VICR Options History — March 2014

In March 2014, VICR traded between $9.81 and $11.44. ATM implied volatility averaged 61.0%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 12.2% (HV 20d: 48.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-03-14: Highest Volume — 51 contracts
  • 2014-03-18: Largest IV spike — 66.7% change
  • 2014-03-03: Highest IV Rank — 55.2%
  • 2014-03-03: Largest Expected Move — 33.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.53$9.81$11.44$10.46$10.20
Max Pain$10.48$10.00$12.50$12.50$10.00
ATM IV61.0%37.8%116.3%116.3%39.9%
Expected Move15.5%10.6%33.4%33.4%11.4%
HV 20d48.8%36.7%53.8%36.7%52.6%
HV 60d48.2%45.8%50.7%45.8%47.2%
IV Rank23.2%9.7%55.2%55.2%11.0%
IV Percentile69.3%43.3%96.8%96.8%49.6%
Term Structure-0.6%-63.1%69.7%-38.7%0.7%
VWIV45.7%45.7%45.7%45.7%45.7%
Skew 25d14.4%-44.3%85.9%-44.3%6.6%
Skew 10d22.4%-68.3%124.8%-68.3%14.9%
Call IV 25d52.9%27.8%151.1%151.1%39.8%
Put IV 25d67.3%41.4%126.8%106.9%46.5%
Bid-Ask Spread %98.8623.16157.09141.5025.30
Gamma HHI0.540.420.730.440.67
Net GEX11.8K6.6K16.0K6.7K16.0K
Net DEX52.7K-163.9K226.7K27.9K131.0K
Net VEX-2.0K-3.0K-1.2K-2.3K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.003.640.000.00
Total Volume5.42905103
Total OI1,814.2381,7781,8581,8061,778

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$10.46$12.50116.3%33.4%36.7%55.2%0.0%-44.3%-38.7%6.7K27.9K-2.3K0.00141.50N/AN/A001,280526
2014-03-04$11.36$12.5084.9%24.3%44.5%37.0%45.7%16.4%-14.3%11.5K-93.0K-2.6K0.00138.44N/AN/A301,280526
2014-03-05$11.44$12.5088.8%25.5%43.9%39.3%0.0%33.3%33.3%9.2K-154.7K-3.0K0.00137.22N/AN/A001,283526
2014-03-06$11.42$12.5056.0%16.0%42.8%20.3%0.0%33.6%-8.9%10.4K-163.9K-3.0K0.00138.05N/AN/A001,283526
2014-03-07$11.30$10.0067.0%17.1%42.8%26.6%0.0%-7.8%-2.5%10.3K-123.3K-2.7K0.00143.69N/AN/A1001,283526
2014-03-10$10.99$10.0072.9%13.4%44.3%30.1%0.0%3.8%-16.5%11.6K-51.8K-2.5K0.00137.60N/AN/A001,292526
2014-03-11$10.64$10.00107.4%10.6%46.1%50.1%0.0%-14.1%25.2%11.6K-110.2K-2.8K0.00146.49N/AN/A001,282526
2014-03-12$10.31$10.00116.1%20.7%46.9%55.1%0.0%36.9%-6.7%8.2K75.4K-2.0K0.00157.09N/AN/A201,282526
2014-03-13$10.93$10.0038.9%11.1%51.3%10.4%0.0%28.3%-0.3%11.2K43.5K-1.7K0.00136.02N/AN/A001,284514
2014-03-14$10.32$10.0048.7%13.9%53.4%16.1%0.0%23.1%8.1%9.3K130.6K-1.5K3.64150.68N/AN/A11401,284514
2014-03-17$10.10$10.0047.6%13.6%53.8%15.4%0.0%40.6%-6.4%10.6K122.0K-1.8K0.00151.00N/AN/A2901,295534
2014-03-18$10.24$10.0079.3%22.7%52.8%33.8%0.0%-22.2%-63.1%6.6K100.2K-1.3K0.00152.65N/AN/A001,324534
2014-03-19$10.31$10.0041.8%12.0%52.9%12.1%0.0%7.2%3.9%13.0K95.7K-1.9K0.0048.36N/AN/A1501,324534
2014-03-20$10.19$10.0037.8%10.8%52.0%9.8%0.0%5.0%2.5%14.3K130.6K-1.8K0.0045.69N/AN/A101,322534
2014-03-21$10.34$10.0040.9%11.7%51.5%11.6%0.0%46.4%-5.1%13.4K129.6K-1.7K0.0046.52N/AN/A001,323534
2014-03-24$10.31$10.0040.7%11.7%50.4%11.5%0.0%5.9%69.7%13.8K136.6K-1.6K0.0050.71N/AN/A001,270534
2014-03-25$10.45$10.0040.5%11.6%50.9%11.4%0.0%5.9%-4.3%13.9K109.5K-1.7K0.0051.28N/AN/A001,270534
2014-03-26$10.10$10.0037.8%10.8%52.0%9.7%0.0%6.2%9.8%15.3K158.7K-1.4K0.0028.86N/AN/A001,270534
2014-03-27$9.89$10.0038.6%11.1%52.2%10.2%0.0%5.4%0.9%15.6K186.1K-1.5K0.0023.16N/AN/A001,270534
2014-03-28$9.81$10.0038.7%11.1%51.3%10.3%0.0%85.9%-0.4%15.1K226.7K-1.2K0.0025.79N/AN/A001,270508
2014-03-31$10.20$10.0039.9%11.4%52.6%11.0%0.0%6.6%0.7%16.0K131.0K-1.4K0.0025.30N/AN/A031,270508