VICR Options History — July 2011

In July 2011, VICR traded between $14.07 and $16.57. ATM implied volatility averaged 39.7%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 8.0% (HV 20d: 31.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2011-07-20: Highest Volume — 320 contracts
  • 2011-07-14: Largest IV spike — 34.2% change
  • 2011-07-29: Highest IV Rank — 26.8%
  • 2011-07-26: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.45$14.07$16.57$16.56$14.07
Max Pain$15.13$15.00$17.50$17.50$15.00
ATM IV39.7%27.3%47.9%29.5%44.3%
Expected Move12.3%8.5%13.7%8.5%12.7%
HV 20d31.7%28.6%34.7%31.7%29.2%
HV 60d33.3%30.7%35.5%35.5%30.7%
IV Rank13.9%3.5%26.8%5.3%26.8%
IV Percentile40.5%4.0%77.4%4.8%52.0%
Term Structure0.8%-4.0%18.5%18.5%0.6%
VWIV43.8%36.4%47.9%44.6%43.3%
Skew 25d4.7%-5.0%10.8%10.8%8.7%
Skew 10d12.9%-5.0%85.8%-2.1%14.9%
Call IV 25d36.5%20.3%44.3%20.3%43.4%
Put IV 25d41.1%31.0%55.1%31.0%52.2%
Bid-Ask Spread %44.2422.8797.1467.6597.14
Gamma HHI0.450.290.630.290.44
Net GEX14.2K-17.1K32.9K1.5K23.8K
Net DEX-370.0K-734.3K-66.4K-451.3K-75.9K
Net VEX-3.9K-4.8K-3.2K-4.0K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.005.160.000.09
Total Volume61.9503202010
Total OI1,911.21,2382,3222,0182,322

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$16.56$17.5029.5%8.5%31.7%5.3%0.0%10.8%18.5%1.5K-451.3K-4.0K0.0067.65N/AN/A2001,042976
2011-07-05$16.39$15.0029.2%11.1%32.0%5.0%0.0%6.9%-0.0%5.6K-389.7K-3.7K0.0045.17N/AN/A101,062976
2011-07-06$16.31$15.0031.0%11.4%31.8%6.5%0.0%6.5%-0.1%5.5K-352.4K-3.7K0.0045.65N/AN/A001,061976
2011-07-07$16.57$15.0027.3%10.7%30.5%3.5%0.0%5.6%0.3%6.4K-433.6K-3.6K0.0045.71N/AN/A001,061976
2011-07-08$16.40$15.0032.2%10.5%30.5%7.5%0.0%5.0%1.0%7.4K-366.7K-3.5K0.0047.09N/AN/A001,061976
2011-07-11$16.01$15.0038.8%12.8%31.9%12.7%0.0%1.5%1.0%8.6K-245.5K-3.4K0.0029.94N/AN/A0101,061976
2011-07-12$15.43$15.0028.3%12.8%34.5%4.3%44.6%-5.0%-1.2%-6.1K-96.2K-3.4K1.0026.15N/AN/A10101,061976
2011-07-13$15.79$15.0033.6%12.6%34.7%8.6%42.4%-0.3%1.1%10.6K-198.8K-3.3K0.0029.30N/AN/A3001,071981
2011-07-14$15.46$15.0045.1%12.9%33.7%17.7%36.4%-1.0%-0.8%-2.2K-149.4K-3.4K0.0033.25N/AN/A0111,101981
2011-07-15$15.26$15.0045.0%12.9%34.1%17.6%0.0%-3.5%-0.5%-17.1K-66.4K-3.4K0.0033.68N/AN/A001,101992
2011-07-18$15.12$15.0044.9%12.9%33.2%17.5%44.9%5.7%-0.2%15.9K-330.4K-3.2K0.0037.74N/AN/A300897341
2011-07-19$15.51$15.0046.4%13.3%34.2%18.7%0.0%1.0%-0.3%18.5K-459.9K-3.4K0.1433.01N/AN/A16023927341
2011-07-20$15.21$15.0043.7%12.5%31.1%16.6%43.7%7.4%1.5%22.6K-507.2K-3.7K0.1438.94N/AN/A280401,087364
2011-07-21$15.32$15.0043.5%12.5%30.7%16.4%0.0%7.8%1.5%32.5K-734.3K-4.5K0.0038.36N/AN/A001,367404
2011-07-22$15.16$15.0044.8%12.8%30.8%17.5%0.0%6.1%0.3%32.1K-689.2K-4.4K0.5041.44N/AN/A50251,367404
2011-07-25$15.04$15.0047.5%13.6%30.1%19.6%47.5%7.1%-1.1%32.0K-673.6K-4.4K0.4536.85N/AN/A38171,393424
2011-07-26$14.91$15.0047.9%13.7%28.6%20.0%47.9%4.5%-1.2%32.9K-645.5K-4.5K2.9638.26N/AN/A28831,431441
2011-07-27$14.31$15.0044.8%12.8%30.2%17.5%43.3%7.8%-0.1%30.3K-382.1K-4.3K5.1622.87N/AN/A492531,458524
2011-07-28$14.24$15.0047.1%13.5%30.2%19.3%0.0%10.8%-4.0%23.9K-151.3K-4.8K0.0996.55N/AN/A5651,487777
2011-07-29$14.07$15.0044.3%12.7%29.2%26.8%0.0%8.7%0.6%23.8K-75.9K-4.8K0.0097.14N/AN/A0101,543779