VICR Options History — April 2015

In April 2015, VICR traded between $15.11 and $17.19. ATM implied volatility averaged 97.6%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 28.9%. IV traded above realized volatility by 61.8% (HV 20d: 35.8%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2015-04-29: Highest Volume — 474 contracts
  • 2015-04-07: Largest IV spike — 747.8% change
  • 2015-04-28: Highest IV Rank — 90.7%
  • 2015-04-28: Largest Expected Move — 52.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.27$15.11$17.19$15.40$15.31
Max Pain$14.76$10.00$15.00$10.00$15.00
ATM IV97.6%8.7%182.1%148.9%120.8%
Expected Move28.9%11.5%52.2%42.7%34.6%
HV 20d35.8%28.0%42.9%32.8%42.9%
HV 60d45.5%41.7%47.6%44.5%43.7%
IV Rank46.5%0.0%90.7%73.1%58.7%
IV Percentile57.1%0.0%96.8%91.3%76.2%
Term Structure-27.1%-135.4%55.2%16.8%-135.4%
VWIV109.3%45.9%233.1%45.9%233.1%
Skew 25d13.8%-47.3%94.1%8.3%11.3%
Skew 10d11.2%-71.2%77.8%14.0%19.6%
Call IV 25d111.4%49.5%191.6%165.4%162.2%
Put IV 25d125.2%24.9%192.4%173.7%173.5%
Bid-Ask Spread %138.17121.54145.07141.41139.53
Gamma HHI0.280.240.410.250.32
Net GEX-2.5K-6.7K5.7K-3.5K-4.4K
Net DEX-402.9K-1.1M191.9K-815.5K135.4K
Net VEX-3.0K-3.4K-2.6K-3.1K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.761.452.252.012.25
Total Volume410.0480474416474
Total OI1,484.7629821,8641,8041,146

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$15.40$10.00148.9%42.7%32.8%73.1%0.0%8.3%16.8%-3.5K-815.5K-3.1K2.01141.41N/AN/A138278921883
2015-04-02$15.41$15.008.7%12.9%32.4%0.0%45.9%24.4%-2.4%4.8K-437.0K-3.4K2.01130.32N/AN/A138278921883
2015-04-06$15.33$15.009.0%18.9%30.5%0.2%57.2%94.1%-14.6%5.7K-376.7K-3.1K2.01140.11N/AN/A138278921883
2015-04-07$15.29$15.0076.2%14.7%28.1%35.3%48.6%-19.4%7.8%-5.2K-738.6K-2.8K1.88132.43N/AN/A148278921883
2015-04-08$15.24$15.0046.9%13.4%28.0%20.0%0.0%-12.3%30.9%985-334.6K-3.1K0.00138.41N/AN/A00931883
2015-04-09$15.11$15.0057.1%16.4%28.2%25.3%57.3%8.5%-10.2%1.3K-225.9K-3.0K1.88145.07N/AN/A148278931883
2015-04-10$16.20$15.0095.3%27.3%34.7%45.3%62.6%-47.3%9.6%-654-730.6K-2.8K1.46126.08N/AN/A191278936883
2015-04-13$17.19$15.0080.9%23.2%39.5%37.8%130.4%2.3%-18.8%-2.6K-1.1M-3.2K1.45138.97N/AN/A192278980883
2015-04-14$17.06$15.00136.8%39.2%38.2%67.0%97.0%-5.7%-42.1%-3.1K-1.1M-3.2K1.51143.39N/AN/A184278981883
2015-04-15$17.18$15.0052.7%15.1%38.2%23.0%110.3%32.2%55.2%-4.1K-1.1M-3.2K1.51133.84N/AN/A184278979883
2015-04-16$17.09$15.00145.8%41.8%38.4%71.7%119.0%20.2%-134.3%-6.7K-1.0M-2.6K1.51140.59N/AN/A184278979883
2015-04-17$16.70$15.0040.2%11.5%39.1%16.5%46.1%13.6%-6.8%-4.3K-1.0M-2.7K1.50121.54N/AN/A185278981883
2015-04-20$17.02$15.0091.8%26.3%39.5%43.5%127.5%17.1%39.4%-4.7K77.5K-2.8K1.61140.93N/AN/A146235348634
2015-04-21$16.93$15.00153.6%44.0%37.7%75.8%128.7%0.8%-57.2%-2.7K-54.1K-3.1K1.61144.88N/AN/A146235348634
2015-04-22$16.91$15.0090.5%25.9%37.6%42.8%48.6%38.2%51.9%-5.4K86.9K-2.6K1.61144.22N/AN/A146235348634
2015-04-23$16.90$15.00158.9%45.6%35.8%78.6%133.5%38.6%-121.2%-3.4K40.4K-3.0K1.61143.58N/AN/A146235348634
2015-04-24$16.42$15.00167.1%47.9%37.9%82.8%172.5%-27.6%-75.4%-2.7K-28.8K-3.0K1.61136.25N/AN/A146235348634
2015-04-27$16.34$15.0094.2%27.0%37.7%44.7%138.3%69.7%-10.4%-4.2K53.5K-2.8K1.85142.21N/AN/A146270348634
2015-04-28$16.30$15.00182.1%52.2%37.8%90.7%172.6%15.5%-80.4%-3.2K-9.2K-3.0K2.11139.04N/AN/A146308348670
2015-04-29$16.24$15.0092.1%26.4%37.0%43.6%146.5%6.6%-70.4%-5.3K191.9K-3.4K2.25138.80N/AN/A146328358788
2015-04-30$15.31$15.00120.8%34.6%42.9%58.7%233.1%11.3%-135.4%-4.4K135.4K-3.3K2.25139.53N/AN/A146328358788