VICR Options History — November 2013

In November 2013, VICR traded between $8.55 and $10.81. ATM implied volatility averaged 58.5%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 28.0%. IV traded above realized volatility by 9.7% (HV 20d: 48.8%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.43.

Notable Days

  • 2013-11-26: Highest Volume — 224 contracts
  • 2013-11-18: Largest IV spike — 368.5% change
  • 2013-11-14: Highest IV Rank — 100.0%
  • 2013-11-14: Largest Expected Move — 55.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.32$8.55$10.81$8.55$10.81
Max Pain$9.17$7.50$10.00$7.50$10.00
ATM IV58.5%24.5%193.8%27.2%24.5%
Expected Move28.0%7.0%55.6%27.9%7.0%
HV 20d48.8%33.0%57.6%57.6%36.0%
HV 60d40.7%39.1%41.8%41.2%41.8%
IV Rank24.7%2.1%100.0%6.7%2.1%
IV Percentile46.1%1.2%100.0%3.2%1.2%
Term Structure-17.7%-133.1%15.5%-4.1%15.5%
VWIV31.1%31.1%31.1%31.1%31.1%
Skew 25d-21.8%-99.0%73.6%73.6%0.1%
Skew 10d-33.2%-100.9%111.4%12.6%-1.4%
Call IV 25d74.2%24.4%137.0%67.4%25.8%
Put IV 25d52.4%25.9%141.0%141.0%25.9%
Bid-Ask Spread %144.1022.07168.20162.8239.94
Gamma HHI0.440.340.680.450.68
Net GEX5.5K2.6K9.6K6.7K9.6K
Net DEX-277.9K-771.0K-148.4K-158.0K-771.0K
Net VEX-1.5K-2.3K-1.1K-1.2K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.0010.000.000.00
Total Volume30.9502242010
Total OI1,089.351,0041,4941,0041,494

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$8.55$7.5027.2%0.0%57.6%6.7%0.0%73.6%-4.1%6.7K-158.0K-1.2K0.00162.82N/AN/A020748256
2013-11-04$8.76$0.0036.1%27.9%57.3%16.1%0.0%-20.7%8.8%6.3K-148.4K-1.1K0.00166.48N/AN/A00748276
2013-11-05$8.94$0.0027.0%28.8%55.6%6.5%0.0%-45.6%-4.3%5.7K-212.1K-1.3K0.00166.51N/AN/A00748276
2013-11-06$8.99$0.0027.3%29.1%55.6%6.7%0.0%1.3%0.6%5.0K-229.5K-1.5K0.00162.51N/AN/A00748276
2013-11-07$8.98$0.0036.3%21.0%54.3%16.3%0.0%-41.5%1.5%5.1K-228.9K-1.4K0.00167.99N/AN/A00748276
2013-11-08$9.11$0.0027.7%30.1%54.3%7.2%0.0%-51.7%-3.2%4.5K-255.3K-1.5K0.00165.06N/AN/A020748276
2013-11-11$8.90$0.0041.2%46.1%55.3%21.5%0.0%-52.5%0.0%5.3K-202.1K-1.4K0.00167.45N/AN/A00748296
2013-11-12$9.05$0.0041.1%54.2%55.1%21.4%0.0%-48.5%0.0%5.4K-210.5K-1.3K0.00167.66N/AN/A00748296
2013-11-13$9.07$0.0046.7%42.3%55.1%27.3%0.0%-69.9%-133.1%5.3K-211.4K-1.3K0.00165.97N/AN/A00748296
2013-11-14$9.04$0.00193.8%55.6%55.1%100.0%0.0%-82.7%-28.1%5.4K-205.4K-1.3K0.00167.45N/AN/A400748296
2013-11-15$9.27$0.0029.7%8.5%55.4%5.1%0.0%2.5%1.1%4.8K-223.4K-1.3K0.00148.56N/AN/A020716296
2013-11-18$9.03$0.00139.0%39.9%56.7%68.3%0.0%25.2%-111.2%6.9K-204.6K-1.3K0.00151.07N/AN/A020707316
2013-11-19$9.16$0.0089.5%0.0%56.7%39.7%0.0%-83.6%0.0%3.3K-197.2K-1.6K0.00167.03N/AN/A00707336
2013-11-20$9.17$0.0092.9%0.0%33.0%41.6%0.0%-99.0%0.0%2.6K-262.0K-1.7K0.00168.20N/AN/A00707336
2013-11-21$9.47$0.0096.4%0.0%33.8%43.7%0.0%-17.7%0.0%4.9K-204.7K-1.4K0.00166.01N/AN/A20707336
2013-11-22$9.50$0.0092.4%0.0%33.5%41.4%0.0%-1.5%0.0%3.0K-242.9K-1.6K10.00167.37N/AN/A220708336
2013-11-25$9.63$0.0035.1%10.1%33.8%8.2%0.0%19.5%-0.7%4.0K-228.4K-1.5K0.00163.87N/AN/A2000710356
2013-11-26$10.21$0.0031.1%8.9%39.3%5.9%31.1%54.0%5.9%6.5K-446.4K-2.0K0.0022.07N/AN/A2240910356
2013-11-27$10.75$10.0036.0%10.3%42.4%8.7%0.0%2.3%4.0%9.0K-717.0K-2.3K0.0028.01N/AN/A4101,097356
2013-11-29$10.81$10.0024.5%7.0%36.0%2.1%0.0%0.1%15.5%9.6K-771.0K-2.3K0.0039.94N/AN/A1001,138356