VICR Options History — March 2012

In March 2012, VICR traded between $7.68 and $8.42. ATM implied volatility averaged 40.6%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 4.2% (HV 20d: 44.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2012-03-05: Highest Volume — 96 contracts
  • 2012-03-06: Largest IV spike — 52.3% change
  • 2012-03-14: Highest IV Rank — 51.1%
  • 2012-03-07: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.01$7.68$8.42$8.14$8.00
Max Pain$9.66$7.50$10.00$10.00$7.50
ATM IV40.6%27.4%55.6%45.5%33.7%
Expected Move12.3%9.0%14.2%13.0%9.7%
HV 20d44.7%40.0%51.8%51.8%41.9%
HV 60d46.5%44.9%49.7%49.7%45.0%
IV Rank27.7%7.1%51.1%35.4%17.0%
IV Percentile32.3%4.0%71.8%46.0%12.7%
Term Structure9.4%-3.8%19.5%-3.8%16.9%
VWIV44.9%43.8%45.9%45.9%43.8%
Skew 25d12.2%-7.7%36.9%21.1%-5.4%
Skew 10d41.0%-7.1%77.8%23.6%63.3%
Call IV 25d37.4%27.6%44.4%27.6%40.8%
Put IV 25d49.6%34.3%76.6%48.7%35.3%
Bid-Ask Spread %29.8517.2946.4041.6941.07
Gamma HHI0.500.360.680.360.68
Net GEX1.4K-1.1K3.1K-1.1K3.1K
Net DEX203.4K154.3K261.7K237.1K154.3K
Net VEX-740-859-626-859-638
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.005.000.000.00
Total Volume8.04509630
Total OI826.773775872793775

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$8.14$10.0045.5%13.0%51.8%35.4%0.0%21.1%-3.8%-1.1K237.1K-8590.0041.69N/AN/A30295498
2012-03-02$8.06$10.0039.8%11.4%50.6%26.5%0.0%-4.9%5.8%-812242.9K-8500.0042.75N/AN/A00298498
2012-03-05$8.00$10.0027.4%13.2%40.1%7.1%45.9%31.6%7.6%-89261.7K-7290.0018.45N/AN/A960298498
2012-03-06$7.68$10.0041.7%14.0%40.0%29.5%0.0%12.5%6.6%1.5K218.4K-7750.0018.97N/AN/A00374498
2012-03-07$7.70$10.0031.4%14.2%40.3%13.3%0.0%12.3%5.4%2.1K220.9K-7600.0018.97N/AN/A00374498
2012-03-08$7.77$10.0034.8%14.0%40.5%18.6%0.0%36.9%6.6%2.2K228.3K-7180.0028.14N/AN/A00374498
2012-03-09$8.01$10.0040.4%13.2%43.0%27.5%0.0%27.7%9.1%1.5K213.6K-7740.0017.29N/AN/A00374498
2012-03-12$7.87$10.0040.1%13.8%42.4%27.0%0.0%12.8%7.0%1.8K195.9K-7530.0017.47N/AN/A00374472
2012-03-13$8.15$10.0055.0%13.7%43.9%50.3%0.0%16.6%11.2%650184.4K-7830.0038.24N/AN/A00374472
2012-03-14$7.90$10.0055.6%12.6%44.6%51.1%43.8%28.9%8.5%2.2K203.6K-6880.3219.85N/AN/A3110374472
2012-03-15$7.81$10.0047.4%13.6%44.5%38.4%0.0%12.0%7.6%2.3K198.0K-7470.0021.14N/AN/A00385482
2012-03-16$7.89$10.0045.1%12.9%43.7%34.8%0.0%10.4%8.6%2.1K194.8K-7280.0022.91N/AN/A00385482
2012-03-19$8.42$10.0039.6%11.4%50.8%26.3%0.0%12.2%15.3%270181.8K-8285.0024.86N/AN/A210320476
2012-03-20$8.04$10.0043.0%12.3%51.0%31.5%0.0%5.7%6.2%930209.1K-7440.0026.09N/AN/A00322486
2012-03-21$8.14$10.0043.4%12.4%51.2%32.1%0.0%6.8%8.2%926205.8K-7610.0031.85N/AN/A00322486
2012-03-22$8.02$10.0047.7%13.7%48.7%38.8%0.0%23.3%4.6%1.1K216.6K-7330.0028.17N/AN/A250322486
2012-03-23$8.16$10.0039.4%11.3%43.6%25.9%0.0%10.2%17.9%1.4K194.5K-7650.0033.39N/AN/A00347486
2012-03-26$8.29$10.0031.8%9.1%44.0%14.0%0.0%1.7%18.3%1.6K195.0K-6480.0046.17N/AN/A00347486
2012-03-27$8.15$10.0031.3%9.0%43.6%13.2%0.0%-2.4%19.5%2.3K197.9K-6260.0046.40N/AN/A00347486
2012-03-28$8.06$7.5038.7%11.1%42.0%24.7%0.0%5.8%16.5%2.7K161.8K-6720.0032.70N/AN/A00347428
2012-03-29$8.00$7.5039.8%11.4%42.0%26.6%0.0%-7.7%3.6%2.3K158.8K-6910.0040.06N/AN/A00347428
2012-03-30$8.00$7.5033.7%9.7%41.9%17.0%0.0%-5.4%16.9%3.1K154.3K-6380.0041.07N/AN/A00347428