VICR Options History — March 2015

In March 2015, VICR traded between $14.10 and $15.79. ATM implied volatility averaged 64.3%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 13.2% (HV 20d: 51.1%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-03-26: Highest Volume — 428 contracts
  • 2015-03-16: Largest IV spike — 105.4% change
  • 2015-03-27: Highest IV Rank — 63.1%
  • 2015-03-27: Largest Expected Move — 37.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.00$14.10$15.79$14.90$15.24
Max Pain$10.45$10.00$15.00$10.00$10.00
ATM IV64.3%34.6%130.0%45.2%115.2%
Expected Move18.0%9.5%37.3%13.0%33.0%
HV 20d51.1%33.1%54.7%50.2%34.1%
HV 60d45.4%44.3%47.0%46.4%44.6%
IV Rank28.4%12.8%63.1%18.4%55.3%
IV Percentile34.3%2.8%84.1%15.5%75.8%
Term Structure4.3%-37.0%75.0%-11.9%-3.8%
VWIV62.8%36.9%134.7%45.5%134.7%
Skew 25d-19.5%-106.0%29.4%-17.9%-64.1%
Skew 10d-23.7%-114.0%30.8%-29.4%-89.8%
Call IV 25d90.1%28.7%171.3%82.3%120.0%
Put IV 25d70.6%28.6%161.2%64.4%55.9%
Bid-Ask Spread %124.5487.27144.77102.51138.25
Gamma HHI0.300.210.480.350.22
Net GEX-2.7K-13.9K1.6K-13.9K717
Net DEX-272.4K-515.2K-107.3K-115.1K-249.3K
Net VEX-3.1K-4.1K-1.5K-1.5K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.002.011.282.01
Total Volume140.9550428132416
Total OI1,550.5451,0621,8041,0621,804

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$14.90$10.0045.2%13.0%50.2%18.4%45.5%-17.9%-11.9%-13.9K-115.1K-1.5K1.28102.51N/AN/A5874443619
2015-03-03$15.11$15.0036.7%10.5%50.2%13.9%43.5%-31.6%43.0%-7.9K-144.0K-1.8K1.14132.31N/AN/A6574440624
2015-03-04$14.72$15.0070.4%20.2%52.3%31.7%36.9%4.8%-37.0%-6.6K-119.9K-2.1K0.51126.32N/AN/A19499440624
2015-03-05$14.95$10.0035.1%10.4%50.0%13.1%40.8%1.6%4.9%-9.6K-188.0K-2.2K0.5189.66N/AN/A234119573649
2015-03-06$14.53$10.0035.5%10.8%52.3%13.3%41.9%-6.5%1.6%-7.5K-177.1K-2.4K0.51107.29N/AN/A234119623669
2015-03-09$14.10$10.0051.4%9.5%54.5%21.7%0.0%-0.5%8.2%-9.0K-130.9K-2.1K0.00116.05N/AN/A020623669
2015-03-10$14.28$10.0054.5%10.5%53.1%23.3%40.7%-49.3%7.4%-6.7K-107.3K-2.5K0.0987.27N/AN/A21520623689
2015-03-11$14.23$10.0076.4%21.9%53.4%34.8%0.0%-72.2%-25.6%-68-249.4K-3.1K0.00143.93N/AN/A00823709
2015-03-12$14.80$10.0034.6%9.9%53.3%12.8%0.0%-29.3%6.8%1.3K-254.2K-2.7K0.00129.03N/AN/A00823709
2015-03-13$15.10$10.0036.8%10.5%53.1%13.9%0.0%1.9%4.5%1.3K-357.4K-2.7K0.6588.92N/AN/A6240823709
2015-03-16$15.65$10.0075.5%21.7%53.5%34.4%0.0%-106.0%-24.8%186-487.2K-3.5K0.00141.88N/AN/A00881749
2015-03-17$15.74$10.0062.7%18.0%53.5%27.6%0.0%29.4%-9.1%196-515.2K-3.3K0.00124.77N/AN/A0150881749
2015-03-18$15.79$10.0053.3%15.3%52.9%22.6%0.0%-68.1%6.1%-2.1K-448.3K-4.1K0.00140.46N/AN/A00881899
2015-03-19$15.58$10.0075.9%21.7%53.1%34.5%0.0%-72.9%-21.0%-2.4K-401.9K-4.1K0.00137.65N/AN/A200881899
2015-03-20$15.65$10.0076.2%21.8%52.3%34.7%0.0%10.7%-19.9%-1.3K-423.5K-4.1K0.00140.63N/AN/A00901899
2015-03-23$15.20$10.0066.7%19.1%53.4%29.7%50.4%20.5%57.0%-740-329.7K-3.8K0.00130.25N/AN/A220891883
2015-03-24$15.13$10.0042.8%12.3%53.6%17.1%0.0%-0.2%-1.3%1.3K-338.7K-3.7K0.00126.50N/AN/A100911883
2015-03-25$14.74$10.0040.2%11.5%54.7%15.8%0.0%7.0%2.7%1.2K-204.0K-3.5K0.00117.08N/AN/A00921883
2015-03-26$14.89$10.0079.7%22.9%54.2%36.6%89.4%3.8%75.0%32-258.9K-3.8K1.85132.73N/AN/A150278921883
2015-03-27$14.75$10.00130.0%37.3%54.4%63.1%0.0%-0.8%37.9%-112-319.9K-4.1K0.00144.77N/AN/A00921883
2015-03-30$14.84$10.00119.8%34.3%33.1%57.7%104.6%9.9%-7.2%1.6K-173.2K-3.4K1.85141.65N/AN/A150278921883
2015-03-31$15.24$10.00115.2%33.0%34.1%55.3%134.7%-64.1%-3.8%717-249.3K-3.4K2.01138.25N/AN/A138278921883