VICR Options History — August 2011

In August 2011, VICR traded between $9.70 and $14.08. ATM implied volatility averaged 60.6%, placing in the 63.7% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 13.7% (HV 20d: 74.3%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.57.

Notable Days

  • 2011-08-22: Highest Volume — 258 contracts
  • 2011-08-10: Largest IV spike — 45.8% change
  • 2011-08-05: Highest IV Rank — 100.0%
  • 2011-08-19: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.12$9.70$14.08$14.08$11.29
Max Pain$12.39$7.50$15.00$15.00$7.50
ATM IV60.6%35.1%86.8%47.7%35.1%
Expected Move17.0%10.1%19.7%13.7%10.1%
HV 20d74.3%27.1%98.1%27.1%97.4%
HV 60d51.3%30.7%61.4%30.7%61.3%
IV Rank63.7%19.2%100.0%55.4%19.2%
IV Percentile89.3%19.0%100.0%77.4%19.0%
Term Structure0.3%-5.2%17.0%-1.3%16.5%
VWIV61.7%57.3%65.0%62.6%61.9%
Skew 25d14.5%-11.0%65.7%6.8%3.6%
Skew 10d28.2%-8.7%121.3%14.2%5.2%
Call IV 25d49.2%35.0%68.8%48.1%35.0%
Put IV 25d63.7%38.4%112.4%54.9%38.6%
Bid-Ask Spread %58.5528.96101.5099.7638.86
Gamma HHI0.390.310.500.440.50
Net GEX3.3K-3.0K23.1K23.1K-3.0K
Net DEX369.1K-40.3K564.3K-40.3K225.3K
Net VEX-2.0K-4.6K-967-4.6K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.0011.330.000.00
Total Volume43.1740258017
Total OI2,267.3482,0402,3662,3222,351

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$14.08$15.0047.7%13.7%27.1%55.4%0.0%6.8%-1.3%23.1K-40.3K-4.6K0.0099.76N/AN/A001,543779
2011-08-02$13.38$15.0049.6%14.2%31.1%59.6%0.0%13.0%0.4%18.2K189.0K-4.0K0.00101.50N/AN/A001,543779
2011-08-03$13.16$15.0054.5%15.6%31.1%70.4%0.0%13.6%-4.0%14.2K297.1K-3.6K0.0099.11N/AN/A001,543779
2011-08-04$12.50$15.0057.3%16.4%32.6%76.7%0.0%11.1%-4.0%9.0K410.8K-3.1K0.0094.59N/AN/A5001,543779
2011-08-05$11.88$15.0068.7%17.6%35.1%100.0%0.0%18.5%-4.0%7.1K423.7K-2.9K0.00100.91N/AN/A0251,554779
2011-08-08$10.26$15.0086.8%19.4%58.1%100.0%0.0%-0.8%-2.4%484517.0K-1.7K0.0096.55N/AN/A001,554736
2011-08-09$11.19$15.0055.6%18.1%69.5%51.2%0.0%6.9%0.0%2.1K439.5K-2.2K2.3496.04N/AN/A441031,554690
2011-08-10$10.04$15.0081.0%19.5%75.1%91.0%0.0%-11.0%-1.2%297500.2K-1.4K11.3328.96N/AN/A3341,598711
2011-08-11$10.86$15.0066.9%19.2%83.3%68.8%62.6%6.2%-5.2%1.2K445.5K-1.9K0.0045.25N/AN/A0201,601745
2011-08-12$10.61$15.0066.4%19.0%83.3%68.1%0.0%1.1%-3.3%-12492.5K-1.8K0.0091.05N/AN/A001,601765
2011-08-15$11.07$15.0062.8%18.0%86.0%62.4%0.0%16.2%-2.5%-827499.5K-1.7K0.0041.28N/AN/A001,601765
2011-08-16$10.87$15.0063.1%18.1%84.6%63.0%0.0%9.4%0.4%-521489.5K-1.7K0.0041.06N/AN/A5001,601765
2011-08-17$11.00$15.0065.3%18.7%85.2%66.4%0.0%8.5%-2.7%-674493.0K-1.7K0.0035.91N/AN/A001,570765
2011-08-18$10.15$15.0068.3%19.6%87.7%71.0%0.0%12.6%-1.9%-891554.7K-1.2K0.0038.07N/AN/A001,570765
2011-08-19$10.08$15.0068.7%19.7%87.7%71.6%57.3%9.3%-3.1%-389564.3K-1.1K0.2037.78N/AN/A100201,570765
2011-08-22$9.70$7.5067.8%19.5%87.8%70.3%65.0%0.7%-1.8%-1.4K444.7K-9670.0637.86N/AN/A243151,355685
2011-08-23$10.28$7.5062.0%17.8%92.3%61.2%61.9%65.7%-1.2%855374.9K-1.3K0.2340.10N/AN/A4091,480690
2011-08-24$10.43$7.5057.9%16.6%92.6%54.8%0.0%58.4%-1.5%1.9K276.0K-1.3K0.0042.89N/AN/A001,520611
2011-08-25$10.11$7.5058.9%16.9%92.6%56.4%0.0%9.7%-1.7%2.1K280.6K-1.2K0.0031.53N/AN/A001,520611
2011-08-26$10.47$7.5058.5%16.8%94.5%55.8%0.0%58.1%-0.6%2.0K268.4K-1.3K0.0032.50N/AN/A001,520611
2011-08-29$11.13$7.5050.3%14.4%98.1%42.9%0.0%14.6%14.5%-457186.6K-1.3K0.0036.67N/AN/A2001,520611
2011-08-30$11.17$7.5040.7%11.7%97.2%27.8%0.0%2.1%17.0%416156.9K-1.4K0.0038.44N/AN/A02001,540611
2011-08-31$11.29$7.5035.1%10.1%97.4%19.2%0.0%3.6%16.5%-3.0K225.3K-1.9K0.0038.86N/AN/A1701,540811