VICR Options History — January 2015

In January 2015, VICR traded between $10.77 and $12.13. ATM implied volatility averaged 111.4%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 30.3%. IV traded above realized volatility by 80.1% (HV 20d: 31.3%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 3.76.

Notable Days

  • 2015-01-15: Highest Volume — 199 contracts
  • 2015-01-05: Largest IV spike — 176.5% change
  • 2015-01-09: Highest IV Rank — 89.2%
  • 2015-01-09: Largest Expected Move — 48.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.75$10.77$12.13$11.87$10.77
ATM IV111.4%44.5%171.2%48.5%155.0%
Expected Move30.3%11.9%48.3%12.5%44.4%
HV 20d31.3%23.7%43.0%39.5%43.0%
HV 60d46.8%34.8%56.1%56.1%38.5%
IV Rank56.0%19.0%89.2%21.1%80.2%
IV Percentile72.3%14.7%97.2%23.8%94.8%
Term Structure-22.0%-138.0%89.5%-0.9%-11.7%
Skew 25d1.2%-158.9%61.7%29.9%19.8%
Skew 10d16.4%-71.3%96.9%27.5%43.2%
Call IV 25d95.0%36.7%184.0%59.0%78.7%
Put IV 25d96.2%25.1%161.2%88.8%98.5%
Bid-Ask Spread %140.54125.99147.45131.31140.54
Gamma HHI0.340.210.720.520.24
Net GEX-5.0K-19.5K-2.0K-10.5K-2.8K
Net DEX99.0K6.3K206.8K74.7K61.4K
Net VEX-1.9K-2.3K-1.2K-2.0K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.760.004.484.484.03
Total Volume100.10199159161
Total OI1,199.959851,4061,3661,009

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$11.87$0.0048.5%12.5%39.5%21.1%0.0%29.9%-0.9%-10.5K74.7K-2.0K4.48131.31N/AN/A29130525841
2015-01-05$11.78$0.00134.0%26.0%39.4%68.6%0.0%18.0%-7.7%-4.8K101.0K-1.8K0.00146.39N/AN/A00526820
2015-01-06$11.65$0.00148.0%43.4%39.1%76.4%0.0%11.0%-106.7%-4.7K64.6K-2.3K0.00146.43N/AN/A00526820
2015-01-07$11.83$0.00103.3%11.9%39.3%51.6%0.0%-14.5%16.5%-7.1K79.6K-2.1K0.00138.79N/AN/A00526820
2015-01-08$12.06$0.00129.1%47.4%36.9%65.9%0.0%26.0%-114.7%-5.4K59.1K-2.2K4.48142.43N/AN/A29130526820
2015-01-09$12.00$0.00171.2%48.3%30.0%89.2%0.0%-158.9%-138.0%-5.8K58.0K-1.8K4.48145.79N/AN/A29130526820
2015-01-12$12.03$0.00110.3%16.4%29.5%55.5%0.0%16.5%-8.3%-7.9K45.8K-1.9K4.48139.52N/AN/A29130526820
2015-01-13$12.13$0.0093.0%30.2%29.3%45.8%0.0%48.6%-7.6%-19.5K6.3K-2.0K4.48139.44N/AN/A29130526820
2015-01-14$12.01$0.0092.8%26.6%28.4%45.7%0.0%21.8%-27.2%-8.3K44.4K-2.1K4.48142.76N/AN/A29130526840
2015-01-15$11.90$0.00112.4%32.2%28.4%56.6%0.0%12.5%-32.8%-2.0K62.4K-2.2K1.88134.46N/AN/A69130526860
2015-01-16$12.05$0.0045.1%12.9%25.2%19.2%0.0%-36.0%22.7%-2.8K141.7K-2.1K0.00137.51N/AN/A020526880
2015-01-20$11.73$0.00102.1%29.3%25.2%50.9%0.0%0.7%51.1%-2.4K155.8K-1.6K0.00146.24N/AN/A020417568
2015-01-21$11.35$0.0097.0%27.8%23.7%48.1%0.0%-32.9%-71.6%-2.0K148.7K-1.9K0.00138.36N/AN/A40417588
2015-01-22$11.71$0.0044.5%12.8%27.0%19.0%0.0%17.3%2.4%-2.5K191.4K-1.6K4.03125.99N/AN/A32129421588
2015-01-23$11.73$0.0092.1%26.4%27.1%45.3%0.0%7.8%89.5%-2.3K91.7K-2.2K4.03139.45N/AN/A32129421588
2015-01-26$11.77$0.00125.0%35.8%26.7%63.6%0.0%-5.7%-96.8%-2.1K206.8K-1.2K0.00146.85N/AN/A00421588
2015-01-27$11.64$0.00128.0%36.7%26.7%65.3%0.0%-9.8%24.2%-2.5K136.2K-2.0K0.00147.45N/AN/A00421588
2015-01-28$11.21$0.00162.5%46.6%28.8%84.4%0.0%61.7%-42.3%-2.1K87.6K-2.1K4.03140.34N/AN/A32129421588
2015-01-29$11.70$0.00133.5%38.3%32.0%68.4%0.0%-9.1%20.8%-2.2K162.4K-1.9K4.03140.78N/AN/A32129421588
2015-01-30$10.77$0.00155.0%44.4%43.0%80.2%0.0%19.8%-11.7%-2.8K61.4K-1.7K4.03140.54N/AN/A32129421588