VICR Options History — August 2015

In August 2015, VICR traded between $9.31 and $11.41. ATM implied volatility averaged 97.6%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded above realized volatility by 53.4% (HV 20d: 44.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 3.62.

Notable Days

  • 2015-08-06: Highest Volume — 452 contracts
  • 2015-08-19: Largest IV spike — 507.1% change
  • 2015-08-07: Highest IV Rank — 98.6%
  • 2015-08-07: Largest Expected Move — 56.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.39$9.31$11.41$10.37$9.76
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV97.6%4.9%197.1%185.9%4.9%
Expected Move24.9%1.4%56.5%3.5%1.4%
HV 20d44.2%36.4%52.9%42.8%49.6%
HV 60d41.9%39.2%45.3%39.2%45.3%
IV Rank48.3%1.5%98.6%92.9%1.5%
IV Percentile54.4%0.8%99.6%97.2%0.8%
Term Structure14.3%-143.4%188.8%183.8%181.9%
VWIV56.8%56.8%56.8%56.8%56.8%
Skew 25d-6.6%-76.0%137.5%-39.8%-40.1%
Skew 10d19.6%-54.3%91.2%17.1%-54.3%
Call IV 25d107.2%18.8%197.1%192.7%130.4%
Put IV 25d100.6%23.9%198.1%152.9%90.4%
Bid-Ask Spread %144.53121.04153.68149.88151.96
Gamma HHI0.380.240.470.440.32
Net GEX-305-1.1K1.5K-940-36
Net DEX176.0K2.1K272.5K161.4K164.0K
Net VEX-650-961-254-846-801
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.623.024.453.023.85
Total Volume314.95204520354
Total OI456.143295495475485

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$10.37$12.50185.9%0.0%42.8%92.9%0.0%-39.8%0.0%-940161.4K-8460.00149.88N/AN/A00149326
2015-08-04$10.37$12.5012.1%3.5%42.2%5.1%0.0%-39.2%183.8%-594190.8K-7033.02143.27N/AN/A83251149326
2015-08-05$10.78$12.5067.9%19.5%41.7%33.3%56.8%16.9%-12.3%1.5K85.0K-2543.49121.04N/AN/A83290149146
2015-08-06$10.98$0.0090.6%26.0%38.5%44.8%0.0%-9.9%-40.8%-1922.1K-6254.45148.21N/AN/A83369149156
2015-08-07$10.78$0.00197.1%56.5%36.4%98.6%0.0%12.4%-71.0%-74758.2K-9614.45149.75N/AN/A83369149275
2015-08-10$11.05$0.0055.8%47.8%37.6%27.2%0.0%-15.7%-134.7%795193.5K-3813.25141.78N/AN/A83270149275
2015-08-11$10.73$0.00137.1%19.6%38.9%68.3%0.0%-49.7%-10.6%280206.0K-4290.00153.68N/AN/A00149275
2015-08-12$10.99$0.0063.4%18.2%40.1%31.1%0.0%11.4%-12.3%200215.0K-5133.25149.16N/AN/A83270149295
2015-08-13$11.16$0.0051.0%14.6%39.8%24.8%0.0%14.3%-4.6%552259.6K-3943.25121.19N/AN/A83270149315
2015-08-14$11.41$0.00177.6%50.9%40.2%88.7%0.0%-35.7%-42.3%-843246.3K-6023.39145.90N/AN/A83281149335
2015-08-17$11.11$0.00186.6%53.5%41.3%93.3%0.0%-76.0%-143.4%-900253.4K-6493.39152.01N/AN/A83281149346
2015-08-18$10.79$0.0018.8%5.4%42.3%8.5%0.0%137.5%32.6%202272.5K-4373.39145.55N/AN/A83281149346
2015-08-19$10.48$0.00113.9%0.0%43.3%56.6%0.0%-25.0%0.0%-768167.4K-8580.00151.91N/AN/A00149326
2015-08-20$9.78$0.00109.4%31.4%48.7%54.3%0.0%0.3%-67.7%-962136.7K-9053.39149.05N/AN/A83281149346
2015-08-21$10.11$0.00178.9%0.0%49.3%89.4%0.0%21.3%-7.4%-1.1K141.4K-9543.39151.85N/AN/A83281149346
2015-08-24$9.83$0.0067.3%19.3%50.2%33.0%0.0%8.7%124.6%-962198.3K-7053.85139.57N/AN/A73281139346
2015-08-25$9.31$0.0025.7%7.4%52.9%12.0%0.0%-17.1%188.8%-902108.2K-8823.85148.33N/AN/A73281139346
2015-08-26$9.32$0.00137.6%0.0%52.7%68.5%0.0%70.3%0.0%-410212.0K-6113.85151.52N/AN/A73281139346
2015-08-27$9.55$0.0059.0%16.9%51.6%28.8%0.0%-42.1%-3.4%275270.9K-3183.85136.30N/AN/A73281139346
2015-08-28$9.45$0.00108.7%31.2%47.8%53.9%0.0%-41.4%96.8%-918152.9K-8283.85133.24N/AN/A73281139346
2015-08-31$9.76$0.004.9%1.4%49.6%1.5%0.0%-40.1%181.9%-36164.0K-8013.85151.96N/AN/A73281139346