VICR Options History — February 2015

In February 2015, VICR traded between $10.95 and $13.23. ATM implied volatility averaged 122.8%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 32.3%. IV traded above realized volatility by 76.2% (HV 20d: 46.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 3.24.

Notable Days

  • 2015-02-23: Highest Volume — 172 contracts
  • 2015-02-27: Largest IV spike — 185.0% change
  • 2015-02-09: Highest IV Rank — 100.0%
  • 2015-02-12: Largest Expected Move — 56.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.72$10.95$13.23$11.02$13.20
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV122.8%41.0%199.9%163.1%116.9%
Expected Move32.3%11.8%56.0%46.7%33.5%
HV 20d46.6%43.9%49.5%43.9%45.7%
HV 60d39.0%37.7%39.7%38.9%39.7%
IV Rank60.2%16.2%100.0%84.7%56.2%
IV Percentile74.5%11.5%100.0%96.8%77.0%
Term Structure-49.8%-144.1%64.7%-76.5%-47.9%
VWIV115.6%59.1%157.8%117.2%157.8%
Skew 25d11.6%-53.7%82.8%-2.0%21.3%
Skew 10d11.5%-85.0%91.6%9.6%24.0%
Call IV 25d73.3%41.2%121.6%41.2%116.6%
Put IV 25d84.9%39.2%182.5%39.2%137.8%
Bid-Ask Spread %137.97119.35150.16143.70135.23
Gamma HHI0.250.210.360.250.36
Net GEX-2.5K-6.2K-687-915-5.1K
Net DEX163.5K47.4K245.1K222.4K47.4K
Net VEX-1.5K-1.9K-1.3K-1.4K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.240.004.344.031.33
Total Volume131.10501720121
Total OI1,019.8421,0091,0621,0091,062

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$11.02$0.00163.1%46.7%43.9%84.7%0.0%-2.0%-76.5%-915222.4K-1.4K0.00143.70N/AN/A00421588
2015-02-03$11.25$0.00134.9%38.7%44.7%69.1%0.0%82.8%64.7%-2.0K210.9K-1.5K4.03135.00N/AN/A32129421588
2015-02-04$10.95$0.00142.1%40.7%45.4%73.1%0.0%23.5%-2.4%-2.0K144.0K-1.9K4.03142.09N/AN/A32129421588
2015-02-05$11.20$0.00128.7%32.8%45.9%65.7%0.0%22.3%-73.9%-687207.4K-1.4K4.03133.21N/AN/A32129421588
2015-02-06$11.27$0.00123.5%29.9%45.3%62.8%0.0%-3.8%-18.4%-1.2K178.2K-1.5K4.03131.05N/AN/A32129421588
2015-02-09$11.03$0.00199.9%23.8%45.8%100.0%0.0%16.1%-55.1%-1.8K221.6K-1.3K4.03125.88N/AN/A32129421588
2015-02-10$11.12$0.0086.9%12.4%45.9%40.4%0.0%12.8%-3.2%-1.6K245.1K-1.4K4.03135.23N/AN/A32129421588
2015-02-11$10.97$0.0096.7%27.7%45.8%45.5%0.0%20.3%-84.0%-1.8K156.5K-1.7K4.03150.11N/AN/A32129421588
2015-02-12$11.00$0.00195.2%56.0%45.8%97.5%0.0%55.6%-64.3%-2.3K192.4K-1.6K4.03138.07N/AN/A32129421588
2015-02-13$11.11$0.0096.2%27.6%46.1%45.3%0.0%10.5%-79.6%-1.9K141.1K-1.7K4.03150.06N/AN/A32129421588
2015-02-17$11.18$0.00102.8%29.5%45.8%48.8%0.0%6.7%-86.1%-1.5K220.1K-1.3K4.03149.35N/AN/A32129421588
2015-02-18$11.66$0.00151.7%43.5%47.7%74.6%117.2%3.6%-126.2%-1.7K156.5K-1.5K4.34139.85N/AN/A32139421588
2015-02-19$12.11$10.00184.9%53.0%47.9%92.1%131.7%16.4%-144.1%-3.0K112.4K-1.7K0.00150.16N/AN/A01421598
2015-02-20$12.58$10.0091.1%26.1%48.5%42.6%0.0%14.6%-31.7%-3.9K92.7K-1.7K0.00138.33N/AN/A120421599
2015-02-23$12.37$10.0057.6%16.5%49.0%24.9%83.3%-2.4%-5.9%-3.6K135.5K-1.3K3.10119.35N/AN/A42130433599
2015-02-24$12.56$10.00115.2%33.0%49.2%55.3%59.1%-53.7%-55.7%-2.9K140.6K-1.3K3.10136.40N/AN/A42130433599
2015-02-25$12.88$10.00104.9%30.1%49.5%49.9%144.5%16.9%-54.9%-4.5K145.3K-1.3K1.64142.78N/AN/A4269433619
2015-02-26$13.23$10.0041.0%11.8%47.4%16.2%0.0%-41.7%-0.7%-6.2K135.6K-1.3K1.33125.53N/AN/A5269433619
2015-02-27$13.20$10.00116.9%33.5%45.7%56.2%157.8%21.3%-47.9%-5.1K47.4K-1.6K1.33135.23N/AN/A5269443619