VICR Options History — May 2011

In May 2011, VICR traded between $15.66 and $16.61. ATM implied volatility averaged 36.8%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 2.4% (HV 20d: 39.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2011-05-02: Highest Volume — 200 contracts
  • 2011-05-09: Largest IV drop — 52.7% change
  • 2011-05-06: Highest IV Rank — 19.6%
  • 2011-05-05: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.14$15.66$16.61$16.01$16.56
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV36.8%22.9%48.3%43.6%26.0%
Expected Move10.8%7.4%12.6%12.5%7.4%
HV 20d39.2%27.9%45.4%45.4%27.9%
HV 60d41.6%36.8%45.1%43.8%37.3%
IV Rank10.9%0.0%19.6%15.9%2.5%
IV Percentile18.7%0.0%66.7%32.1%2.8%
Term Structure2.7%-3.8%12.5%-3.8%10.0%
VWIV42.1%39.8%44.0%44.0%41.3%
Skew 25d9.3%1.1%16.3%13.6%6.4%
Skew 10d10.9%-2.1%22.7%15.0%-2.1%
Call IV 25d30.8%22.5%36.9%30.0%22.5%
Put IV 25d40.1%28.9%44.9%43.6%28.9%
Bid-Ask Spread %56.0634.2063.7956.3161.44
Gamma HHI0.420.330.510.380.38
Net GEX-12.7K-25.1K-2.7K-10.2K-2.7K
Net DEX124.0K-29.1K321.3K165.5K26.7K
Net VEX-3.9K-4.6K-2.9K-4.3K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.004.000.002.00
Total Volume17.762020020030
Total OI1,881.0481,5072,1031,7831,517

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$16.01$15.0043.6%12.5%45.4%15.9%44.0%13.6%-3.8%-10.2K165.5K-4.3K0.0056.31N/AN/A02007461,037
2011-05-03$15.96$15.0043.6%12.5%45.4%15.9%0.0%13.1%-3.4%-20.0K258.6K-4.6K0.0058.47N/AN/A007461,237
2011-05-04$15.82$15.0042.2%12.1%43.1%14.7%42.1%13.4%-1.6%-20.4K261.3K-4.5K0.0057.73N/AN/A1007461,237
2011-05-05$15.71$15.0044.0%12.6%42.8%16.2%0.0%15.1%-2.5%-22.0K321.3K-4.4K0.0034.20N/AN/A007561,237
2011-05-06$15.69$15.0048.3%11.5%42.8%19.6%0.0%1.1%1.9%-21.2K294.5K-4.4K4.0061.22N/AN/A10407561,237
2011-05-09$16.30$15.0022.9%9.8%44.5%0.0%0.0%8.3%4.0%-25.1K93.2K-4.2K0.0061.29N/AN/A007661,277
2011-05-10$16.61$15.0029.7%10.1%45.0%5.5%39.8%6.8%4.2%-10.6K-29.1K-4.2K0.0062.80N/AN/A0107661,277
2011-05-11$16.26$15.0028.9%10.2%42.0%4.8%0.0%4.2%3.4%-14.4K52.2K-4.1K0.0063.79N/AN/A1007661,287
2011-05-12$16.58$15.0034.4%9.9%42.4%9.2%43.3%10.8%4.2%-12.1K2.6K-4.3K0.0062.00N/AN/A0407761,287
2011-05-13$16.32$15.0035.0%10.0%42.0%9.7%0.0%4.2%2.3%-13.4K60.7K-4.1K0.0062.59N/AN/A007761,327
2011-05-16$16.07$15.0041.6%11.9%42.1%14.9%0.0%6.4%0.7%-19.8K124.9K-4.0K0.0054.11N/AN/A207761,327
2011-05-17$16.06$15.0041.5%11.9%40.8%14.9%0.0%6.0%1.6%-19.1K112.3K-3.9K0.0054.19N/AN/A007761,327
2011-05-18$16.49$15.0033.2%9.5%41.1%8.2%0.0%9.3%3.4%-10.5K16.8K-3.8K0.0056.26N/AN/A007761,327
2011-05-19$16.41$15.0032.4%9.3%35.5%7.6%41.3%8.2%4.8%-8.7K23.2K-3.7K0.0052.94N/AN/A017591,291
2011-05-20$16.25$15.0039.1%11.2%35.5%12.9%0.0%5.3%3.8%-5.3K41.7K-3.6K0.0057.01N/AN/A007591,292
2011-05-23$15.96$15.0039.3%11.3%35.9%13.1%0.0%6.9%4.2%-6.7K176.9K-3.2K0.0047.79N/AN/A00645862
2011-05-24$15.66$15.0035.9%10.3%35.2%10.4%0.0%12.1%4.7%-7.4K225.6K-3.2K0.0045.29N/AN/A00645862
2011-05-25$15.94$15.0040.4%11.6%32.8%14.0%0.0%16.3%1.4%-7.6K169.8K-3.2K0.0053.77N/AN/A00645862
2011-05-26$16.09$15.0039.1%11.2%30.4%12.9%0.0%16.0%1.3%-5.3K99.3K-3.3K0.0055.56N/AN/A00645862
2011-05-27$16.11$15.0031.3%9.0%30.3%6.8%0.0%12.3%12.5%-4.5K105.8K-3.2K0.0058.44N/AN/A020645862
2011-05-31$16.56$15.0026.0%7.4%27.9%2.5%0.0%6.4%10.0%-2.7K26.7K-2.9K2.0061.44N/AN/A1020645872