VICR Options History — May 2015

In May 2015, VICR traded between $13.65 and $15.32. ATM implied volatility averaged 92.2%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded above realized volatility by 57.4% (HV 20d: 34.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.84.

Notable Days

  • 2015-05-21: Highest Volume — 549 contracts
  • 2015-05-28: Largest IV spike — 476.8% change
  • 2015-05-28: Highest IV Rank — 93.6%
  • 2015-05-28: Largest Expected Move — 53.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.26$13.65$15.32$15.32$13.65
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV92.2%32.6%187.7%41.4%172.7%
Expected Move26.8%9.0%53.8%11.9%49.5%
HV 20d34.8%27.1%45.7%42.9%29.5%
HV 60d42.4%35.3%44.3%43.2%35.3%
IV Rank43.7%12.5%93.6%17.1%85.8%
IV Percentile50.5%2.8%98.4%10.7%96.0%
Term Structure-57.0%-159.9%57.3%-2.4%-104.6%
VWIV76.7%21.1%180.3%41.3%160.4%
Skew 25d-5.4%-124.0%53.0%-7.5%-75.6%
Skew 10d-4.6%-132.4%116.6%-10.8%-55.7%
Call IV 25d110.2%32.2%188.2%49.1%186.1%
Put IV 25d104.8%26.4%193.2%41.6%110.4%
Bid-Ask Spread %135.86117.92149.35125.25148.12
Gamma HHI0.410.300.510.390.39
Net GEX-4.5K-6.1K-2.0K-4.9K-3.1K
Net DEX352.0K170.1K540.4K260.5K231.4K
Net VEX-2.1K-3.0K-1.4K-2.1K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.841.671.961.961.92
Total Volume403.550549541544
Total OI1,133.11,0011,1791,0011,179

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$15.32$15.0041.4%11.9%42.9%17.1%41.3%-7.5%-2.4%-4.9K260.5K-2.1K1.96125.25N/AN/A183358363638
2015-05-04$14.92$0.0045.4%10.2%43.9%19.2%0.0%53.0%57.3%-3.4K171.4K-2.6K0.00134.98N/AN/A00408668
2015-05-05$14.41$0.0064.5%9.0%45.5%29.2%0.0%2.6%0.6%-4.5K300.7K-2.1K1.96127.87N/AN/A183358408668
2015-05-06$14.53$0.0038.4%11.1%45.7%15.5%38.7%9.3%-2.3%-4.0K322.3K-2.2K1.85117.92N/AN/A183338408668
2015-05-07$14.53$15.00142.6%40.9%45.6%70.0%142.1%-8.3%-17.0%-2.0K186.6K-3.0K1.85140.24N/AN/A183338408728
2015-05-08$14.32$15.0038.0%9.3%37.1%15.3%0.0%-5.7%1.3%-5.5K425.7K-2.0K0.00126.13N/AN/A00408728
2015-05-11$14.12$15.0044.3%25.3%27.9%18.6%0.0%0.8%-108.3%-4.9K426.0K-2.0K0.00134.89N/AN/A00408728
2015-05-12$13.95$15.0064.1%27.6%27.9%29.0%34.3%0.2%-118.7%-4.9K432.2K-1.8K1.85145.67N/AN/A183338408728
2015-05-13$13.89$15.0096.6%27.7%27.2%46.0%21.1%-47.6%-132.6%-5.6K440.5K-1.9K1.67137.27N/AN/A203338408728
2015-05-14$13.81$15.0095.8%27.5%27.2%45.6%29.8%-21.9%-122.7%-5.6K491.2K-1.6K1.67131.28N/AN/A203338428728
2015-05-15$13.83$15.0097.3%27.9%27.1%46.3%26.6%-124.0%-129.2%-5.7K506.5K-1.6K1.67126.88N/AN/A203338428728
2015-05-18$14.46$15.0048.0%13.8%31.8%20.6%0.0%33.8%5.9%-5.7K430.8K-1.9K0.00143.26N/AN/A00416728
2015-05-19$14.75$15.0091.3%26.2%33.3%43.2%0.0%20.2%-113.6%-6.1K393.7K-2.1K0.00149.29N/AN/A00416728
2015-05-20$14.51$15.00155.3%44.5%33.4%76.7%153.6%1.6%-43.6%-3.5K195.0K-2.5K1.77149.35N/AN/A191338416728
2015-05-21$14.50$15.00162.2%46.5%33.4%80.3%147.8%4.1%-60.3%-3.4K170.1K-2.8K1.87147.13N/AN/A191358416728
2015-05-22$14.00$15.00110.2%31.6%34.0%53.1%26.8%17.2%-48.9%-2.6K310.3K-2.3K1.87137.34N/AN/A191358416748
2015-05-26$13.81$15.00115.5%33.1%34.0%55.8%37.5%13.5%-159.9%-5.8K534.8K-1.4K1.92131.27N/AN/A186358416748
2015-05-27$13.94$15.0032.6%9.3%34.6%12.5%33.7%17.2%7.0%-5.5K540.4K-1.5K1.92126.02N/AN/A186358431748
2015-05-28$13.95$15.00187.7%53.8%34.7%93.6%180.3%9.1%-48.1%-3.9K270.0K-2.5K1.92137.13N/AN/A186358431748
2015-05-29$13.65$15.00172.7%49.5%29.5%85.8%160.4%-75.6%-104.6%-3.1K231.4K-2.4K1.92148.12N/AN/A186358431748