VICR Options History — August 2013

In August 2013, VICR traded between $7.65 and $8.62. ATM implied volatility averaged 42.4%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 1.3% (HV 20d: 41.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-08-12: Highest Volume — 206 contracts
  • 2013-08-20: Largest IV spike — 100.5% change
  • 2013-08-14: Highest IV Rank — 31.4%
  • 2013-08-20: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.21$7.65$8.62$8.40$7.81
Max Pain$9.55$7.50$10.00$7.50$7.50
ATM IV42.4%26.8%76.1%37.5%39.9%
Expected Move10.3%6.9%17.9%10.7%11.4%
HV 20d41.1%27.8%50.4%50.3%33.2%
HV 60d47.5%46.0%48.1%47.8%48.1%
IV Rank12.3%3.4%31.4%9.4%10.8%
IV Percentile41.8%1.2%96.8%28.2%36.1%
Term Structure-2.9%-84.3%15.6%-15.1%-0.3%
Skew 25d7.3%-7.5%35.3%15.8%25.3%
Skew 10d24.8%-6.6%81.3%19.9%70.5%
Call IV 25d31.1%22.5%50.2%23.0%36.8%
Put IV 25d38.4%21.4%71.8%38.8%62.1%
Bid-Ask Spread %58.4213.25125.6019.9025.40
Gamma HHI0.550.410.800.460.70
Net GEX-897-1.8K439233-1.1K
Net DEX-217.9K-365.1K-17.6K-272.8K-63.5K
Net VEX-1.4K-1.5K-1.3K-1.5K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume20.909020600
Total OI2,033.1821,8892,1782,1781,906

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$8.40$7.5037.5%10.7%50.3%9.4%0.0%15.8%-15.1%233-272.8K-1.5K0.0019.90N/AN/A008201,358
2013-08-02$8.37$7.5034.7%9.9%50.3%7.9%0.0%12.5%-1.6%439-271.0K-1.5K0.0022.86N/AN/A008201,358
2013-08-05$8.53$10.0047.3%9.9%50.4%15.0%0.0%11.6%8.7%-313-358.8K-1.4K0.0033.83N/AN/A008201,285
2013-08-06$8.48$10.0038.6%8.5%48.3%10.1%0.0%-2.5%-8.0%-347-364.1K-1.5K0.0020.13N/AN/A0608201,285
2013-08-07$8.58$10.0042.8%10.3%48.0%12.5%0.0%14.2%2.5%-856-359.1K-1.4K0.0046.29N/AN/A008151,316
2013-08-08$8.62$10.0039.3%9.5%47.7%10.5%0.0%-1.5%0.4%-1.4K-365.1K-1.5K0.0014.69N/AN/A008151,316
2013-08-09$8.44$10.0047.0%10.2%45.6%14.8%0.0%-3.0%-14.0%-248-341.9K-1.4K0.0021.81N/AN/A008151,316
2013-08-12$8.48$10.0047.3%6.9%45.1%15.0%0.0%2.2%4.8%-778-333.7K-1.4K0.0013.25N/AN/A20608151,316
2013-08-13$8.54$10.0053.6%7.6%45.0%18.6%0.0%0.0%-0.1%-982-340.8K-1.3K0.00111.20N/AN/A008091,316
2013-08-14$8.47$10.0076.1%7.6%45.3%31.4%0.0%-1.6%9.2%-718-334.0K-1.4K0.0020.39N/AN/A4408091,316
2013-08-15$8.28$10.0026.8%7.7%46.3%3.4%0.0%-0.1%8.5%-925-296.7K-1.4K0.0081.34N/AN/A0167941,316
2013-08-16$8.22$10.0033.3%9.5%46.5%7.0%0.0%8.7%13.5%-1.2K-271.3K-1.4K0.0034.28N/AN/A8007941,332
2013-08-19$8.17$10.0031.1%8.9%46.1%5.8%0.0%3.8%-9.6%-1.1K-141.8K-1.4K0.0094.59N/AN/A0206461,243
2013-08-20$8.09$10.0062.4%17.9%46.2%23.7%0.0%8.9%-84.3%-1.3K-115.7K-1.4K0.00125.60N/AN/A606461,263
2013-08-21$7.74$10.0043.5%12.5%27.8%12.9%0.0%7.3%-2.7%-1.1K-77.8K-1.4K0.00117.58N/AN/A0186461,263
2013-08-22$8.07$10.0048.0%13.8%31.2%15.4%0.0%3.1%-14.0%-1.8K-129.7K-1.4K0.00115.39N/AN/A006461,281
2013-08-23$7.92$10.0034.0%9.7%28.5%7.5%0.0%7.8%10.8%-1.4K-92.5K-1.4K0.0048.97N/AN/A006461,281
2013-08-26$8.02$10.0030.8%8.8%28.9%5.6%0.0%-7.5%15.6%-1.4K-97.2K-1.4K0.00113.27N/AN/A006461,281
2013-08-27$7.77$10.0037.0%10.6%30.7%9.1%0.0%6.8%6.8%-1.4K-58.3K-1.3K0.0099.94N/AN/A1006461,281
2013-08-28$7.65$10.0037.9%10.9%30.8%9.7%0.0%35.3%2.4%-953-17.6K-1.3K0.0022.70N/AN/A006461,281
2013-08-29$7.91$7.5044.5%12.8%33.1%13.5%0.0%6.0%2.4%-1.2K-89.5K-1.3K0.0081.75N/AN/A006461,260
2013-08-30$7.81$7.5039.9%11.4%33.2%10.8%0.0%25.3%-0.3%-1.1K-63.5K-1.3K0.0025.40N/AN/A006461,260