VICR Options History — June 2016

In June 2016, VICR traded between $9.75 and $11.02. ATM implied volatility averaged 47.1%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 8.1% (HV 20d: 38.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2016-06-24: Highest Volume — 349 contracts
  • 2016-06-23: Largest IV spike — 42.7% change
  • 2016-06-23: Highest IV Rank — 29.5%
  • 2016-06-23: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.48$9.75$11.02$10.17$10.00
Max Pain$13.64$10.00$15.00$10.00$10.00
ATM IV47.1%34.7%63.5%42.4%54.0%
Expected Move13.4%10.0%18.2%12.1%15.5%
HV 20d38.9%28.4%44.6%42.3%44.6%
HV 60d46.6%43.8%49.3%49.0%44.4%
IV Rank21.7%15.8%29.5%19.4%25.0%
IV Percentile26.6%10.7%58.7%15.1%42.9%
Term Structure4.1%-19.2%20.8%0.1%5.5%
VWIV47.3%29.1%74.3%45.5%58.7%
Skew 25d9.7%-14.2%38.8%-0.5%11.8%
Skew 10d25.7%-43.7%104.2%-3.8%19.9%
Call IV 25d50.0%30.9%84.2%46.0%63.1%
Put IV 25d59.7%42.3%82.5%45.5%74.9%
Bid-Ask Spread %94.1855.38138.4193.4588.05
Gamma HHI0.660.440.950.490.87
Net GEX3.9K-5.3K10.4K896.9K
Net DEX97.4K-61.0K243.9K167.5K172.4K
Net VEX-382-609-232-279-557
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.200.760.630.57
Total Volume212.909130349150159
Total OI590420790420790

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$10.17$10.0042.4%12.1%42.3%19.4%45.5%-0.5%0.1%89167.5K-2790.6393.45N/AN/A9258191229
2016-06-02$10.21$15.0039.7%11.2%41.5%18.2%31.4%8.7%5.5%-561173.2K-2470.6378.80N/AN/A9258191229
2016-06-03$10.31$15.0043.5%13.3%41.4%20.0%46.1%10.7%6.2%-5.3K159.8K-2480.63102.58N/AN/A9258191229
2016-06-06$10.71$15.0056.5%11.3%42.8%26.2%29.1%23.9%10.7%467166.3K-2510.3077.00N/AN/A19258191229
2016-06-07$10.77$15.0037.1%12.1%42.8%16.9%47.9%0.9%5.3%4.1K54.7K-2820.4164.79N/AN/A14258291229
2016-06-08$10.86$15.0040.3%11.5%42.3%18.4%51.0%-14.2%4.7%4.3K-7.5K-2850.4170.99N/AN/A14258341229
2016-06-09$10.86$15.0048.7%14.0%41.8%22.5%51.2%-0.3%0.3%4.4K-61.0K-2790.4158.25N/AN/A14258391229
2016-06-10$10.70$15.0046.0%13.2%41.5%21.2%45.4%7.1%4.3%8.4K-24.7K-3110.41110.51N/AN/A14258391229
2016-06-13$10.65$15.0046.7%13.4%35.0%21.5%43.7%9.2%13.7%8.7K-37.8K-3060.41108.85N/AN/A14258391229
2016-06-14$10.57$15.0051.2%14.7%35.5%23.6%47.5%9.3%6.5%9.5K-27.2K-3090.41113.04N/AN/A14258391229
2016-06-15$10.37$15.0046.7%13.4%36.5%21.5%37.1%14.1%3.5%10.4K17.7K-2780.41116.76N/AN/A14258391229
2016-06-16$10.87$15.0046.7%13.4%38.9%21.5%36.2%36.4%7.5%2.7K-58.9K-2320.7677.31N/AN/A142108391229
2016-06-17$10.60$15.0058.0%16.6%39.4%26.9%52.5%3.7%-11.1%1.6K-22.5K-3360.69109.10N/AN/A14298391279
2016-06-20$10.48$15.0034.7%10.0%32.5%15.8%36.9%31.7%20.8%49223.3K-3850.4176.46N/AN/A9238191279
2016-06-21$10.47$15.0046.2%13.3%32.2%21.3%43.4%38.8%1.7%-264243.9K-4030.4181.96N/AN/A9238191299
2016-06-22$10.77$15.0044.5%12.8%28.4%20.5%74.3%-11.0%3.5%-282194.9K-6090.41113.05N/AN/A9238191299
2016-06-23$11.02$15.0063.5%18.2%29.2%29.5%59.0%7.4%-19.2%1.5K240.7K-4910.21104.03N/AN/A28158191299
2016-06-24$10.51$10.0044.7%12.8%34.5%20.6%52.1%3.0%5.9%7.6K109.9K-6000.20138.41N/AN/A29158441319
2016-06-27$9.75$10.0048.2%13.8%43.7%22.2%51.9%6.2%2.3%6.8K145.5K-5600.20117.86N/AN/A29158451319
2016-06-28$9.97$10.0046.6%13.3%44.6%21.4%48.2%5.9%12.3%7.7K147.0K-5550.2055.38N/AN/A29158451319
2016-06-29$10.02$10.0049.3%14.1%44.6%22.8%50.8%10.6%1.0%7.4K164.4K-6050.57115.27N/AN/A10158451339
2016-06-30$10.00$10.0054.0%15.5%44.6%25.0%58.7%11.8%5.5%6.9K172.4K-5570.5788.05N/AN/A10158451339