VICR Options History — December 2014

In December 2014, VICR traded between $12.10 and $13.24. ATM implied volatility averaged 84.1%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 45.6% (HV 20d: 38.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 3.52.

Notable Days

  • 2014-12-01: Highest Volume — 459 contracts
  • 2014-12-04: Largest IV spike — 167.5% change
  • 2014-12-10: Highest IV Rank — 72.8%
  • 2014-12-26: Largest Expected Move — 41.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.62$12.10$13.24$12.24$12.10
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV84.1%42.2%141.6%77.9%112.9%
Expected Move20.5%11.3%41.9%13.4%40.0%
HV 20d38.5%32.6%43.1%32.6%39.7%
HV 60d58.8%56.4%60.4%57.9%56.4%
IV Rank40.9%17.7%72.8%37.5%56.9%
IV Percentile59.6%18.7%92.1%61.1%79.8%
Term Structure-12.2%-61.4%36.1%-61.4%29.2%
VWIV48.1%39.4%63.9%47.8%40.8%
Skew 25d8.5%-103.1%87.1%34.4%6.8%
Skew 10d1.9%-160.3%39.8%39.4%-117.6%
Call IV 25d83.5%28.0%192.4%36.9%192.4%
Put IV 25d92.1%41.0%209.7%71.3%199.2%
Bid-Ask Spread %130.2390.30147.59119.31147.59
Gamma HHI0.460.340.610.610.36
Net GEX-7.9K-16.0K-5.1K-6.6K-6.6K
Net DEX-101.6K-183.9K1.4K-81.5K1.4K
Net VEX-2.4K-2.9K-1.8K-1.8K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.520.0021.000.780.00
Total Volume198.504594591
Total OI1,337.3181,2221,3651,2221,365

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$12.24$10.0077.9%13.4%32.6%37.5%47.8%34.4%-61.4%-6.6K-81.5K-1.8K0.78119.31N/AN/A258201495727
2014-12-02$12.58$10.0045.8%11.9%34.0%19.7%41.7%1.0%-1.4%-8.1K-100.1K-2.1K0.40114.97N/AN/A265105515740
2014-12-03$12.79$10.0042.2%13.1%34.7%17.7%40.3%5.2%-2.8%-8.4K-127.7K-2.2K0.56110.29N/AN/A240134522806
2014-12-04$12.85$10.00112.9%14.3%34.5%56.9%0.0%0.7%-60.8%-7.8K-103.2K-2.7K0.00145.73N/AN/A00522826
2014-12-05$12.98$10.00125.7%19.4%34.7%64.0%63.9%21.4%-40.1%-5.1K-173.6K-2.9K0.56127.41N/AN/A240134522826
2014-12-08$12.72$10.0085.4%12.5%35.2%41.6%41.0%6.4%-0.5%-9.4K-116.1K-2.4K0.5690.30N/AN/A241134522826
2014-12-09$13.24$10.0053.8%11.3%37.1%24.1%41.0%-2.0%5.0%-16.0K-183.9K-2.0K0.5693.51N/AN/A241134523826
2014-12-10$12.44$10.00141.6%16.1%43.0%72.8%55.2%72.6%-36.9%-5.6K-152.0K-2.7K3.05134.81N/AN/A44134523826
2014-12-11$12.23$10.0067.9%16.3%43.1%31.9%59.8%19.6%-9.2%-8.6K-127.8K-2.5K3.05143.32N/AN/A44134524826
2014-12-12$12.36$10.0087.6%14.3%41.7%42.9%46.5%-0.7%-49.3%-5.5K-64.1K-2.3K3.05141.77N/AN/A44134524826
2014-12-15$12.61$10.0043.3%11.9%42.0%18.3%39.4%1.0%1.0%-8.7K-49.3K-2.1K3.05100.40N/AN/A44134524826
2014-12-16$12.50$10.0093.3%15.3%39.7%46.0%58.1%9.4%-47.5%-6.1K-92.1K-2.5K3.05132.07N/AN/A44134524826
2014-12-17$12.96$10.0089.9%14.5%41.5%44.1%49.2%5.1%-41.6%-7.9K-91.7K-2.3K3.05129.93N/AN/A44134524826
2014-12-18$13.19$10.0048.5%14.8%36.2%21.2%40.8%13.2%-0.8%-10.0K-168.3K-2.3K4.79121.13N/AN/A28134524826
2014-12-19$12.65$10.0072.1%16.3%40.0%34.2%0.0%25.7%3.3%-8.4K-83.6K-2.5K0.00138.30N/AN/A00524826
2014-12-22$12.60$0.0071.4%38.3%40.1%33.9%0.0%27.2%36.1%-7.4K-130.5K-2.4K4.61145.22N/AN/A28129522821
2014-12-23$12.53$0.00100.9%38.8%38.8%50.2%0.0%28.4%25.5%-6.6K-102.1K-2.6K4.61147.06N/AN/A28129522821
2014-12-24$12.66$0.0075.5%23.8%38.9%36.2%0.0%87.1%-26.1%-8.9K-91.4K-1.9K4.61145.15N/AN/A28129522821
2014-12-26$12.72$0.00106.2%41.9%38.9%53.2%0.0%-103.1%14.5%-6.5K-103.3K-2.6K4.61145.13N/AN/A28129522821
2014-12-29$12.49$0.00105.0%31.7%39.5%52.5%0.0%28.4%-9.9%-7.4K-84.0K-2.5K4.48147.31N/AN/A29130522821
2014-12-30$12.12$0.0089.7%22.3%41.0%44.0%0.0%-100.4%6.0%-7.4K-9.8K-2.2K21.00144.43N/AN/A121523821
2014-12-31$12.10$0.00112.9%40.0%39.7%56.9%0.0%6.8%29.2%-6.6K1.4K-2.4K0.00147.59N/AN/A10524841