VICR Options History — January 2014

In January 2014, VICR traded between $10.33 and $13.72. ATM implied volatility averaged 74.3%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 30.3% (HV 20d: 44.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2014-01-06: Highest Volume — 542 contracts
  • 2014-01-10: Largest IV spike — 284.4% change
  • 2014-01-10: Highest IV Rank — 84.8%
  • 2014-01-17: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.41$10.33$13.72$12.72$10.33
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV74.3%41.0%167.6%41.0%66.2%
Expected Move16.4%10.3%26.1%11.8%19.0%
HV 20d44.0%34.9%51.2%46.1%51.2%
HV 60d44.0%39.4%47.1%45.8%45.8%
IV Rank30.9%11.6%84.8%11.6%26.2%
IV Percentile85.5%57.5%99.6%57.5%90.5%
Term Structure-22.4%-80.8%16.3%-10.6%-52.7%
VWIV55.8%55.8%55.8%55.8%55.8%
Skew 25d6.5%-33.9%49.3%-12.2%3.6%
Skew 10d22.2%-17.2%81.3%-0.8%4.7%
Call IV 25d47.9%25.4%105.3%50.7%54.1%
Put IV 25d54.4%30.1%112.2%38.5%57.7%
Bid-Ask Spread %119.8675.47143.32113.66126.52
Gamma HHI0.470.340.790.790.44
Net GEX9.6K1.3K17.0K5.4K9.1K
Net DEX-745.9K-1.6M90.8K-1.1M90.8K
Net VEX-3.2K-4.7K-1.7K-1.8K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.003.750.160.00
Total Volume64054229255
Total OI1,794.7141,4492,3071,5931,619

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$12.72$7.5041.0%11.8%46.1%11.6%55.8%-12.2%-10.6%5.4K-1.1M-1.8K0.16113.66N/AN/A252401,184409
2014-01-03$13.09$7.5077.3%22.2%45.5%32.6%0.0%16.6%-32.3%1.9K-989.6K-1.8K0.00123.82N/AN/A001,065449
2014-01-06$13.45$0.0044.6%11.7%45.7%13.7%0.0%-4.5%-7.8%1.3K-1.1M-1.7K0.00115.39N/AN/A54201,065449
2014-01-07$13.57$0.0069.1%10.8%43.7%27.9%0.0%2.9%-6.8%16.0K-1.6M-4.7K0.00121.08N/AN/A201,856449
2014-01-08$13.68$0.0046.9%10.3%43.4%15.0%0.0%3.5%4.4%15.9K-1.6M-4.7K0.00107.85N/AN/A2001,858449
2014-01-09$13.72$0.0043.6%16.7%42.5%13.1%0.0%-3.4%-42.8%11.0K-1.5M-3.7K0.00127.27N/AN/A701,623449
2014-01-10$13.46$0.00167.6%17.2%43.4%84.8%0.0%8.7%-39.3%11.5K-1.4M-3.8K0.00132.53N/AN/A001,622449
2014-01-13$12.84$0.00165.2%11.7%47.3%83.5%0.0%30.3%-2.3%11.7K-1.2M-3.6K3.75111.23N/AN/A16601,622449
2014-01-14$12.77$0.0058.2%11.3%47.4%21.6%0.0%10.5%-1.4%12.7K-1.1M-3.7K0.00107.27N/AN/A201,620509
2014-01-15$12.64$0.00118.9%11.3%46.4%56.7%0.0%7.2%-3.2%11.0K-1.0M-3.5K0.00124.54N/AN/A0201,572509
2014-01-16$12.57$0.0063.6%18.2%45.6%24.7%0.0%28.1%-33.8%17.0K-995.7K-3.5K0.00121.99N/AN/A0201,572529
2014-01-17$12.23$0.0090.9%26.1%46.8%40.5%0.0%28.9%-54.2%14.5K-859.2K-3.4K0.28133.19N/AN/A108301,572549
2014-01-21$12.38$0.0064.3%18.4%46.8%25.1%0.0%-2.3%-14.6%6.9K-289.7K-3.4K0.00126.45N/AN/A3001,032417
2014-01-22$12.29$0.0087.4%25.1%38.8%38.5%0.0%6.9%-45.9%7.3K-279.5K-3.4K0.00143.32N/AN/A201,062417
2014-01-23$11.98$0.0046.2%13.3%35.8%14.6%0.0%49.3%-5.4%7.7K-212.1K-3.2K0.00123.18N/AN/A001,064417
2014-01-24$11.55$0.0074.0%21.2%36.5%30.7%0.0%-8.0%-13.2%7.9K-123.5K-2.8K0.00125.90N/AN/A3501,064417
2014-01-27$11.30$0.0041.2%11.8%34.9%11.7%0.0%-3.8%0.5%8.2K-100.2K-2.8K0.00113.82N/AN/A0421,099417
2014-01-28$11.89$0.0050.9%14.6%41.1%17.4%0.0%14.1%16.3%7.3K-162.2K-3.2K0.0075.47N/AN/A5001,099459
2014-01-29$11.06$0.0065.5%18.8%47.0%25.8%0.0%-33.9%-44.3%8.9K-23.8K-2.7K0.00120.88N/AN/A1101,149459
2014-01-30$11.17$0.0078.1%22.4%47.5%33.1%0.0%-5.1%-80.8%9.0K-47.4K-2.8K0.00121.77N/AN/A001,160459
2014-01-31$10.33$0.0066.2%19.0%51.2%26.2%0.0%3.6%-52.7%9.1K90.8K-2.2K0.00126.52N/AN/A5501,160459