VICR Options History — June 2012

In June 2012, VICR traded between $5.80 and $6.94. ATM implied volatility averaged 54.8%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 0.9% (HV 20d: 55.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2012-06-22: Highest Volume — 300 contracts
  • 2012-06-14: Largest IV drop — 71.2% change
  • 2012-06-12: Highest IV Rank — 100.0%
  • 2012-06-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.46$5.80$6.94$5.80$6.94
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV54.8%31.0%118.7%54.0%46.1%
Expected Move11.4%8.9%15.5%15.5%13.2%
HV 20d55.7%35.2%64.1%35.2%63.7%
HV 60d44.7%39.6%48.3%39.6%48.0%
IV Rank41.8%7.3%100.0%47.7%23.3%
IV Percentile50.0%3.6%100.0%64.7%38.5%
Term Structure16.3%-4.5%37.2%-4.5%9.1%
VWIV44.9%44.7%45.0%44.7%45.0%
Skew 25d6.2%-8.1%65.0%-8.1%65.0%
Skew 10d8.0%-12.7%75.7%-12.7%75.7%
Call IV 25d41.7%29.2%63.0%63.0%47.3%
Put IV 25d47.9%36.4%112.3%54.9%112.3%
Bid-Ask Spread %31.8118.8446.7422.1432.08
Gamma HHI0.490.410.710.450.50
Net GEX54-490396319-490
Net DEX225.8K187.7K249.7K187.7K238.8K
Net VEX-423-1.0K-137-161-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.001.100.000.50
Total Volume28.667030000
Total OI788.2866141,1556141,155

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$5.80$0.0054.0%15.5%35.2%47.7%0.0%-8.1%-4.5%319187.7K-1610.0022.14N/AN/A00235379
2012-06-04$6.15$10.0075.9%11.0%42.2%82.5%0.0%5.2%24.2%331201.2K-1470.0038.28N/AN/A00235379
2012-06-05$6.02$10.0081.3%10.9%42.6%91.2%0.0%1.8%25.6%261199.8K-1370.0038.31N/AN/A050235379
2012-06-06$6.55$10.0065.5%10.4%53.1%66.1%44.7%12.6%21.6%266216.9K-2830.0040.46N/AN/A05235425
2012-06-07$6.67$10.0065.3%12.9%52.9%65.7%45.0%-1.8%5.8%303217.3K-2900.0032.36N/AN/A05235425
2012-06-08$6.76$10.0064.6%12.4%52.8%64.5%0.0%0.8%10.4%347216.8K-3000.0032.21N/AN/A040235425
2012-06-11$6.69$10.0075.2%10.9%52.8%81.5%0.0%-3.6%9.8%139224.5K-3250.0033.65N/AN/A10235451
2012-06-12$6.76$10.0091.3%13.0%52.9%100.0%0.0%0.8%7.1%106227.2K-3310.0032.81N/AN/A031235451
2012-06-13$6.32$10.00118.7%10.2%58.2%100.0%0.0%-0.0%20.8%-158238.6K-2900.0040.95N/AN/A00235470
2012-06-14$6.32$10.0034.2%9.8%56.7%10.7%0.0%3.1%20.3%-158241.0K-2731.0019.27N/AN/A2020235470
2012-06-15$6.48$10.0031.9%9.1%57.1%8.2%0.0%8.4%20.9%-122238.6K-3100.0018.84N/AN/A00255480
2012-06-18$6.29$10.0035.6%10.2%58.2%12.2%0.0%1.9%17.1%-202235.0K-2960.0024.32N/AN/A015255480
2012-06-19$6.54$10.0031.0%8.9%58.9%7.3%0.0%9.1%23.2%-267249.7K-3170.0024.15N/AN/A00255495
2012-06-20$6.42$10.0035.3%10.1%54.8%11.8%0.0%0.7%16.6%-296243.3K-3210.0046.74N/AN/A100255495
2012-06-21$6.08$10.0042.5%12.2%57.6%19.4%0.0%2.0%37.2%-394236.4K-2761.1022.42N/AN/A1011265495
2012-06-22$6.57$10.0048.0%13.8%64.0%25.2%0.0%-7.8%-2.0%-101231.1K-3760.5021.44N/AN/A200100275496
2012-06-25$6.50$10.0035.8%10.3%63.9%12.3%0.0%3.8%18.7%323223.4K-8400.0040.78N/AN/A00475596
2012-06-26$6.49$10.0040.7%11.7%63.9%17.6%0.0%6.2%16.8%277222.5K-8540.0043.95N/AN/A00475596
2012-06-27$6.71$10.0041.4%11.9%63.7%18.3%0.0%18.6%21.4%396216.2K-8850.0041.48N/AN/A010475596
2012-06-28$6.62$10.0035.9%10.3%64.1%12.5%0.0%11.1%22.4%252235.8K-8540.0021.30N/AN/A074475606
2012-06-29$6.94$10.0046.1%13.2%63.7%23.3%0.0%65.0%9.1%-490238.8K-1.0K0.0032.08N/AN/A00475680