VICR Options History — October 2013

In October 2013, VICR traded between $7.53 and $9.36. ATM implied volatility averaged 43.9%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 4.9% (HV 20d: 39.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.40.

Notable Days

  • 2013-10-23: Highest Volume — 213 contracts
  • 2013-10-08: Largest IV spike — 176.6% change
  • 2013-10-08: Highest IV Rank — 100.0%
  • 2013-10-30: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.31$7.53$9.36$8.47$8.81
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV43.9%23.7%115.3%31.1%35.4%
Expected Move11.9%6.8%23.8%8.9%10.2%
HV 20d39.0%23.3%57.4%23.3%56.3%
HV 60d36.5%28.4%40.7%37.8%40.7%
IV Rank26.3%3.0%100.0%16.7%15.4%
IV Percentile43.8%0.8%100.0%7.9%27.4%
Term Structure0.0%-33.1%13.6%11.0%1.8%
VWIV32.5%20.8%44.2%44.2%20.8%
Skew 25d9.8%-72.0%37.5%17.6%-37.5%
Skew 10d17.5%-74.1%74.2%44.7%-74.1%
Call IV 25d43.0%21.2%137.2%25.8%91.0%
Put IV 25d52.8%29.9%124.1%43.4%53.4%
Bid-Ask Spread %46.5214.98163.6416.53150.75
Gamma HHI0.680.450.890.470.45
Net GEX-926-10.8K7.6K1.1K5.9K
Net DEX-140.5K-323.9K48.5K-104.0K-257.8K
Net VEX-1.0K-1.5K-681-1.0K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.002.000.000.00
Total Volume15.7390213050
Total OI1,619.2177102,1752,175969

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$8.47$7.5031.1%8.9%23.3%16.7%0.0%17.6%11.0%1.1K-104.0K-1.0K0.0016.53N/AN/A006991,476
2013-10-02$8.28$7.5038.9%11.2%25.1%29.4%0.0%18.6%-16.8%-2.0K-68.9K-1.1K0.0022.00N/AN/A006991,476
2013-10-03$7.98$7.5037.1%10.6%28.6%26.5%0.0%15.1%-7.2%-4.3K5.2K-1.1K0.0058.88N/AN/A006991,476
2013-10-04$7.94$0.0030.6%11.8%28.6%15.8%0.0%23.8%10.5%-7.3K-160.6K-1.3K0.0025.67N/AN/A006991,350
2013-10-07$7.78$0.0041.7%12.0%29.4%34.0%0.0%34.4%-0.8%-3.5K-10.6K-1.1K0.0014.98N/AN/A0266991,350
2013-10-08$7.53$0.00115.3%12.8%31.4%100.0%0.0%5.5%-2.3%-10.3K48.5K-1.0K0.0026.37N/AN/A006991,376
2013-10-09$7.54$0.0035.6%12.1%31.5%15.6%0.0%8.8%1.4%-10.8K21.9K-1.0K0.0024.07N/AN/A006991,376
2013-10-10$7.86$0.0043.6%12.5%35.1%24.1%0.0%-72.0%-1.2%-7.7K-84.0K-8810.0044.78N/AN/A006991,376
2013-10-11$7.96$0.0044.9%12.9%35.2%25.4%0.0%26.1%-3.9%-5.0K-114.1K-9000.0027.19N/AN/A006991,376
2013-10-14$7.97$0.0050.9%14.6%34.8%31.7%0.0%37.5%11.0%-3.5K-122.9K-7820.0057.72N/AN/A006991,376
2013-10-15$7.88$0.0043.0%12.3%35.0%23.4%0.0%10.1%-2.3%-5.1K-135.6K-8240.0021.37N/AN/A006991,376
2013-10-16$7.90$0.0041.5%11.9%34.8%21.9%0.0%8.5%-2.2%-5.5K-119.7K-8100.0023.36N/AN/A806991,376
2013-10-17$7.88$0.0041.4%11.9%34.1%21.7%0.0%8.5%-0.6%-4.3K-125.1K-7800.0016.32N/AN/A006891,376
2013-10-18$7.89$0.0040.4%11.6%33.9%20.7%0.0%7.0%-0.3%-2.8K-133.3K-7620.0027.13N/AN/A006891,376
2013-10-21$7.87$0.0044.3%12.7%31.9%24.7%0.0%8.9%-5.2%4.0K-49.7K-6960.0024.56N/AN/A00499211
2013-10-22$7.99$0.0044.4%12.7%31.8%24.9%44.2%15.9%-4.2%4.3K-46.5K-6810.0024.98N/AN/A490499211
2013-10-23$9.10$7.5048.4%13.9%57.0%29.2%0.0%8.7%-33.1%4.8K-199.9K-7730.0095.06N/AN/A2130539211
2013-10-24$9.33$7.5023.7%6.8%57.4%3.0%0.0%30.0%13.0%7.6K-311.1K-1.3K2.00132.87N/AN/A510742211
2013-10-25$9.23$7.5025.4%7.3%56.4%4.8%0.0%6.1%13.6%5.6K-316.4K-1.5K0.0023.92N/AN/A00747221
2013-10-28$9.28$7.5037.0%10.6%56.1%17.1%0.0%-7.5%-6.1%5.8K-306.8K-1.4K0.0030.45N/AN/A00747221
2013-10-29$9.36$7.5032.8%9.4%55.1%12.6%0.0%23.7%11.1%5.8K-323.9K-1.4K0.0017.40N/AN/A00747221
2013-10-30$9.29$7.5083.1%23.8%54.4%65.9%20.8%26.8%13.6%5.8K-316.9K-1.4K0.00163.64N/AN/A10747221
2013-10-31$8.81$7.5035.4%10.2%56.3%15.4%0.0%-37.5%1.8%5.9K-257.8K-1.3K0.00150.75N/AN/A050748221