VICR Options History — July 2012

In July 2012, VICR traded between $6.14 and $7.33. ATM implied volatility averaged 46.6%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 5.0% (HV 20d: 51.6%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2012-07-24: Highest Volume — 72 contracts
  • 2012-07-24: Largest IV spike — 89.6% change
  • 2012-07-25: Highest IV Rank — 43.5%
  • 2012-07-25: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.82$6.14$7.33$7.21$6.71
Max Pain$7.86$7.50$10.00$10.00$7.50
ATM IV46.6%30.2%65.2%50.0%32.9%
Expected Move14.2%8.7%18.7%14.3%9.4%
HV 20d51.6%41.1%62.0%62.0%49.4%
HV 60d49.0%47.5%51.7%48.5%51.7%
IV Rank23.8%6.5%43.5%27.3%9.3%
IV Percentile40.4%0.8%88.9%52.4%4.4%
Term Structure1.8%-15.8%17.0%6.5%7.1%
VWIV47.3%22.7%56.4%55.6%22.7%
Skew 25d2.4%-20.2%62.6%62.6%-8.6%
Skew 10d10.0%-8.1%83.7%83.7%-5.0%
Call IV 25d49.1%30.0%57.9%54.2%45.1%
Put IV 25d51.5%34.6%116.8%116.8%36.5%
Bid-Ask Spread %30.7922.0050.4330.5423.75
Gamma HHI0.560.320.710.510.70
Net GEX-1.3K-3.0K-164-563-2.9K
Net DEX213.9K115.4K287.2K219.4K144.7K
Net VEX-906-1.1K-691-1.0K-858
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.004.000.914.00
Total Volume13.14307250
Total OI1,076.9527551,2231,155932

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$7.21$10.0050.0%14.3%62.0%27.3%0.0%62.6%6.5%-563219.4K-1.0K0.0030.54N/AN/A05475680
2012-07-03$7.33$10.0052.3%15.0%61.1%29.8%0.0%10.9%3.9%-629205.6K-1.1K0.0033.54N/AN/A00475685
2012-07-05$7.23$10.0052.2%15.0%54.8%29.7%0.0%6.7%5.0%-577207.8K-1.0K0.0032.28N/AN/A00475685
2012-07-06$7.21$7.5049.6%15.5%54.7%26.9%0.0%4.7%0.4%-601218.7K-1.0K0.0025.84N/AN/A00475685
2012-07-09$7.11$7.5040.7%16.5%54.9%17.6%0.0%2.6%-2.6%-400227.5K-9940.0032.94N/AN/A00475685
2012-07-10$6.94$7.5035.6%15.9%55.5%12.1%55.6%11.0%-0.3%-726245.3K-9330.9126.83N/AN/A1110475685
2012-07-11$6.78$7.5038.3%16.5%56.1%15.0%0.0%-5.7%-3.3%-1.0K260.2K-9000.0030.75N/AN/A020486695
2012-07-12$6.76$7.5052.4%15.0%50.2%29.9%53.3%20.9%1.6%-1.2K284.7K-9040.0027.56N/AN/A200486715
2012-07-13$6.86$7.5054.3%15.6%50.4%32.0%0.0%-3.0%-1.2%-780269.1K-9570.0028.65N/AN/A00500715
2012-07-16$6.82$7.5048.9%14.0%49.8%26.2%48.3%-0.4%3.1%-862278.6K-9050.0029.61N/AN/A07500715
2012-07-17$7.03$7.5051.3%14.7%49.2%28.8%0.0%0.8%-1.2%-845272.5K-9440.0029.65N/AN/A00500722
2012-07-18$7.16$7.5051.7%14.8%47.9%29.2%0.0%3.7%2.5%-164253.0K-9800.0026.59N/AN/A00500722
2012-07-19$6.74$7.5046.9%13.4%52.7%24.1%56.4%-1.0%-4.6%-2.1K275.9K-8860.0035.97N/AN/A10500722
2012-07-20$6.74$7.5050.7%14.6%48.2%28.2%0.0%0.7%0.3%-2.2K287.2K-8610.0036.36N/AN/A025501722
2012-07-23$6.57$7.5033.4%9.6%41.1%9.8%0.0%8.3%17.0%-1.7K118.9K-7960.0023.21N/AN/A010316439
2012-07-24$6.16$7.5063.4%18.2%46.9%41.5%22.7%-20.2%-11.4%-1.0K129.6K-7433.0022.00N/AN/A1854316449
2012-07-25$6.14$7.5065.2%18.7%46.9%43.5%0.0%-20.1%-15.8%-1.3K161.8K-6910.0026.49N/AN/A200334503
2012-07-26$6.43$7.5030.2%8.7%48.4%6.5%0.0%-8.9%16.4%-1.8K144.6K-7674.0023.59N/AN/A1040354503
2012-07-27$6.78$7.5031.6%9.1%52.0%8.0%0.0%-1.9%9.6%-2.5K170.9K-8090.0050.43N/AN/A00364543
2012-07-30$6.54$7.5047.0%13.5%50.6%24.3%0.0%-13.1%4.2%-3.0K115.4K-9000.0049.99N/AN/A025364543
2012-07-31$6.71$7.5032.9%9.4%49.4%9.3%0.0%-8.6%7.1%-2.9K144.7K-8580.0023.75N/AN/A00364568