VICR Options History — June 2011

In June 2011, VICR traded between $15.01 and $16.17. ATM implied volatility averaged 35.4%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 4.4% (HV 20d: 31.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2011-06-22: Highest Volume — 198 contracts
  • 2011-06-10: Largest IV spike — 27.1% change
  • 2011-06-10: Highest IV Rank — 16.4%
  • 2011-06-10: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.61$15.01$16.17$15.90$16.17
Max Pain$17.27$15.00$17.50$15.00$17.50
ATM IV35.4%25.4%43.5%32.6%26.9%
Expected Move10.4%7.3%12.5%9.3%7.7%
HV 20d31.0%27.9%34.7%31.7%31.0%
HV 60d36.0%33.9%38.4%38.3%35.3%
IV Rank10.0%2.0%16.4%7.8%3.2%
IV Percentile16.6%2.4%40.5%10.3%3.6%
Term Structure4.1%-8.7%17.2%-1.3%16.4%
VWIV34.9%27.1%39.9%34.0%27.1%
Skew 25d5.9%-4.4%14.8%-4.4%8.6%
Skew 10d7.1%-0.3%17.4%12.5%7.2%
Call IV 25d29.3%21.3%36.4%29.0%21.3%
Put IV 25d35.2%24.6%40.8%24.6%29.9%
Bid-Ask Spread %60.1033.3198.7751.6348.94
Gamma HHI0.430.310.620.370.31
Net GEX-10.3K-33.0K1.0K-7.6K623
Net DEX132.8K-259.4K314.0K170.7K-259.4K
Net VEX-3.2K-4.0K-2.7K-3.1K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.460.000.00
Total Volume31.5450198018
Total OI1,700.2271,5472,0001,5472,000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$15.90$15.0032.6%9.3%31.7%7.8%0.0%-4.4%-1.3%-7.6K170.7K-3.1K0.0051.63N/AN/A00655892
2011-06-02$15.72$15.0039.1%11.2%31.8%12.9%0.0%8.8%-0.8%-9.5K234.6K-3.0K0.0047.19N/AN/A015655892
2011-06-03$15.56$17.5036.8%11.0%31.9%11.1%34.0%0.7%-4.9%-12.4K276.3K-2.9K0.0091.90N/AN/A20655897
2011-06-06$15.54$17.5031.5%11.5%31.9%6.9%0.0%0.9%-5.0%-12.3K275.4K-2.8K0.0079.12N/AN/A00654897
2011-06-07$15.77$17.5036.0%11.1%29.1%10.5%0.0%2.0%1.0%-12.5K224.9K-2.8K0.0084.38N/AN/A100654897
2011-06-08$15.38$17.5034.2%11.3%29.2%9.0%0.0%8.7%-2.0%-14.2K279.0K-2.9K0.0083.72N/AN/A00664897
2011-06-09$15.64$17.5034.2%9.8%29.3%9.0%0.0%0.2%2.5%-14.1K258.7K-2.7K0.0057.07N/AN/A100664897
2011-06-10$15.60$17.5043.5%12.5%28.2%16.4%0.0%3.0%-8.7%-14.8K222.2K-2.9K0.0098.77N/AN/A500674897
2011-06-13$15.47$17.5035.6%10.2%27.9%10.2%0.0%6.2%3.9%-16.3K225.1K-2.8K0.0050.53N/AN/A100724897
2011-06-14$15.79$17.5037.4%10.7%28.6%11.6%36.5%9.5%3.3%-11.2K152.8K-2.8K0.0052.46N/AN/A300734897
2011-06-15$15.31$17.5037.7%10.8%30.5%11.8%0.0%6.8%2.1%-15.3K206.6K-2.9K1.0048.71N/AN/A5050764897
2011-06-16$15.35$17.5037.2%10.7%28.6%11.4%0.0%11.7%8.6%-15.0K232.6K-3.1K0.0051.89N/AN/A00794936
2011-06-17$15.01$17.5039.9%11.5%29.4%13.6%39.9%1.7%1.4%-33.0K314.0K-3.1K1.4644.81N/AN/A2638794936
2011-06-20$15.18$17.5039.4%11.3%29.8%13.2%0.0%3.7%-0.5%-6.8K251.7K-3.1K0.0049.68N/AN/A280740914
2011-06-21$15.85$17.5032.4%9.3%33.5%7.6%33.3%9.2%6.3%-5.8K48.3K-3.2K0.0065.47N/AN/A01768914
2011-06-22$15.57$17.5035.8%10.3%33.5%10.3%0.0%7.7%5.7%-6.5K86.5K-3.3K0.5854.63N/AN/A12573768914
2011-06-23$15.64$17.5038.3%11.0%32.8%12.3%38.4%9.1%6.7%-5.9K35.1K-3.7K0.0056.58N/AN/A010883983
2011-06-24$15.33$17.5037.5%10.8%33.3%11.7%27.1%7.1%6.8%-4.7K63.7K-3.7K0.0058.61N/AN/A50883973
2011-06-27$15.72$17.5034.6%9.9%34.7%9.3%0.0%14.8%15.6%-6.3K14.2K-3.6K0.0033.31N/AN/A1400884973
2011-06-28$16.06$17.5032.1%9.2%34.1%7.3%0.0%10.5%17.0%-4.3K-218.2K-3.9K0.0040.85N/AN/A001,024973
2011-06-29$15.93$17.5025.4%7.3%30.9%2.0%0.0%3.1%17.2%1.0K-173.5K-3.7K0.0071.98N/AN/A031,024973
2011-06-30$16.17$17.5026.9%7.7%31.0%3.2%0.0%8.6%16.4%623-259.4K-4.0K0.0048.94N/AN/A1801,024976