VICR Options History — December 2015

In December 2015, VICR traded between $8.98 and $9.83. ATM implied volatility averaged 61.6%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 25.3% (HV 20d: 36.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.20.

Notable Days

  • 2015-12-18: Highest Volume — 217 contracts
  • 2015-12-03: Largest IV spike — 42.9% change
  • 2015-12-22: Highest IV Rank — 40.8%
  • 2015-12-22: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.36$8.98$9.83$9.34$9.26
Max Pain$19.88$17.50$20.00$20.00$20.00
ATM IV61.6%45.7%82.4%59.6%56.2%
Expected Move16.9%13.1%23.6%17.1%16.1%
HV 20d36.4%31.6%39.4%34.6%37.4%
HV 60d42.7%38.5%46.0%45.9%38.5%
IV Rank30.3%22.3%40.8%29.3%27.6%
IV Percentile34.8%20.2%51.2%32.9%28.2%
Term Structure2.4%-19.0%138.8%6.1%8.3%
VWIV92.1%63.1%130.5%85.9%91.9%
Skew 25d7.5%-11.4%28.9%11.0%16.5%
Skew 10d31.8%-1.3%132.2%22.1%17.7%
Call IV 25d57.0%44.6%84.4%64.3%51.8%
Put IV 25d64.6%39.3%94.7%75.3%68.3%
Bid-Ask Spread %124.37113.83134.47126.58121.10
Gamma HHI0.330.230.460.230.33
Net GEX160-162494-112407
Net DEX223.3K190.1K251.9K211.1K251.9K
Net VEX-176-291-74-104-237
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.202.464.444.442.46
Total Volume17502170197
Total OI327.909263393276393

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$9.34$0.0059.6%17.1%34.6%29.3%0.0%11.0%6.1%-112211.1K-1040.00126.58N/AN/A0028248
2015-12-02$9.20$0.0045.7%13.1%31.6%22.3%0.0%23.5%12.0%-69226.2K-954.44121.35N/AN/A2712028268
2015-12-03$9.39$20.0065.3%16.2%32.5%32.2%85.9%-0.8%-8.2%-152230.1K-1154.44118.84N/AN/A2712028268
2015-12-04$9.60$20.0062.9%13.1%33.8%31.0%72.8%-9.4%-1.7%-32235.5K-984.44121.88N/AN/A2712028268
2015-12-07$9.52$17.5061.3%14.5%33.8%30.2%0.0%-0.2%0.8%-158212.8K-1150.00115.59N/AN/A0028248
2015-12-08$9.11$20.0069.8%13.2%31.9%34.5%63.1%-11.4%-6.6%-99223.6K-1044.44113.83N/AN/A2712028268
2015-12-09$8.98$20.0068.5%19.6%32.2%33.8%110.8%28.9%-13.9%42193.7K-742.98131.54N/AN/A4714028235
2015-12-10$9.50$20.0051.4%14.7%38.5%25.2%73.6%-7.6%-3.7%320206.4K-1832.98119.06N/AN/A4714058255
2015-12-11$9.46$20.0056.7%16.3%37.6%27.9%85.1%0.4%-14.2%494209.3K-1572.98121.71N/AN/A4714058255
2015-12-14$9.55$20.0063.1%18.1%37.5%31.1%96.7%6.4%2.3%-162190.1K-2912.98126.00N/AN/A4714058255
2015-12-15$9.60$20.0057.0%16.3%37.3%28.0%96.8%12.2%-9.1%368206.5K-1722.98118.79N/AN/A4714058255
2015-12-16$9.83$20.0068.2%19.5%38.0%33.6%108.5%18.8%47.5%-134201.6K-2343.40132.95N/AN/A4716058255
2015-12-17$9.49$20.0050.2%14.4%38.0%24.6%83.4%17.8%-11.3%427241.3K-1773.40128.46N/AN/A4716058295
2015-12-18$9.23$20.0054.9%15.7%38.7%26.9%78.4%6.6%-14.2%280235.4K-1982.81121.51N/AN/A5716058295
2015-12-21$9.06$20.0058.6%16.8%39.1%28.8%76.5%14.1%138.8%490229.2K-2072.81121.86N/AN/A5716068295
2015-12-22$9.22$20.0082.4%23.6%39.4%40.8%130.5%10.3%-10.1%175234.4K-2302.81134.47N/AN/A5716068295
2015-12-23$9.35$20.0062.0%17.8%37.9%30.5%91.4%15.3%-6.5%232234.9K-2272.81128.17N/AN/A5716068295
2015-12-24$9.43$20.0071.7%20.5%38.0%35.4%112.5%10.9%-18.5%233236.6K-2122.81124.55N/AN/A5716068295
2015-12-28$9.36$20.0069.1%19.8%37.6%34.1%84.4%4.8%-12.5%169237.1K-2072.81133.96N/AN/A5716068295
2015-12-29$9.26$20.0060.9%17.5%37.1%30.0%97.0%6.1%-19.0%350235.1K-2112.81130.20N/AN/A5716068295
2015-12-30$9.12$20.0060.3%17.3%37.4%29.7%111.6%-8.1%-13.3%442229.7K-2262.46123.65N/AN/A5714078295
2015-12-31$9.26$20.0056.2%16.1%37.4%27.6%91.9%16.5%8.3%407251.9K-2372.46121.10N/AN/A5714078315