VICR Options History — September 2014

In September 2014, VICR traded between $8.32 and $9.51. ATM implied volatility averaged 77.4%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 28.5% (HV 20d: 48.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2014-09-05: Highest Volume — 150 contracts
  • 2014-09-04: Largest IV spike — 159.3% change
  • 2014-09-04: Highest IV Rank — 97.1%
  • 2014-09-03: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.94$8.32$9.51$8.63$9.40
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV77.4%32.0%188.5%47.7%73.0%
Expected Move14.6%10.7%21.1%14.0%11.3%
HV 20d48.9%29.8%55.8%53.5%29.8%
HV 60d42.2%40.2%46.3%45.7%40.2%
IV Rank36.5%11.8%97.1%20.4%34.2%
IV Percentile56.0%11.1%99.2%42.9%59.9%
Term Structure-7.0%-88.4%100.2%8.7%-2.9%
VWIV35.9%22.3%51.5%51.5%23.0%
Skew 25d17.8%-24.4%86.3%35.4%36.7%
Skew 10d2.8%-35.5%76.4%26.6%22.8%
Call IV 25d65.2%27.5%134.8%31.3%52.0%
Put IV 25d83.0%38.3%162.6%66.7%88.7%
Bid-Ask Spread %132.0999.16160.70132.88137.69
Gamma HHI0.400.340.550.390.38
Net GEX1.4K-1.0K3.8K1.3K2.2K
Net DEX105.8K25.1K212.8K212.8K60.2K
Net VEX-934-1.4K-583-584-857
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.750.000.00
Total Volume22.7620150100
Total OI954.1437681,0407681,035

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$8.63$7.5047.7%14.0%53.5%20.4%0.0%35.4%8.7%1.3K212.8K-5840.00132.88N/AN/A010285483
2014-09-03$8.34$7.5072.7%21.1%55.0%34.0%0.0%31.8%-45.6%911206.9K-5830.00146.37N/AN/A00285493
2014-09-04$8.32$7.50188.5%20.5%55.0%97.1%0.0%-13.6%-67.0%-909157.5K-9310.00155.88N/AN/A00285493
2014-09-05$8.51$7.50186.7%16.7%55.4%96.1%51.5%-7.8%-57.0%-1.0K153.2K-9300.00144.87N/AN/A1500285493
2014-09-08$8.40$7.5046.5%16.1%55.8%19.7%0.0%11.9%12.0%3.3K146.3K-8130.0099.16N/AN/A00435493
2014-09-09$8.44$7.5098.6%10.7%53.9%48.1%45.4%65.6%-88.4%90186.7K-1.1K0.00144.50N/AN/A500435493
2014-09-10$8.73$7.50125.8%16.3%53.7%62.9%0.0%-2.9%-64.7%14225.1K-1.4K0.00156.32N/AN/A00485493
2014-09-11$8.97$7.5035.2%12.1%54.2%13.5%26.8%13.7%21.9%3.4K79.5K-8831.75137.94N/AN/A1221485493
2014-09-12$9.09$7.5032.0%14.1%54.1%11.8%0.0%9.8%15.3%3.8K95.6K-8240.00105.09N/AN/A00496514
2014-09-15$8.93$7.5045.3%15.3%53.7%19.1%46.7%12.5%-3.6%2.6K82.6K-9420.00103.53N/AN/A030496514
2014-09-16$8.91$7.5069.2%12.6%52.4%32.1%0.0%9.9%0.0%1.3K79.7K-1.2K0.00140.25N/AN/A00496544
2014-09-17$8.96$7.5094.7%12.8%51.0%46.0%0.0%31.2%3.5%28850.6K-1.3K0.00160.70N/AN/A00496544
2014-09-18$9.04$7.5047.4%13.6%50.0%20.2%0.0%13.5%2.8%2.8K95.4K-9770.00108.58N/AN/A00496543
2014-09-19$9.34$7.5061.5%14.5%50.3%27.9%0.0%10.7%-25.3%1.8K75.2K-9680.00133.26N/AN/A50496543
2014-09-22$9.51$7.5067.0%12.5%50.1%30.9%22.3%8.4%100.2%13036.1K-9700.00132.35N/AN/A1000492543
2014-09-23$9.32$7.5051.7%14.6%50.6%22.5%0.0%3.3%23.1%1.5K156.2K-6880.00127.64N/AN/A00392543
2014-09-24$9.25$7.5047.1%14.0%39.5%20.0%0.0%18.0%-13.4%1.7K155.3K-7060.00107.24N/AN/A00392543
2014-09-25$9.08$7.5075.0%15.3%40.2%35.2%23.0%-24.4%-53.3%637149.8K-8160.00121.11N/AN/A1000392543
2014-09-26$9.23$7.5099.1%14.8%35.0%48.4%0.0%86.3%90.9%-11242.3K-1.2K0.00159.83N/AN/A00492543
2014-09-29$9.36$7.5060.8%13.5%34.1%27.5%0.0%23.8%-4.0%2.6K75.3K-8930.00118.69N/AN/A00492543
2014-09-30$9.40$7.5073.0%11.3%29.8%34.2%0.0%36.7%-2.9%2.2K60.2K-8570.00137.69N/AN/A00492543