VICR Options History — June 2015

In June 2015, VICR traded between $11.75 and $14.32. ATM implied volatility averaged 98.1%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 27.4%. IV traded above realized volatility by 65.4% (HV 20d: 32.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.40.

Notable Days

  • 2015-06-01: Highest Volume — 544 contracts
  • 2015-06-15: Largest IV spike — 258.7% change
  • 2015-06-23: Highest IV Rank — 97.9%
  • 2015-06-23: Largest Expected Move — 56.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.51$11.75$14.32$13.53$12.27
Max Pain$17.16$15.00$17.50$15.00$17.50
ATM IV98.1%14.0%196.0%57.5%14.0%
Expected Move27.4%4.0%56.2%16.5%4.0%
HV 20d32.6%26.7%45.4%29.4%45.4%
HV 60d35.2%33.7%39.5%35.2%39.5%
IV Rank46.8%2.8%97.9%25.5%2.8%
IV Percentile55.3%1.2%99.6%30.6%1.2%
Term Structure-43.9%-149.6%68.1%-22.2%50.1%
VWIV86.6%21.7%162.6%162.6%107.5%
Skew 25d9.9%-99.4%144.2%10.8%-32.5%
Skew 10d21.6%-83.0%153.1%14.6%-49.1%
Call IV 25d60.5%31.5%154.7%33.8%88.2%
Put IV 25d70.4%28.0%206.1%44.5%55.7%
Bid-Ask Spread %132.59102.80147.33108.84147.33
Gamma HHI0.420.250.840.430.25
Net GEX-5.2K-17.6K736-5.6K-1.6K
Net DEX448.0K228.2K587.9K525.6K279.6K
Net VEX-1.4K-2.4K-444-1.3K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.401.922.761.922.76
Total Volume496.9090544544515
Total OI1,161.4091,0721,2241,1791,082

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$13.53$15.0057.5%16.5%29.4%25.5%162.6%10.8%-22.2%-5.6K525.6K-1.3K1.92108.84N/AN/A186358431748
2015-06-02$13.62$15.00183.2%52.5%28.7%91.3%0.0%25.8%-149.6%-6.5K558.8K-1.2K0.00102.80N/AN/A00431748
2015-06-03$13.73$15.0048.6%13.9%26.7%20.9%38.8%9.0%-2.2%-6.4K567.1K-1.2K1.92129.82N/AN/A186358431748
2015-06-04$14.10$17.50121.0%38.2%28.4%58.7%92.5%27.8%-103.5%-3.6K253.9K-2.4K1.92139.10N/AN/A186358431748
2015-06-05$14.22$17.5089.6%14.6%28.6%42.3%73.7%18.6%-14.7%-5.1K447.1K-1.6K1.92138.11N/AN/A186358431748
2015-06-08$14.12$17.5069.3%11.2%28.3%31.7%88.5%144.2%-7.9%-6.5K513.0K-1.5K1.92134.45N/AN/A186358431748
2015-06-09$13.72$17.50103.4%29.6%29.6%49.5%74.0%-8.7%-106.2%-4.3K501.1K-1.7K2.20123.95N/AN/A163358431748
2015-06-10$14.32$17.5058.0%16.6%33.2%25.8%53.4%45.6%7.1%-5.8K543.1K-1.4K2.20129.19N/AN/A163358453748
2015-06-11$14.17$17.5090.1%25.8%33.4%42.6%82.9%-21.8%-13.8%-4.8K459.3K-1.9K2.20141.17N/AN/A163358453748
2015-06-12$14.23$17.5044.1%12.6%33.4%18.5%62.7%25.7%-9.3%-5.0K503.5K-1.5K2.20129.04N/AN/A163358453748
2015-06-15$13.76$17.50158.1%45.3%35.6%78.1%136.4%-99.4%-113.9%-2.2K240.4K-2.1K2.37138.81N/AN/A151358453748
2015-06-16$13.84$17.5088.3%25.3%31.6%41.6%64.0%-38.3%4.5%-4.4K566.4K-1.2K2.50138.99N/AN/A151378456748
2015-06-17$13.86$17.50180.7%51.8%30.5%90.0%161.0%6.1%-129.8%-1.7K228.2K-2.1K2.76140.65N/AN/A137378456768
2015-06-18$13.97$17.5099.1%28.4%30.3%47.3%97.0%-2.3%-14.0%-4.4K493.9K-1.8K2.76146.16N/AN/A137378448768
2015-06-19$13.42$17.50100.6%28.8%33.2%48.1%43.7%-13.1%-113.8%-5.8K564.9K-1.1K2.76124.22N/AN/A137378448768
2015-06-22$13.43$17.50104.3%29.9%31.1%50.0%46.2%-0.8%-37.3%-6.5K379.6K-9592.61135.76N/AN/A137358448624
2015-06-23$13.49$17.50196.0%56.2%30.9%97.9%127.3%137.6%-138.6%-6.0K436.2K-8112.61131.20N/AN/A137358448624
2015-06-24$13.05$17.5049.6%14.2%32.6%21.4%48.2%-1.7%-13.3%-7.3K409.3K-8612.61129.62N/AN/A137358448644
2015-06-25$12.81$17.50144.7%41.5%33.0%71.1%0.0%4.4%-65.1%736377.8K-4442.76127.95N/AN/A137378448644
2015-06-26$11.84$17.50142.8%40.9%42.0%70.1%149.5%-20.7%-39.6%-4.5K419.6K-1.3K2.76136.82N/AN/A137378448664
2015-06-29$11.75$17.5015.3%4.4%42.0%3.5%21.7%2.0%68.1%-17.6K587.9K-6832.76143.09N/AN/A137378448664
2015-06-30$12.27$17.5014.0%4.0%45.4%2.8%107.5%-32.5%50.1%-1.6K279.6K-1.5K2.76147.33N/AN/A137378448634