VICR Options History — December 2013

In December 2013, VICR traded between $10.88 and $13.94. ATM implied volatility averaged 33.0%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 3.7% (HV 20d: 36.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2013-12-06: Highest Volume — 187 contracts
  • 2013-12-31: Largest IV spike — 79.9% change
  • 2013-12-31: Highest IV Rank — 35.1%
  • 2013-12-31: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.36$10.88$13.94$10.88$13.42
Max Pain$7.98$7.50$10.00$10.00$7.50
ATM IV33.0%21.7%81.5%26.8%81.5%
Expected Move10.0%7.0%23.4%7.7%23.4%
HV 20d36.7%32.5%42.1%32.7%40.2%
HV 60d43.6%41.7%45.5%41.7%44.4%
IV Rank7.0%0.5%35.1%3.4%35.1%
IV Percentile22.1%0.4%96.4%3.2%96.4%
Term Structure6.9%-11.9%17.8%12.2%17.8%
VWIV41.6%25.4%84.0%25.4%51.6%
Skew 25d6.7%-59.4%69.8%3.7%69.8%
Skew 10d12.1%-64.5%120.8%4.5%40.2%
Call IV 25d36.2%22.5%86.2%34.3%32.4%
Put IV 25d42.9%26.9%102.3%38.0%102.3%
Bid-Ask Spread %52.4111.22136.9737.33106.92
Gamma HHI0.610.420.710.650.55
Net GEX4.8K1.3K9.0K9.0K2.3K
Net DEX-1.1M-1.4M-797.4K-797.4K-1.2M
Net VEX-1.8K-2.2K-1.5K-2.2K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.004.000.000.00
Total Volume49.61901871120
Total OI1,554.7141,4551,6131,4841,573

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$10.88$10.0026.8%7.7%32.7%3.4%0.0%3.7%12.2%9.0K-797.4K-2.2K0.0037.33N/AN/A1101,128356
2013-12-03$11.05$10.0029.3%8.4%32.5%4.9%0.0%6.7%14.7%8.1K-840.1K-2.2K0.0037.82N/AN/A4001,137356
2013-12-04$11.46$10.0025.1%7.2%33.5%2.4%25.4%4.7%12.1%7.1K-962.2K-2.2K0.1011.22N/AN/A100101,177356
2013-12-05$11.36$10.0029.1%8.3%34.3%4.7%0.0%5.8%9.9%7.1K-909.7K-2.1K0.0012.68N/AN/A11101,150366
2013-12-06$11.87$7.5021.7%9.8%35.7%0.5%33.5%9.1%3.2%3.4K-992.0K-1.8K0.0021.04N/AN/A18701,089366
2013-12-09$12.12$7.5025.9%9.4%35.8%2.9%0.0%0.2%4.6%6.5K-1.2M-1.9K0.0036.09N/AN/A5601,222366
2013-12-10$11.90$7.5024.0%9.7%35.2%1.8%47.1%-1.8%3.3%6.9K-1.1M-2.0K0.0034.35N/AN/A301,247366
2013-12-11$11.87$7.5024.7%9.3%35.7%2.2%28.7%-1.9%6.0%6.8K-1.1M-2.0K0.0034.50N/AN/A5801,246366
2013-12-12$11.98$7.5032.7%9.4%35.5%6.8%0.0%-0.5%5.4%6.1K-1.1M-1.9K0.0034.98N/AN/A301,218366
2013-12-13$12.01$7.5033.6%9.6%35.1%7.4%28.8%-1.9%4.5%5.9K-1.1M-1.9K0.0014.30N/AN/A10801,215366
2013-12-16$12.40$7.5034.1%9.8%35.5%7.6%34.1%14.8%3.2%3.9K-1.2M-1.6K4.0023.32N/AN/A15601,154366
2013-12-17$12.12$7.5033.6%9.6%35.0%7.3%33.5%13.3%3.7%4.1K-1.0M-1.8K0.0025.80N/AN/A1001,159416
2013-12-18$12.10$7.5033.3%9.5%35.5%7.2%0.0%-0.2%4.0%4.5K-1.1M-1.7K0.0018.26N/AN/A001,169416
2013-12-19$11.98$7.5033.7%9.7%36.2%7.4%29.5%-1.5%4.0%5.5K-1.0M-1.8K0.0014.38N/AN/A9001,162406
2013-12-20$12.87$7.5033.5%9.6%41.3%7.3%0.0%54.6%4.7%3.5K-1.2M-1.5K3.3317.66N/AN/A6201,141406
2013-12-23$13.43$7.5024.5%7.0%42.1%2.1%84.0%-38.5%13.9%1.3K-1.2M-1.6K0.21122.77N/AN/A100211,075426
2013-12-24$13.63$7.5030.3%8.7%42.1%5.4%0.0%-59.4%2.1%2.6K-1.3M-1.7K0.00121.68N/AN/A201,175409
2013-12-26$13.94$7.5030.0%8.6%39.3%5.2%0.0%62.8%11.8%1.9K-1.4M-1.6K0.00115.45N/AN/A001,173409
2013-12-27$13.73$7.5041.4%11.9%38.3%11.9%61.8%6.7%-11.9%2.0K-1.3M-1.7K0.00123.13N/AN/A1101,173409
2013-12-30$13.46$7.5045.3%13.0%39.9%14.1%0.0%-6.4%15.6%2.2K-1.3M-1.7K0.00136.97N/AN/A001,164409
2013-12-31$13.42$7.5081.5%23.4%40.2%35.1%51.6%69.8%17.8%2.3K-1.2M-1.8K0.00106.92N/AN/A2001,164409