VICR Options History — April 2014

In April 2014, VICR traded between $8.12 and $11.18. ATM implied volatility averaged 84.1%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 25.0%. IV traded above realized volatility by 19.4% (HV 20d: 64.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2014-04-23: Highest Volume — 100 contracts
  • 2014-04-21: Largest IV spike — 163.0% change
  • 2014-04-29: Highest IV Rank — 94.1%
  • 2014-04-29: Largest Expected Move — 52.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.89$8.12$11.18$10.68$8.36
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV84.1%32.8%183.7%34.7%174.3%
Expected Move25.0%9.4%52.7%9.9%50.0%
HV 20d64.7%46.1%68.5%46.1%63.9%
HV 60d55.0%47.9%57.7%47.9%52.8%
IV Rank36.6%6.9%94.1%8.0%88.7%
IV Percentile76.9%23.0%99.6%31.3%99.2%
Term Structure-22.3%-149.9%73.6%10.5%-65.7%
VWIV29.0%29.0%29.0%29.0%29.0%
Skew 25d6.1%-22.8%56.4%5.9%33.7%
Skew 10d10.3%-53.3%88.9%4.8%88.9%
Call IV 25d62.8%33.1%155.2%34.1%55.3%
Put IV 25d69.0%30.4%161.0%40.1%89.0%
Bid-Ask Spread %103.4031.21136.8531.21119.71
Gamma HHI0.470.310.790.590.36
Net GEX4.7K27518.0K16.1K1.2K
Net DEX182.9K-24.2K367.4K44.6K156.2K
Net VEX-979-1.6K-388-1.5K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.007.000.000.00
Total Volume14.6670100115
Total OI1,541.9051,0921,8411,7811,225

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$10.68$10.0034.7%9.9%46.1%8.0%29.0%5.9%10.5%16.1K44.6K-1.5K0.0031.21N/AN/A101,270511
2014-04-02$11.18$10.0032.8%9.4%49.2%6.9%0.0%-2.8%20.3%8.1K-24.2K-1.3K0.0039.80N/AN/A001,270511
2014-04-03$10.21$10.0040.1%11.5%58.6%11.1%0.0%-2.7%73.6%18.0K115.9K-1.4K0.0031.60N/AN/A2001,270511
2014-04-04$9.30$0.0037.4%22.4%66.4%9.6%0.0%13.0%-68.1%12.4K287.3K-1.0K0.00125.06N/AN/A001,290511
2014-04-07$8.76$0.0039.5%18.4%68.5%10.8%0.0%-13.4%-19.5%5.1K359.8K-6150.00109.49N/AN/A001,290511
2014-04-08$8.80$0.0057.6%19.5%68.2%21.2%0.0%-22.8%-16.8%6.2K367.4K-3880.00112.76N/AN/A001,290511
2014-04-09$8.97$0.0053.7%12.0%68.4%19.0%0.0%-6.5%-4.6%8.1K347.8K-6190.0052.16N/AN/A0201,290511
2014-04-10$8.40$0.0084.8%24.3%66.9%36.9%0.0%16.0%-70.4%1.9K361.9K-6520.00107.60N/AN/A0201,290531
2014-04-11$8.24$0.00101.0%28.9%64.8%46.3%0.0%-3.8%-36.1%3.0K225.7K-1.6K0.00114.47N/AN/A001,290551
2014-04-14$8.42$0.00140.7%40.3%65.7%69.3%0.0%5.2%-40.2%2.7K251.6K-1.5K0.00113.82N/AN/A001,290551
2014-04-15$8.64$0.0050.3%14.4%66.4%17.0%0.0%22.9%-7.5%1.3K233.9K-3977.00108.97N/AN/A10701,290331
2014-04-16$8.54$0.0060.1%17.2%66.2%22.7%0.0%1.9%-31.9%1.0K216.1K-6500.00115.77N/AN/A001,299379
2014-04-17$8.82$0.0051.0%14.6%67.8%17.4%0.0%9.2%16.6%1.2K243.6K-5770.00123.09N/AN/A001,299379
2014-04-21$8.83$0.00134.2%38.5%67.4%65.5%0.0%28.1%11.3%3.7K-20.4K-1.4K0.00119.92N/AN/A00857235
2014-04-22$8.87$0.0072.4%20.8%67.5%29.8%0.0%8.2%26.9%1.3K96.3K-7000.00122.17N/AN/A100857235
2014-04-23$8.65$0.00111.6%32.0%67.3%52.5%0.0%5.8%-9.8%1.1K108.3K-5780.00123.46N/AN/A0100857235
2014-04-24$8.53$0.0090.5%26.0%66.7%40.3%0.0%0.4%-41.8%275199.9K-5870.00136.85N/AN/A020857335
2014-04-25$8.14$0.0097.5%27.9%68.0%44.3%0.0%-16.6%-149.9%1.9K50.4K-1.6K0.00111.37N/AN/A012857355
2014-04-28$8.12$0.00118.3%33.9%68.0%56.4%0.0%56.4%29.4%1.4K114.3K-1.3K0.00128.33N/AN/A00857367
2014-04-29$8.13$0.00183.7%52.7%65.7%94.1%0.0%-9.1%-94.4%1.7K104.5K-1.3K0.00123.77N/AN/A100857367
2014-04-30$8.36$0.00174.3%50.0%63.9%88.7%0.0%33.7%-65.7%1.2K156.2K-1.1K0.00119.71N/AN/A150858367