VICR Options History — August 2014

In August 2014, VICR traded between $7.63 and $8.83. ATM implied volatility averaged 104.6%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 69.5% (HV 20d: 35.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2014-08-27: Highest Volume — 90 contracts
  • 2014-08-21: Largest IV spike — 207.5% change
  • 2014-08-28: Highest IV Rank — 81.8%
  • 2014-08-15: Largest Expected Move — 36.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.03$7.63$8.83$7.76$8.20
Max Pain$6.67$5.00$7.50$5.00$7.50
ATM IV104.6%45.8%160.4%121.0%159.0%
Expected Move22.8%12.7%36.1%34.7%13.4%
HV 20d35.1%28.7%50.9%34.3%50.9%
HV 60d43.3%40.3%45.5%45.5%45.0%
IV Rank51.4%19.3%81.8%60.3%81.0%
IV Percentile77.9%40.9%96.8%89.3%96.4%
Term Structure-43.8%-115.9%11.2%-115.9%-45.2%
VWIV57.8%29.9%85.7%85.7%29.9%
Skew 25d18.2%-53.7%52.3%34.8%15.8%
Skew 10d34.0%-31.9%70.7%-31.9%42.3%
Call IV 25d90.3%35.3%126.1%47.4%126.1%
Put IV 25d108.5%41.5%141.9%82.1%141.9%
Bid-Ask Spread %153.93107.95168.56152.09158.62
Gamma HHI0.440.380.660.390.46
Net GEX363-1.0K2.1K673-860
Net DEX165.9K102.4K212.0K163.5K156.8K
Net VEX-667-935-249-646-921
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.100.000.10
Total Volume10.286090411
Total OI691.952668757669757

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$7.76$5.00121.0%34.7%34.3%60.3%0.0%34.8%-115.9%673163.5K-6460.00152.09N/AN/A40266403
2014-08-04$7.92$0.0092.3%12.7%34.8%44.7%0.0%13.2%11.2%970170.5K-5890.00151.52N/AN/A00266403
2014-08-05$7.85$0.0049.9%13.4%30.6%21.6%0.0%6.2%11.1%1.8K183.7K-4980.00140.34N/AN/A250266403
2014-08-06$7.84$0.0079.0%0.0%30.3%37.4%0.0%22.5%0.0%657162.0K-6410.00160.09N/AN/A50270403
2014-08-07$7.90$0.0078.1%0.0%29.4%36.9%0.0%23.7%0.0%792168.1K-6220.00168.56N/AN/A011265403
2014-08-08$7.95$0.0075.0%0.0%28.7%35.2%0.0%19.6%0.0%6153.3K-7590.00168.46N/AN/A00265414
2014-08-11$8.28$0.0072.4%0.0%32.0%33.8%0.0%17.6%0.0%-175148.2K-7920.00162.81N/AN/A00265414
2014-08-12$8.02$0.0071.6%15.4%33.3%33.4%0.0%22.6%-20.7%614169.7K-2490.00149.54N/AN/A020265414
2014-08-13$8.00$0.00125.7%36.0%33.2%62.9%0.0%36.8%-74.6%-14170.3K-7390.00160.12N/AN/A00265434
2014-08-14$7.95$0.00122.4%35.1%30.9%61.1%0.0%21.3%-62.7%-61168.4K-7610.00159.82N/AN/A00265434
2014-08-15$7.77$0.00125.8%36.1%28.9%62.9%0.0%52.3%-57.3%592190.1K-6050.00155.82N/AN/A00265434
2014-08-18$8.08$0.00129.8%33.4%32.0%65.1%0.0%24.1%-76.1%294173.8K-6750.00159.78N/AN/A00265433
2014-08-19$7.86$0.0046.8%22.4%32.4%19.8%0.0%13.5%0.5%2.0K208.5K-4450.00144.68N/AN/A00265433
2014-08-20$7.70$0.0045.8%14.1%31.9%19.3%0.0%9.3%-0.1%2.1K212.0K-4220.00107.95N/AN/A00265433
2014-08-21$7.63$0.00140.9%33.0%31.9%71.1%0.0%28.5%-61.2%250180.2K-6560.00163.59N/AN/A00265433
2014-08-22$7.81$0.00139.7%18.5%32.8%70.5%0.0%29.5%-68.2%449184.6K-6210.00156.74N/AN/A00265433
2014-08-25$8.05$0.00146.5%18.5%34.1%74.2%0.0%23.5%-88.1%-115165.6K-7310.00158.13N/AN/A00265433
2014-08-26$8.83$0.0086.9%16.0%47.3%41.7%0.0%-53.7%-10.9%-1.0K102.4K-9350.00147.60N/AN/A00265433
2014-08-27$8.79$0.00128.7%15.8%46.8%64.5%85.7%5.6%-35.0%-979115.6K-9050.00147.69N/AN/A900265433
2014-08-28$8.34$7.50160.4%18.6%50.9%81.8%0.0%14.9%-51.0%-358135.6K-8010.00158.52N/AN/A050275433
2014-08-29$8.20$7.50159.0%13.4%50.9%81.0%29.9%15.8%-45.2%-860156.8K-9210.10158.62N/AN/A101275482