VICR Options History — October 2011

In October 2011, VICR traded between $8.14 and $10.52. ATM implied volatility averaged 57.5%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 31.6% (HV 20d: 89.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2011-10-25: Highest Volume — 925 contracts
  • 2011-10-31: Largest IV spike — 53.9% change
  • 2011-10-03: Highest IV Rank — 88.7%
  • 2011-10-03: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.72$8.14$10.52$8.14$9.15
Max Pain$10.48$10.00$12.50$12.50$10.00
ATM IV57.5%36.9%79.6%79.6%56.7%
Expected Move16.8%10.6%22.8%22.8%16.3%
HV 20d89.0%67.9%93.9%67.9%84.5%
HV 60d81.4%71.1%84.7%71.1%84.0%
IV Rank54.1%21.9%88.7%88.7%53.0%
IV Percentile84.3%22.2%99.2%99.2%83.7%
Term Structure-1.7%-13.2%5.8%-1.5%-1.3%
VWIV58.3%42.9%79.1%60.2%55.9%
Skew 25d10.2%-20.5%51.5%25.0%-5.7%
Skew 10d15.8%-37.1%108.8%34.2%-4.6%
Call IV 25d51.0%37.2%79.1%56.1%58.2%
Put IV 25d61.2%37.6%101.3%81.1%52.5%
Bid-Ask Spread %48.2819.1896.6395.5440.13
Gamma HHI0.580.330.870.350.57
Net GEX5.3K-2.0K25.4K2083.2K
Net DEX310.0K135.8K438.6K414.8K244.7K
Net VEX-1.4K-1.6K-1.0K-1.0K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.005.000.000.28
Total Volume70.85709253025
Total OI1,923.3339412,1431,9151,954

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$8.14$12.5079.6%22.8%67.9%88.7%0.0%25.0%-1.5%208414.8K-1.0K0.0095.54N/AN/A0301,189726
2011-10-04$9.42$12.5059.5%17.1%87.2%57.3%60.2%39.0%1.2%1.9K393.2K-1.4K0.0096.63N/AN/A6001,189746
2011-10-05$9.59$12.5058.0%16.6%86.1%54.9%58.0%2.5%0.0%3.5K372.3K-1.4K0.9133.43N/AN/A11101,249746
2011-10-06$10.13$12.5054.5%15.6%87.6%49.4%42.9%38.1%5.8%4.1K314.9K-1.6K3.0019.18N/AN/A10301,260756
2011-10-07$9.34$10.0048.3%16.5%92.1%39.8%0.0%15.7%0.1%3.8K396.4K-1.4K0.0044.61N/AN/A0301,260776
2011-10-10$9.70$10.0052.7%16.7%93.2%46.6%0.0%20.4%-1.9%5.2K391.7K-1.4K0.0042.86N/AN/A201,260776
2011-10-11$9.74$10.0051.4%16.5%92.9%44.7%0.0%4.2%-1.0%5.7K389.5K-1.4K0.0048.84N/AN/A0401,262776
2011-10-12$10.02$10.0051.0%16.1%92.4%44.0%0.0%10.1%-0.3%5.4K325.3K-1.5K0.0048.97N/AN/A001,262776
2011-10-13$10.24$10.0057.1%16.4%92.0%53.5%54.6%15.8%1.0%6.6K318.7K-1.5K0.0048.42N/AN/A1001,262776
2011-10-14$10.39$10.0060.3%17.3%91.9%58.5%60.2%19.0%-2.2%6.2K256.8K-1.5K5.0047.19N/AN/A10501,272776
2011-10-17$9.93$10.0057.5%16.5%92.5%54.1%0.0%7.0%-1.0%8.0K371.9K-1.5K0.0049.57N/AN/A021,282826
2011-10-18$10.44$10.0057.8%16.6%92.3%54.6%58.0%17.7%-3.1%5.8K249.0K-1.6K0.3849.41N/AN/A40151,282826
2011-10-19$9.86$10.0057.3%16.4%93.9%53.9%0.0%6.8%-1.3%7.9K369.1K-1.5K0.0051.36N/AN/A001,302841
2011-10-20$9.65$10.0058.7%16.8%89.0%56.1%0.0%2.9%-2.4%8.1K438.6K-1.4K0.0050.24N/AN/A001,302841
2011-10-21$10.03$10.0060.0%17.2%89.0%58.0%0.0%9.4%-3.5%25.4K348.4K-1.4K0.0048.19N/AN/A001,302841
2011-10-24$10.52$10.0055.5%15.9%90.1%51.1%55.6%51.5%-0.1%-2.0K147.2K-1.5K0.0050.15N/AN/A700379562
2011-10-25$10.13$10.0078.3%22.4%88.6%86.7%79.1%-11.6%-13.2%-631135.8K-1.5K0.0051.64N/AN/A9250449562
2011-10-26$9.46$10.0055.8%16.0%88.9%51.6%55.9%-12.2%-1.4%4.3K190.6K-1.5K0.2832.79N/AN/A53151,299562
2011-10-27$9.29$10.0060.1%17.2%88.9%58.3%0.0%-20.1%-5.8%4.9K191.0K-1.5K0.0026.33N/AN/A0501,352577
2011-10-28$8.95$10.0036.9%10.6%88.7%21.9%0.0%-20.5%-4.6%3.0K249.7K-1.3K0.0038.32N/AN/A001,352602
2011-10-31$9.15$10.0056.7%16.3%84.5%53.0%0.0%-5.7%-1.3%3.2K244.7K-1.3K0.0040.13N/AN/A0251,352602