VICR Options History — October 2015

In October 2015, VICR traded between $9.46 and $10.63. ATM implied volatility averaged 69.9%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 19.3% (HV 20d: 50.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 4.05.

Notable Days

  • 2015-10-16: Highest Volume — 394 contracts
  • 2015-10-05: Largest IV spike — 4527.0% change
  • 2015-10-15: Highest IV Rank — 89.1%
  • 2015-10-15: Largest Expected Move — 51.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.00$9.46$10.63$9.64$9.70
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV69.9%1.4%178.3%32.6%16.1%
Expected Move17.2%0.4%51.1%9.4%4.6%
HV 20d50.6%42.9%58.3%55.8%47.8%
HV 60d48.9%46.9%50.2%47.9%49.7%
IV Rank34.5%0.0%89.1%15.5%7.4%
IV Percentile39.8%0.0%94.8%8.3%7.5%
Term Structure30.1%-79.7%185.8%91.3%181.5%
VWIV9.9%1.4%18.4%18.4%1.4%
Skew 25d4.1%-89.5%84.5%23.8%4.9%
Skew 10d28.4%-3.9%84.5%16.0%-3.9%
Call IV 25d82.2%44.1%197.3%88.5%129.5%
Put IV 25d86.2%40.2%165.9%112.3%134.4%
Bid-Ask Spread %144.58114.78157.95146.15155.93
Gamma HHI0.530.310.680.540.58
Net GEX186-1.5K4.1K1.8K-1.0K
Net DEX230.3K150.5K293.9K214.5K221.1K
Net VEX-426-755-119-755-342
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.053.245.003.633.70
Total Volume247.5910394384127
Total OI409.909300504504307

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$9.64$12.5032.6%9.4%55.8%15.5%18.4%23.8%91.3%1.8K214.5K-7553.63146.15N/AN/A83301149355
2015-10-02$9.46$12.501.4%0.4%55.1%0.0%1.4%14.1%111.3%4.1K226.9K-5463.63149.55N/AN/A83301149355
2015-10-05$9.94$0.0065.2%15.4%57.4%32.2%0.0%7.5%-0.1%1.4K264.0K-2350.00126.05N/AN/A00149324
2015-10-06$9.68$0.0064.5%16.8%58.3%31.8%0.0%5.6%-6.5%1.0K284.9K-2583.63122.39N/AN/A83301149355
2015-10-07$9.93$0.00163.0%27.3%55.0%81.4%0.0%20.1%40.6%-256239.0K-5533.63154.28N/AN/A83301149355
2015-10-08$10.13$0.0060.6%17.1%53.0%29.8%0.0%7.9%-8.7%1.3K285.5K-3083.63115.79N/AN/A83301149355
2015-10-09$10.16$0.00101.8%17.8%52.8%50.6%0.0%14.0%80.5%670258.9K-4113.63114.78N/AN/A83301149355
2015-10-12$10.63$0.00159.7%18.4%53.0%79.8%0.0%-11.4%-4.1%1.3K293.9K-1653.63149.24N/AN/A83301149355
2015-10-13$10.38$0.007.1%2.0%51.5%2.9%0.0%84.5%-73.7%2.3K227.7K-5073.63155.29N/AN/A83301149355
2015-10-14$10.30$0.0085.9%24.6%49.8%42.6%0.0%12.9%-18.8%2.0K268.7K-3513.63145.80N/AN/A83301149355
2015-10-15$10.53$0.00178.3%51.1%50.4%89.1%0.0%-11.6%-77.1%-657164.4K-7294.43157.20N/AN/A68301149355
2015-10-16$10.26$0.0066.8%19.1%44.8%32.9%0.0%15.1%-15.6%-1.2K214.2K-5733.24137.77N/AN/A93301129355
2015-10-19$10.04$0.00109.2%31.3%45.6%54.3%0.0%12.7%89.8%-968244.2K-2745.00152.36N/AN/A2010021279
2015-10-20$9.81$0.0077.7%22.3%46.4%38.4%0.0%13.6%-31.6%-342252.8K-1195.00119.23N/AN/A2010021279
2015-10-21$9.87$0.0037.4%10.7%42.9%18.1%0.0%-0.7%86.2%-1.3K206.7K-4855.00150.08N/AN/A2010021279
2015-10-22$9.69$0.009.5%2.7%43.5%4.1%0.0%-4.8%47.5%-903171.2K-5275.00155.97N/AN/A2010021279
2015-10-23$10.30$0.0014.1%4.0%48.1%6.4%0.0%-43.9%107.3%-1.5K200.9K-5735.00155.92N/AN/A2010021279
2015-10-26$9.83$0.006.5%1.9%51.3%2.6%0.0%-89.5%185.8%-1.2K150.5K-6645.00157.30N/AN/A2010021279
2015-10-27$9.81$0.00135.1%38.7%50.5%67.4%0.0%3.6%-79.7%-773242.6K-2333.70157.95N/AN/A2710021279
2015-10-28$10.12$0.0084.5%24.2%51.0%41.9%0.0%15.1%-26.2%-994237.9K-3003.70149.58N/AN/A2710028279
2015-10-29$9.85$0.0060.1%17.2%48.0%29.6%0.0%-3.9%-18.3%-829196.6K-4603.70152.15N/AN/A2710028279
2015-10-30$9.70$0.0016.1%4.6%47.8%7.4%0.0%4.9%181.5%-1.0K221.1K-3423.70155.93N/AN/A2710028279