VICR Options History — August 2012

In August 2012, VICR traded between $6.02 and $7.10. ATM implied volatility averaged 48.4%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.1% (HV 20d: 48.2%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.02.

Notable Days

  • 2012-08-06: Highest Volume — 76 contracts
  • 2012-08-16: Largest IV drop — 69.2% change
  • 2012-08-15: Highest IV Rank — 97.7%
  • 2012-08-30: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.48$6.02$7.10$6.42$6.02
Max Pain$7.28$5.00$7.50$7.50$7.50
ATM IV48.4%29.1%116.5%45.5%62.9%
Expected Move12.5%8.3%18.4%13.1%18.0%
HV 20d48.2%28.8%57.5%50.8%28.8%
HV 60d52.3%47.2%54.6%52.5%47.2%
IV Rank25.7%5.2%97.7%22.6%41.0%
IV Percentile36.4%0.8%99.6%32.9%87.7%
Term Structure-1.6%-37.4%14.0%5.1%-37.4%
VWIV45.9%37.4%52.8%47.0%37.4%
Skew 25d2.8%-10.0%34.4%-5.3%-1.3%
Skew 10d3.7%-10.1%46.1%0.6%-0.6%
Call IV 25d42.7%30.3%53.7%47.3%36.9%
Put IV 25d45.5%35.7%82.9%42.1%35.7%
Bid-Ask Spread %43.8924.0474.2230.2031.52
Gamma HHI0.530.340.820.770.37
Net GEX-1.6K-6.6K773-3.3K773
Net DEX88.6K-16.0K256.6K90.5K143.0K
Net VEX-808-1.1K-444-800-576
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.003.000.753.00
Total Volume14.565076560
Total OI996.7839101,0859321,013

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$6.42$7.5045.5%13.1%50.8%22.6%0.0%-5.3%5.1%-3.3K90.5K-8000.7530.20N/AN/A3224364568
2012-08-02$6.50$7.5029.1%8.3%51.2%5.2%0.0%-7.0%0.6%-3.2K103.6K-8070.0024.04N/AN/A00396592
2012-08-03$6.81$7.5033.5%9.6%54.4%9.9%0.0%-8.7%12.2%-3.2K130.8K-8980.0024.60N/AN/A011396592
2012-08-06$6.92$5.0036.4%13.6%54.6%13.0%47.0%-4.1%5.5%-5.7K101.6K-9601.3838.66N/AN/A3244396603
2012-08-07$7.10$5.0042.6%15.1%54.7%19.5%52.8%-2.4%-1.9%-6.6K59.9K-1.1K0.0025.82N/AN/A010428647
2012-08-08$6.83$7.5033.4%13.8%55.9%9.8%0.0%34.4%3.7%-3.1K256.6K-4440.0031.81N/AN/A00428657
2012-08-09$6.58$7.5039.3%14.8%57.5%16.1%0.0%-7.5%2.6%-2.3K117.3K-9070.0031.46N/AN/A00428657
2012-08-10$6.56$7.5053.3%12.7%57.2%30.9%0.0%29.2%2.1%-1.3K157.1K-9010.0034.72N/AN/A00428657
2012-08-13$6.45$7.5078.9%11.7%57.4%58.0%0.0%-10.0%-0.2%-1.4K114.0K-8110.0036.70N/AN/A210428627
2012-08-14$6.35$7.5085.4%12.0%56.2%64.7%46.1%1.4%14.0%-99951.7K-8561.0050.31N/AN/A1010449516
2012-08-15$6.45$7.50116.5%13.1%56.1%97.7%0.0%9.2%-1.1%-1.2K28.9K-8640.0066.60N/AN/A300459526
2012-08-16$6.54$7.5035.9%10.3%52.4%12.5%0.0%4.7%14.0%-1.3K16.0K-8640.0074.22N/AN/A00489526
2012-08-17$6.47$7.5035.4%10.2%52.5%12.0%0.0%0.7%12.6%-1.3K16.8K-8480.0065.78N/AN/A00489526
2012-08-20$6.57$7.5049.1%14.1%52.1%26.4%0.0%9.3%-4.4%-1.2K-16.0K-9713.0064.95N/AN/A1030463447
2012-08-21$6.45$7.5035.2%10.1%46.9%11.7%0.0%1.4%-5.2%-1.5K6.0K-8470.0063.28N/AN/A00473469
2012-08-22$6.38$7.5034.4%9.9%47.1%10.9%0.0%-1.0%-4.6%-42473.4K-7210.0064.29N/AN/A00473469
2012-08-23$6.33$7.5038.3%11.0%44.1%15.0%37.4%-0.7%-5.2%-30774.3K-7270.0066.32N/AN/A011473469
2012-08-24$6.30$7.5040.5%11.6%39.3%17.3%0.0%-0.8%-8.5%-46182.9K-7270.0067.07N/AN/A020473480
2012-08-27$6.30$7.5040.3%11.6%37.4%17.2%0.0%5.3%-5.2%-120100.7K-7030.0026.36N/AN/A00473500
2012-08-28$6.27$7.5040.4%11.6%36.0%17.2%0.0%2.9%-5.8%16896.5K-7420.0024.12N/AN/A020473500
2012-08-29$6.31$7.5042.2%12.1%32.7%19.2%0.0%11.8%-9.2%36108.9K-7340.0026.53N/AN/A020473520
2012-08-30$6.11$7.5064.2%18.4%34.1%42.4%0.0%2.9%-20.3%180124.4K-7630.0040.24N/AN/A00473540
2012-08-31$6.02$7.5062.9%18.0%28.8%41.0%0.0%-1.3%-37.4%773143.0K-5760.0031.52N/AN/A00473540