VICR Options History — September 2011

In September 2011, VICR traded between $8.40 and $10.69. ATM implied volatility averaged 58.2%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 10.9% (HV 20d: 69.1%). Max pain ranged from $7.50 to $15.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-09-07: Highest Volume — 215 contracts
  • 2011-09-26: Largest IV drop — 37.8% change
  • 2011-09-23: Highest IV Rank — 82.9%
  • 2011-09-23: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.56$8.40$10.69$10.69$8.75
Max Pain$13.21$7.50$15.00$7.50$12.50
ATM IV58.2%45.5%75.9%50.5%62.8%
Expected Move16.9%13.5%21.8%14.5%18.0%
HV 20d69.1%57.9%98.8%97.5%67.5%
HV 60d65.4%62.0%69.9%62.0%69.9%
IV Rank55.3%35.4%82.9%43.3%62.4%
IV Percentile89.2%57.5%99.2%86.1%93.7%
Term Structure-0.2%-5.4%12.9%6.9%12.9%
VWIV56.6%52.9%61.6%52.9%58.2%
Skew 25d9.2%-11.3%25.5%7.6%5.9%
Skew 10d16.0%-6.7%39.6%9.3%14.6%
Call IV 25d52.0%41.1%65.0%43.8%59.9%
Put IV 25d61.3%46.6%73.1%51.4%65.8%
Bid-Ask Spread %35.6915.4697.4335.9429.59
Gamma HHI0.450.300.670.400.42
Net GEX2.5K-1.8K13.3K263903
Net DEX369.7K206.6K440.7K301.9K418.7K
Net VEX-1.5K-1.8K-1.0K-1.8K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume22.81021500
Total OI2,179.8571,8352,5532,3681,915

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$10.69$7.5050.5%14.5%97.5%43.3%0.0%7.6%6.9%263301.9K-1.8K0.0035.94N/AN/A001,557811
2011-09-02$9.98$7.5057.2%16.4%98.8%53.7%0.0%4.5%-1.4%1.4K376.7K-1.5K0.0015.46N/AN/A0201,557811
2011-09-06$9.70$15.0064.8%17.3%84.8%65.6%0.0%23.3%-4.4%1.3K421.7K-1.4K0.0032.36N/AN/A001,557831
2011-09-07$10.10$15.0061.9%17.0%79.8%61.0%52.9%13.3%-3.7%1.7K385.6K-1.5K0.0030.60N/AN/A21501,557831
2011-09-08$9.78$15.0062.9%17.5%70.8%62.6%0.0%7.4%-2.9%3.5K331.3K-1.8K0.0030.27N/AN/A0261,692831
2011-09-09$9.55$15.0065.6%17.7%64.5%66.9%61.6%22.0%-4.9%3.5K356.5K-1.6K0.0035.02N/AN/A1001,692831
2011-09-12$9.58$15.0045.5%17.5%64.3%35.4%0.0%25.1%-5.0%6.1K378.4K-1.5K0.0033.90N/AN/A001,702811
2011-09-13$9.76$15.0057.7%17.4%62.5%54.5%0.0%25.5%-5.4%7.1K339.8K-1.6K0.0035.94N/AN/A001,702811
2011-09-14$10.14$15.0047.5%16.8%64.2%38.6%0.0%10.7%-2.9%10.4K268.2K-1.7K0.0039.80N/AN/A001,702811
2011-09-15$10.47$15.0059.3%17.0%65.3%56.9%57.9%3.8%-1.8%4.7K206.6K-1.8K0.0035.07N/AN/A4001,702811
2011-09-16$10.25$15.0054.4%15.6%59.0%49.3%0.0%10.8%1.1%13.3K214.1K-1.7K0.0041.61N/AN/A001,742811
2011-09-19$9.90$15.0055.5%15.9%60.2%51.0%55.4%8.7%1.2%-1.8K424.3K-1.5K0.0039.97N/AN/A1801,081778
2011-09-20$9.44$12.5053.6%15.4%61.1%48.1%53.7%-2.5%4.8%-698408.1K-1.4K0.0042.29N/AN/A1001,099736
2011-09-21$9.11$12.5057.2%16.4%57.9%53.8%0.0%-3.6%0.1%-478404.5K-1.3K0.0031.69N/AN/A001,109726
2011-09-22$8.40$12.5069.4%19.9%63.2%72.8%0.0%5.9%2.9%-617435.4K-1.0K0.0097.43N/AN/A001,109726
2011-09-23$8.72$12.5075.9%21.8%64.9%82.9%0.0%13.0%-3.7%-366437.8K-1.1K0.0026.19N/AN/A001,109726
2011-09-26$8.88$12.5047.2%13.5%63.7%38.1%0.0%11.9%1.4%-292440.7K-1.1K0.0027.77N/AN/A001,109726
2011-09-27$9.51$12.5058.1%16.7%64.8%55.1%58.2%-2.1%0.7%-313408.9K-1.3K0.0028.77N/AN/A8001,109726
2011-09-28$8.91$12.5060.0%17.2%67.7%58.0%0.0%-11.3%-0.8%984397.3K-1.3K0.0033.11N/AN/A6001,189726
2011-09-29$9.12$12.5055.9%16.0%68.4%51.7%0.0%14.0%0.3%1.3K407.9K-1.3K0.0026.77N/AN/A001,189726
2011-09-30$8.75$12.5062.8%18.0%67.5%62.4%0.0%5.9%12.9%903418.7K-1.1K0.0029.59N/AN/A001,189726