VICR Options History — May 2013

In May 2013, VICR traded between $5.22 and $5.84. ATM implied volatility averaged 44.9%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 16.5% (HV 20d: 28.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.43.

Notable Days

  • 2013-05-22: Highest Volume — 240 contracts
  • 2013-05-20: Largest IV spike — 115.5% change
  • 2013-05-15: Highest IV Rank — 32.4%
  • 2013-05-29: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.49$5.22$5.84$5.22$5.39
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV44.9%22.6%82.1%32.5%33.2%
Expected Move11.3%6.5%20.2%9.3%9.5%
HV 20d28.4%25.2%33.0%26.2%33.0%
HV 60d34.2%33.2%36.0%33.2%36.0%
IV Rank11.5%0.0%32.4%2.0%6.1%
IV Percentile38.3%0.0%97.6%4.8%9.5%
Term Structure-16.2%-86.0%10.8%-3.3%-11.9%
VWIV25.3%25.3%25.3%25.3%25.3%
Bid-Ask Spread %62.5918.74144.1118.7441.20
Gamma HHI0.820.510.950.950.87
Net GEX-3.8K-17.9K7.0K-14.9K7.0K
Net DEX-76.2K-231.7K120.0K120.0K-70.1K
Net VEX-1.7K-2.3K-1.2K-2.3K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.430.006.802.736.80
Total Volume18.40902405039
Total OI2,7552,1383,1653,1272,191

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$5.22$5.0032.5%9.3%26.2%2.0%0.0%0.0%-3.3%-14.9K120.0K-2.3K0.0018.74N/AN/A0501,1851,942
2013-05-02$5.30$5.0028.6%8.2%26.5%0.0%25.3%0.0%6.6%-17.9K42.9K-2.2K0.0034.25N/AN/A011,1581,978
2013-05-03$5.36$5.0027.4%7.8%26.2%0.0%0.0%0.0%7.6%-12.7K-14.4K-2.1K2.7319.07N/AN/A11301,1581,979
2013-05-06$5.43$5.0031.7%10.8%26.4%2.6%0.0%0.0%1.3%-8.7K-36.9K-1.9K0.0047.76N/AN/A001,1581,999
2013-05-07$5.40$5.0030.3%9.6%26.4%1.7%0.0%0.0%7.2%-9.2K-34.3K-1.9K0.0041.75N/AN/A001,1581,999
2013-05-08$5.39$5.0032.2%9.6%26.4%2.9%0.0%0.0%8.9%-9.7K-27.3K-1.9K0.0078.63N/AN/A001,1581,999
2013-05-09$5.37$5.0034.9%11.1%26.5%4.4%0.0%0.0%-1.2%-11.7K-29.7K-1.9K0.0022.72N/AN/A001,1581,999
2013-05-10$5.38$5.0041.2%8.7%25.5%8.2%0.0%0.0%8.8%-10.7K-10.7K-1.9K0.0040.93N/AN/A081,1581,999
2013-05-13$5.35$5.0064.7%10.2%25.2%22.1%0.0%0.0%3.7%-14.1K35.9K-1.9K0.0026.20N/AN/A001,1582,007
2013-05-14$5.35$5.0078.3%10.3%25.2%30.1%0.0%0.0%4.9%-14.8K38.3K-1.9K0.0046.75N/AN/A001,1582,007
2013-05-15$5.58$5.0082.1%7.4%28.4%32.4%0.0%0.0%10.8%-4.7K-94.0K-1.7K0.0041.69N/AN/A001,1582,007
2013-05-16$5.57$5.0022.6%6.5%28.5%0.0%0.0%0.0%0.0%5.2K-188.4K-1.6K0.00144.11N/AN/A001,1581,996
2013-05-17$5.74$5.0031.6%9.1%29.4%5.2%0.0%0.0%-9.0%6.5K-222.6K-1.5K0.00127.52N/AN/A001,1581,996
2013-05-20$5.79$5.0068.1%19.5%29.3%26.1%0.0%0.0%-86.0%117-231.7K-1.2K0.0086.39N/AN/A0211,142996
2013-05-21$5.84$5.0051.2%14.7%26.8%16.4%0.0%0.0%-34.4%402-192.9K-1.4K0.0072.90N/AN/A001,1421,017
2013-05-22$5.51$5.0034.9%10.0%31.9%7.1%0.0%0.0%-2.9%4.9K-151.4K-1.6K0.2045.47N/AN/A200401,1421,017
2013-05-23$5.51$5.0063.7%18.3%31.9%23.6%0.0%0.0%-79.5%6.0K-128.5K-1.6K0.0088.29N/AN/A001,1391,057
2013-05-24$5.54$5.0046.4%13.3%31.9%13.7%0.0%0.0%-45.8%4.5K-131.9K-1.5K0.00119.06N/AN/A001,1391,057
2013-05-28$5.52$5.0052.8%15.1%31.8%17.3%0.0%0.0%-44.7%5.8K-154.3K-1.5K0.0084.57N/AN/A001,1391,057
2013-05-29$5.54$5.0070.6%20.2%31.8%27.6%0.0%0.0%-64.9%1.7K-76.8K-1.7K0.00119.47N/AN/A501,1391,057
2013-05-30$5.60$5.0029.0%8.3%29.9%3.7%0.0%0.0%-15.7%3.1K-116.7K-1.5K0.0029.55N/AN/A001,1341,057
2013-05-31$5.39$5.0033.2%9.5%33.0%6.1%0.0%0.0%-11.9%7.0K-70.1K-1.6K6.8041.20N/AN/A5341,1341,057