VICR Options History — November 2015 In November 2015, VICR traded between $9.12 and $10.16. ATM implied volatility averaged 62.2%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 19.8% (HV 20d: 42.3%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 4.56.
Notable Days 2015-11-02 : Highest Volume — 167 contracts2015-11-04 : Largest IV spike — 500.0% change2015-11-16 : Highest IV Rank — 91.8%2015-11-25 : Largest Expected Move — 45.3%Monthly Statistics Metric Avg Min Max Open Close Price $9.53 $9.12 $10.16 $10.07 $9.26 ATM IV 62.2% 9.5% 183.6% 9.5% 74.5% Expected Move 14.2% 0.2% 45.3% 2.7% 21.3% HV 20d 42.3% 34.7% 48.0% 46.4% 34.7% HV 60d 48.1% 46.0% 50.4% 50.2% 46.3% IV Rank 30.6% 4.1% 91.8% 4.1% 36.8% IV Percentile 33.8% 4.4% 96.4% 4.4% 42.9% Term Structure 24.1% -38.8% 182.7% 182.7% -4.1% Skew 25d 5.6% -24.6% 37.5% 11.2% 5.3% Skew 10d 16.4% -12.6% 48.9% -1.1% 34.1% Call IV 25d 60.8% 17.4% 155.0% 34.9% 76.9% Put IV 25d 66.4% 45.8% 132.3% 46.1% 82.2% Bid-Ask Spread % 124.06 64.53 156.95 152.26 129.29 Gamma HHI 0.27 0.22 0.47 0.35 0.24 Net GEX -534 -1.4K -93 -476 -300 Net DEX 211.0K 109.8K 239.4K 146.7K 205.3K Net VEX -238 -560 -98 -293 -143 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.56 4.44 5.19 5.19 4.44 Total Volume 102.684 0 167 167 0 Total OI 293.789 227 307 227 276
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-11-02 $10.07 $0.00 9.5% 2.7% 46.4% 4.1% 0.0% 11.2% 182.7% -476 146.7K -293 5.19 152.26 N/A N/A 27 140 28 199 2015-11-04 $10.16 $0.00 56.8% 16.3% 45.3% 27.9% 0.0% 8.7% 2.0% -644 228.6K -205 5.19 127.51 N/A N/A 27 140 28 259 2015-11-05 $10.13 $0.00 60.1% 21.0% 44.5% 29.6% 0.0% 18.2% -38.8% -821 218.2K -294 4.44 144.12 N/A N/A 27 120 28 259 2015-11-06 $10.05 $0.00 67.8% 12.4% 44.0% 33.5% 0.0% 10.0% 4.2% -531 226.7K -220 0.00 88.14 N/A N/A 0 0 28 259 2015-11-09 $9.52 $0.00 76.4% 12.7% 48.0% 37.8% 0.0% 10.8% 5.2% -517 216.5K -213 0.00 114.12 N/A N/A 0 0 28 259 2015-11-10 $9.51 $0.00 64.3% 0.2% 44.4% 31.7% 0.0% 20.3% 47.9% -419 238.0K -181 4.44 131.16 N/A N/A 27 120 28 279 2015-11-11 $9.52 $0.00 57.7% 16.5% 44.0% 28.4% 0.0% -6.3% 20.2% -886 217.4K -336 4.44 142.10 N/A N/A 27 120 28 279 2015-11-12 $9.31 $0.00 47.9% 13.7% 44.4% 23.4% 0.0% -3.2% -1.9% -248 236.9K -128 4.44 109.08 N/A N/A 27 120 28 279 2015-11-13 $9.21 $0.00 49.8% 14.3% 43.3% 24.4% 0.0% -6.7% -3.5% -259 234.0K -141 4.44 80.66 N/A N/A 27 120 28 279 2015-11-16 $9.14 $0.00 183.6% 0.0% 42.7% 91.8% 0.0% -22.7% 0.0% -878 109.8K -560 0.00 156.95 N/A N/A 0 0 28 259 2015-11-17 $9.12 $0.00 56.4% 16.2% 42.3% 27.7% 0.0% 14.1% -7.2% -295 231.2K -157 4.44 117.59 N/A N/A 27 120 28 279 2015-11-18 $9.48 $0.00 10.2% 2.9% 44.4% 4.4% 0.0% 31.1% 2.2% -680 205.5K -361 4.44 153.62 N/A N/A 27 120 28 279 2015-11-19 $9.29 $0.00 19.6% 5.6% 44.7% 9.2% 0.0% -24.6% 162.8% -1.4K 159.2K -528 4.44 149.06 N/A N/A 27 120 28 279 2015-11-20 $9.22 $0.00 46.4% 13.3% 44.4% 22.6% 0.0% -0.6% 0.5% -162 236.2K -120 4.44 82.60 N/A N/A 27 120 28 279 2015-11-23 $9.33 $0.00 50.4% 14.4% 38.0% 24.7% 0.0% -4.4% -1.7% -93 220.8K -98 0.00 132.61 N/A N/A 0 0 28 259 2015-11-24 $9.64 $0.00 59.7% 17.1% 36.9% 29.4% 0.0% 3.4% -8.7% -346 223.7K -136 0.00 133.61 N/A N/A 0 0 28 259 2015-11-25 $9.61 $0.00 158.1% 45.3% 36.9% 79.0% 0.0% 4.7% 31.4% -926 215.9K -271 4.44 148.10 N/A N/A 27 120 28 279 2015-11-27 $9.45 $0.00 31.7% 9.1% 35.2% 15.2% 0.0% 37.5% 41.1% -276 239.4K -144 4.44 64.53 N/A N/A 27 120 28 279 2015-11-30 $9.26 $0.00 74.5% 21.3% 34.7% 36.8% 0.0% 5.3% -4.1% -300 205.3K -143 0.00 129.29 N/A N/A 0 0 28 248
« Oct 2015 | All History | Dec 2015 » Home VICR History November 2015