VICR Options History — April 2013

In April 2013, VICR traded between $4.91 and $5.39. ATM implied volatility averaged 40.9%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 11.0% (HV 20d: 29.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 11.80.

Notable Days

  • 2013-04-23: Highest Volume — 1,008 contracts
  • 2013-04-11: Largest IV spike — 62.2% change
  • 2013-04-17: Highest IV Rank — 16.2%
  • 2013-04-17: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.06$4.91$5.39$4.92$5.37
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV40.9%30.2%56.2%37.6%30.7%
Expected Move12.5%8.7%16.1%10.8%8.8%
HV 20d29.9%12.9%47.3%47.3%24.0%
HV 60d31.3%30.2%32.6%31.8%32.6%
IV Rank7.1%0.7%16.2%5.1%1.0%
IV Percentile33.4%0.4%85.3%21.4%1.6%
Term Structure1.3%-13.8%18.4%9.8%-2.1%
VWIV40.3%30.4%51.3%37.6%41.8%
Skew 25d-12.1%-30.4%-2.5%-2.5%-30.4%
Skew 10d-9.6%-16.5%-5.9%-5.9%-16.5%
Call IV 25d88.3%73.2%105.8%73.2%105.8%
Put IV 25d76.2%70.6%84.1%70.6%75.4%
Bid-Ask Spread %22.5915.7634.6722.7520.22
Gamma HHI0.820.700.930.780.93
Net GEX-15-13.9K4.8K3.4K-12.0K
Net DEX23.1K-32.3K85.3K35.2K-29.1K
Net VEX-2.3K-2.5K-2.0K-2.4K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.800.00125.003.500.02
Total Volume81.13601,00845510
Total OI3,107.0912,1483,2483,1533,186

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$4.92$5.0037.6%10.8%47.3%5.1%37.6%0.0%9.8%3.4K35.2K-2.4K3.5022.75N/AN/A10351,9421,211
2013-04-02$4.92$5.0030.4%8.7%46.4%0.8%30.4%0.0%17.5%2.6K46.6K-2.4K0.0034.62N/AN/A1401,9321,241
2013-04-03$5.00$5.0031.7%9.1%46.9%1.6%31.7%-2.5%18.4%2.2K43.4K-2.3K0.0030.26N/AN/A101,9461,241
2013-04-04$5.00$5.0032.8%9.4%46.8%2.2%0.0%0.0%15.1%2.9K6.1K-2.4K0.0026.86N/AN/A001,9471,241
2013-04-05$4.95$0.0036.6%13.7%46.1%4.5%0.0%-7.2%-2.0%3.4K15.3K-2.3K0.0017.53N/AN/A201,9471,241
2013-04-08$4.99$0.0034.5%14.7%40.5%3.3%0.0%0.0%-5.0%3.1K13.3K-2.3K40.0019.57N/AN/A1401,9491,241
2013-04-09$4.96$0.0032.3%13.8%39.6%1.9%0.0%0.0%-6.4%4.3K15.0K-2.3K0.0019.98N/AN/A001,9501,241
2013-04-10$5.01$0.0030.2%13.4%39.6%0.7%0.0%-8.2%6.0%3.8K-32.3K-2.3K0.0018.93N/AN/A5101,9501,241
2013-04-11$5.04$0.0049.0%14.0%39.0%11.9%0.0%-30.4%-2.4%3.6K-19.4K-2.3K0.0015.76N/AN/A202,0011,241
2013-04-12$4.96$0.0050.0%14.3%38.1%12.5%0.0%0.0%4.0%4.4K-21.2K-2.3K0.0016.83N/AN/A602,0011,241
2013-04-15$4.91$0.0054.5%15.6%16.1%15.2%0.0%0.0%-5.2%3.8K65.2K-2.2K0.0022.37N/AN/A2002,0071,241
2013-04-16$4.95$0.0052.9%15.2%15.3%14.2%0.0%0.0%0.2%3.9K47.6K-2.2K0.0021.80N/AN/A002,0071,241
2013-04-17$4.93$0.0056.2%16.1%15.3%16.2%0.0%0.0%-7.7%4.7K84.6K-2.1K0.0018.34N/AN/A002,0071,241
2013-04-18$4.95$0.0052.6%15.1%15.0%14.0%0.0%0.0%-2.6%4.6K75.2K-2.1K0.0020.07N/AN/A002,0021,241
2013-04-19$4.92$0.0051.3%14.7%12.9%13.3%51.3%0.0%-4.6%4.8K85.3K-2.1K0.5323.66N/AN/A1582,0021,241
2013-04-22$4.92$5.0049.4%14.2%12.9%12.1%49.4%0.0%1.6%3.8K41.7K-2.0K8.0024.79N/AN/A181,218930
2013-04-23$5.12$5.0041.7%12.0%19.0%7.6%41.8%0.0%2.2%3.8K-12.0K-2.0K125.0025.20N/AN/A81,0001,219938
2013-04-24$5.35$5.0040.4%11.6%24.2%6.7%0.0%0.0%8.4%-13.9K38.7K-2.5K0.0034.67N/AN/A2901,2261,938
2013-04-25$5.37$5.0035.7%10.2%24.2%3.9%0.0%0.0%3.2%-13.8K-5.1K-2.4K0.0020.64N/AN/A001,2361,938
2013-04-26$5.39$5.0038.6%11.1%24.2%5.7%0.0%0.0%-13.8%-10.0K22.3K-2.5K0.0019.11N/AN/A041,2361,938
2013-04-29$5.35$5.0030.9%8.9%24.0%1.1%0.0%0.0%-5.0%-13.9K-7.9K-2.3K0.0022.97N/AN/A2001,2361,942
2013-04-30$5.37$5.0030.7%8.8%24.0%1.0%0.0%0.0%-2.1%-12.0K-29.1K-2.2K0.0220.22N/AN/A50191,2441,942