VICR Options History — July 2013

In July 2013, VICR traded between $6.58 and $8.92. ATM implied volatility averaged 41.1%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 13.9% (HV 20d: 55.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.07.

Notable Days

  • 2013-07-24: Highest Volume — 304 contracts
  • 2013-07-25: Largest IV spike — 148.4% change
  • 2013-07-25: Highest IV Rank — 23.4%
  • 2013-07-25: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.62$6.58$8.92$6.83$8.29
Max Pain$7.16$5.00$7.50$5.00$7.50
ATM IV41.1%24.9%62.0%36.6%39.2%
Expected Move11.7%7.2%17.8%10.5%11.2%
HV 20d55.0%47.3%59.6%54.5%50.3%
HV 60d43.4%39.9%47.8%39.9%47.8%
IV Rank11.5%2.3%23.4%8.9%10.4%
IV Percentile39.4%0.8%90.1%25.0%33.3%
Term Structure-3.0%-19.3%12.0%3.1%-19.3%
VWIV39.5%26.2%45.2%40.7%39.2%
Skew 25d12.2%-13.0%27.5%27.5%13.8%
Skew 10d22.1%0.5%52.2%48.4%20.8%
Call IV 25d29.9%21.1%39.9%27.9%22.6%
Put IV 25d42.1%26.9%59.2%55.5%36.4%
Bid-Ask Spread %52.3018.14116.3569.7624.56
Gamma HHI0.620.450.880.500.49
Net GEX-4.7K-17.6K2.7K-3.8K439
Net DEX-376.5K-579.7K-142.2K-406.4K-261.7K
Net VEX-1.3K-1.6K-919-1.3K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.070.0020.004.1320.00
Total Volume53.0910304410
Total OI2,507.8181,8672,9852,6172,178

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$6.83$5.0036.6%10.5%54.5%8.9%0.0%0.0%3.1%-3.8K-406.4K-1.3K4.1369.76N/AN/A8331,3511,266
2013-07-02$6.58$5.0041.8%12.0%56.6%11.9%0.0%0.0%9.0%-4.7K-323.8K-9360.0029.65N/AN/A0661,3591,299
2013-07-03$6.64$5.0039.4%11.3%56.4%10.5%0.0%0.0%-5.5%-5.0K-287.4K-9190.0021.82N/AN/A001,3591,365
2013-07-05$6.81$7.5035.0%11.1%56.6%8.0%0.0%0.0%-3.8%-4.7K-333.2K-1.1K0.0044.54N/AN/A001,3591,365
2013-07-08$6.85$7.5031.6%12.2%56.2%6.1%0.0%0.0%-4.9%-4.0K-324.5K-1.1K0.0025.62N/AN/A001,3591,365
2013-07-09$7.21$7.5054.3%10.5%57.6%19.0%0.0%0.0%1.9%-1.7K-450.9K-9450.0048.05N/AN/A001,3591,365
2013-07-10$7.39$7.5044.9%11.3%57.2%13.6%40.7%0.0%2.4%-5.2K-496.5K-9541.2526.90N/AN/A16201,3591,365
2013-07-11$7.55$7.5040.4%11.6%56.0%11.1%39.0%0.0%-0.8%-6.5K-458.3K-9760.0018.14N/AN/A2901,2551,375
2013-07-12$7.25$7.5045.1%12.9%59.6%13.8%45.1%0.0%-4.8%-5.8K-363.0K-1.1K0.5126.93N/AN/A107551,2661,375
2013-07-15$7.44$7.5039.2%11.2%57.2%10.4%38.8%0.0%-0.3%-9.2K-423.1K-1.2K1.1623.57N/AN/A19221,3341,430
2013-07-16$7.43$7.5040.7%11.7%57.0%11.3%0.0%0.0%-2.0%-8.8K-421.1K-1.3K0.0057.06N/AN/A001,3531,452
2013-07-17$7.46$7.5044.0%12.6%57.0%13.1%0.0%0.0%-5.1%-15.8K-425.8K-1.2K0.0019.23N/AN/A20001,3531,452
2013-07-18$7.58$7.5041.9%12.0%56.2%11.9%41.6%0.0%-1.6%-17.6K-572.3K-1.6K0.0048.03N/AN/A0131,5201,452
2013-07-19$7.63$7.5040.7%11.7%55.4%11.3%0.0%0.0%0.5%-11.8K-579.7K-1.6K0.00116.35N/AN/A001,5201,465
2013-07-22$7.80$7.5042.2%12.1%48.3%12.1%0.0%27.5%-1.0%2.7K-200.8K-1.4K0.0042.36N/AN/A01147161,151
2013-07-23$7.84$7.5045.4%13.0%47.3%13.9%45.2%26.7%-3.2%1.0K-142.2K-1.6K0.0993.44N/AN/A110107161,265
2013-07-24$8.73$7.5024.9%7.2%56.9%2.3%26.2%0.3%4.6%-1.1K-419.9K-1.2K0.5137.40N/AN/A2011037971,264
2013-07-25$8.92$7.5062.0%17.8%52.8%23.4%0.0%-13.0%12.0%-2.4K-429.8K-1.2K0.0093.58N/AN/A008201,317
2013-07-26$8.55$7.5038.3%11.0%55.9%9.9%39.2%3.5%-14.8%99-346.8K-1.6K20.00108.47N/AN/A1208201,317
2013-07-29$8.46$7.5041.1%11.8%52.4%11.5%0.0%22.1%-16.9%44-313.2K-1.5K0.0093.24N/AN/A008201,337
2013-07-30$8.39$7.5035.6%10.2%52.6%8.3%0.0%16.5%-15.8%354-303.0K-1.6K0.0081.77N/AN/A0218201,337
2013-07-31$8.29$7.5039.2%11.2%50.3%10.4%0.0%13.8%-19.3%439-261.7K-1.6K0.0024.56N/AN/A008201,358