VICR Options History — July 2015

In July 2015, VICR traded between $9.90 and $11.90. ATM implied volatility averaged 74.9%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 29.2% (HV 20d: 45.7%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 3.07.

Notable Days

  • 2015-07-15: Highest Volume — 545 contracts
  • 2015-07-28: Largest IV spike — 3335.1% change
  • 2015-07-30: Highest IV Rank — 94.9%
  • 2015-07-10: Largest Expected Move — 50.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.01$9.90$11.90$11.90$10.41
Max Pain$12.98$12.50$17.50$17.50$12.50
ATM IV74.9%1.9%189.8%46.4%76.9%
Expected Move17.9%0.6%50.6%13.3%22.0%
HV 20d45.7%37.2%49.7%46.0%43.4%
HV 60d38.2%35.6%40.3%39.9%39.2%
IV Rank35.6%0.0%94.9%19.7%37.9%
IV Percentile43.0%0.0%98.8%18.7%46.8%
Term Structure25.5%-58.4%184.5%-2.2%-14.5%
VWIV74.9%13.6%196.9%54.0%13.6%
Skew 25d-7.4%-94.2%142.1%0.8%-35.5%
Skew 10d-32.1%-127.3%37.2%5.6%-5.7%
Call IV 25d102.1%20.7%196.9%51.2%194.5%
Put IV 25d94.7%17.6%203.4%52.0%159.0%
Bid-Ask Spread %136.16104.36148.82126.18142.49
Gamma HHI0.430.250.640.620.40
Net GEX-1.6K-9.6K1.4K-8.8K-822
Net DEX376.6K100.6K608.2K490.9K177.4K
Net VEX-743-967-446-866-794
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.072.573.652.763.02
Total Volume444.091334545515334
Total OI806.9554631,1121,082464

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$11.90$17.5046.4%13.3%46.0%19.7%54.0%0.8%-2.2%-8.8K490.9K-8662.76126.18N/AN/A137378448634
2015-07-02$11.60$17.5049.5%0.0%44.6%21.3%97.2%-83.8%-47.0%-9.6K522.2K-9502.76133.86N/AN/A137378448634
2015-07-06$11.32$0.0061.8%14.9%44.4%27.8%51.4%9.3%-6.4%-5.2K547.9K-5852.57104.36N/AN/A147378448634
2015-07-07$11.05$12.5098.7%16.1%44.6%47.1%52.4%8.3%-19.6%-334541.6K-7132.57126.09N/AN/A147378458634
2015-07-08$10.57$12.50104.8%11.2%45.7%50.3%105.3%-8.0%-13.5%830525.4K-6852.57137.68N/AN/A147378458634
2015-07-09$11.09$12.5091.5%14.9%46.6%43.3%47.2%21.1%3.9%-3.1K583.5K-4462.57119.65N/AN/A147378458634
2015-07-10$11.50$12.5068.8%50.6%49.7%31.4%196.9%-67.0%-58.4%-2.2K501.7K-9672.57138.98N/AN/A147378458634
2015-07-13$11.40$12.5099.2%28.4%49.4%47.4%72.9%-52.1%-26.6%525604.2K-4532.57123.83N/AN/A147378458634
2015-07-14$11.36$12.50100.1%31.2%48.8%47.8%91.2%-31.2%60.8%-766485.1K-8272.57139.96N/AN/A147378458634
2015-07-15$11.32$12.50110.5%31.7%48.5%53.3%82.8%-3.1%58.0%42587.0K-5252.71143.34N/AN/A147398458634
2015-07-16$11.55$12.50102.9%29.5%49.5%49.3%68.9%-23.3%85.4%-899510.7K-8692.71138.98N/AN/A147398458654
2015-07-17$11.36$12.5044.1%12.6%49.2%18.5%44.5%115.0%8.6%262608.2K-5462.71128.81N/AN/A147398458654
2015-07-20$11.32$12.50106.4%30.5%47.9%51.1%62.0%-94.2%-14.2%-232228.3K-7603.65136.86N/AN/A74270138325
2015-07-21$11.16$12.501.9%0.6%47.8%0.0%84.4%-45.0%41.9%1.4K249.6K-4903.65144.52N/AN/A74270139325
2015-07-22$11.04$12.504.9%1.4%47.6%1.5%74.6%142.1%64.5%-154233.3K-6953.65141.76N/AN/A74270139325
2015-07-23$10.75$12.5082.4%23.6%47.2%40.7%13.6%75.8%74.0%-734194.8K-7803.65140.15N/AN/A74270139325
2015-07-24$10.40$12.5015.5%4.4%47.8%6.8%0.0%-14.6%135.8%-1.1K120.2K-9393.65143.00N/AN/A74270139325
2015-07-27$10.42$12.505.2%1.5%40.6%1.6%0.0%-2.6%0.0%-898173.3K-8293.65142.65N/AN/A74270139325
2015-07-28$10.56$12.50177.9%0.0%41.2%88.9%0.0%4.8%-5.4%-982100.6K-9283.65146.98N/AN/A74270139325
2015-07-29$10.35$12.508.4%2.4%37.2%3.2%0.0%-33.7%184.5%-852151.8K-8583.65146.67N/AN/A74270139325
2015-07-30$9.90$12.50189.8%0.0%38.6%94.9%0.0%-45.8%0.0%-830148.2K-8373.65148.82N/AN/A74270139325
2015-07-31$10.41$12.5076.9%22.0%43.4%37.9%0.0%-35.5%-14.5%-822177.4K-7943.02142.49N/AN/A83251139325