.6489.6458.24
Gamma HHI0.460.330.830.460.35
Net GEX-17.5K-67.2K-2.8K-16.0K-2.8K
Net DEX-208.7K-862.7K230.8K-599.4K-93.8K
Net VEX-3.4K-4.6K-2.5K-2.7K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.0015.000.000.33
Total Volume76.950479250
Total OI2,374.41,4093,1613,0031,783

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$16.43$15.0025.4%7.3%38.2%0.7%0.0%3.3%12.5%-16.0K-599.4K-2.7K0.0089.64N/AN/A2501,2561,747
2011-04-04$16.44$15.0024.8%10.6%38.2%0.2%0.0%11.5%1.3%-14.7K-621.9K-2.7K0.0074.97N/AN/A001,2791,747
2011-04-05$17.06$15.0035.2%10.7%39.7%8.6%51.4%18.2%1.0%-12.9K-862.7K-2.8K4.7769.76N/AN/A221051,2791,747
2011-04-06$16.77$15.0030.1%10.9%40.3%4.5%0.0%9.8%0.0%-16.2K-786.0K-2.9K0.0067.22N/AN/A0101,2991,852
2011-04-07$16.81$15.0024.6%11.3%35.6%0.1%0.0%16.4%1.1%-14.6K-758.5K-2.6K0.0070.58N/AN/A001,2991,862
2011-04-08$16.43$15.0038.0%11.1%37.1%10.8%0.0%14.2%0.0%-20.0K-568.1K-3.2K0.2171.70N/AN/A210441,2991,862
2011-04-11$16.34$15.0051.1%10.8%36.6%21.5%0.0%11.5%-0.1%-29.4K-162.7K-3.2K0.0076.89N/AN/A101,1341,906
2011-04-12$15.57$15.0034.6%12.7%40.7%8.1%0.0%-0.2%0.5%-55.4K83.5K-3.0K0.0067.34N/AN/A0511,1331,906
2011-04-13$15.50$15.0036.4%13.0%37.4%9.5%0.0%-1.7%-2.1%-67.2K196.9K-3.1K0.0068.53N/AN/A01501,1011,952
2011-04-14$15.92$15.0045.7%13.1%37.5%17.0%0.0%7.8%-3.4%-29.4K-55.2K-2.6K0.0071.10N/AN/A001,1011,857
2011-04-15$16.12$15.0045.1%12.9%30.7%16.6%41.0%10.3%-4.3%-18.4K-164.3K-2.5K0.4568.76N/AN/A3311481,1011,857
2011-04-18$15.66$17.5044.7%12.8%32.3%16.3%0.0%1.1%-3.8%-8.9K182.2K-4.0K15.0056.25N/AN/A230556853
2011-04-19$15.41$17.5039.6%11.4%32.8%12.1%39.7%11.3%1.4%-10.1K230.8K-3.8K0.0064.42N/AN/A500558851
2011-04-20$16.35$15.0023.8%6.8%38.9%0.0%0.0%20.3%13.3%-6.9K7.0K-4.0K0.0062.81N/AN/A010596851
2011-04-21$16.51$15.0037.8%10.8%38.0%11.2%49.5%11.3%-2.5%-6.0K-18.4K-4.0K0.0054.62N/AN/A060596861
2011-04-25$16.58$15.0044.7%12.8%37.9%16.7%44.8%13.6%-7.8%-7.2K-25.9K-4.2K0.0063.36N/AN/A500596921
2011-04-26$16.96$15.0044.9%12.9%38.3%16.9%49.6%18.4%-6.7%-3.2K-139.2K-4.2K0.0053.01N/AN/A200646921
2011-04-27$16.25$15.0042.4%12.1%41.3%14.9%0.0%10.3%0.2%-6.5K36.0K-4.0K2.0051.78N/AN/A60120659921
2011-04-28$16.82$15.0032.8%9.4%42.7%7.2%0.0%10.0%1.6%-4.7K-53.5K-4.5K0.3354.76N/AN/A30107161,027
2011-04-29$16.71$15.0034.6%9.9%42.7%8.7%0.0%-5.0%0.8%-2.8K-93.8K-4.6K0.0058.24N/AN/A007461,037