VICR Options History — July 2016

In July 2016, VICR traded between $9.82 and $11.29. ATM implied volatility averaged 55.8%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 13.9% (HV 20d: 41.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2016-07-18: Highest Volume — 267 contracts
  • 2016-07-11: Largest IV spike — 60.4% change
  • 2016-07-11: Highest IV Rank — 39.7%
  • 2016-07-21: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.73$9.82$11.29$10.08$10.64
Max Pain$12.38$10.00$12.50$10.00$12.50
ATM IV55.8%42.7%85.0%58.9%55.6%
Expected Move14.8%12.2%19.0%16.9%16.0%
HV 20d41.9%28.2%48.0%44.5%33.7%
HV 60d41.5%39.2%43.9%43.6%39.7%
IV Rank25.8%19.6%39.7%27.3%25.8%
IV Percentile42.9%15.9%79.4%51.2%45.6%
Term Structure-2.3%-27.3%12.6%-3.8%-14.1%
VWIV49.3%33.5%83.2%63.7%64.2%
Skew 25d11.2%-7.8%30.8%-7.8%-3.4%
Skew 10d25.8%-13.5%96.0%-13.5%21.2%
Call IV 25d44.4%34.6%68.1%68.1%57.4%
Put IV 25d55.6%39.4%66.8%60.3%54.1%
Bid-Ask Spread %87.9557.61137.95119.59137.95
Gamma HHI0.650.410.890.890.52
Net GEX1.3K-1.5K8.4K6.9K-722
Net DEX152.8K48.1K235.7K166.9K235.7K
Net VEX-562-747-371-569-649
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.441.210.570.95
Total Volume171.3152267159177
Total OI625.9257800790534

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$10.08$10.0058.9%16.9%44.5%27.3%63.7%-7.8%-3.8%6.9K166.9K-5690.57119.59N/AN/A10158451339
2016-07-05$9.85$12.5065.5%15.4%42.7%30.4%53.9%21.7%-2.8%6.6K169.7K-5290.5770.28N/AN/A10158451339
2016-07-06$9.82$12.5050.0%14.5%42.5%23.1%52.3%17.3%1.7%8.4K192.6K-4630.5779.71N/AN/A10158451339
2016-07-07$10.00$12.5063.5%13.3%43.0%29.5%56.8%5.5%4.4%7.9K176.5K-4700.5777.53N/AN/A10158451339
2016-07-08$10.50$12.5053.0%12.8%47.0%24.5%41.5%10.4%5.2%-70084.2K-3710.57108.31N/AN/A10158451339
2016-07-11$10.63$12.5085.0%16.0%47.0%39.7%47.3%25.8%4.6%7.2K108.7K-4500.5780.27N/AN/A10158451339
2016-07-12$10.89$12.5076.1%15.9%47.7%35.5%46.1%23.9%-1.0%1.9K87.2K-3990.5770.44N/AN/A10158451339
2016-07-13$11.09$12.5059.9%17.2%48.0%27.8%33.5%13.6%0.7%-1.2K78.6K-4020.5776.40N/AN/A10158451339
2016-07-14$11.06$12.5049.1%14.1%47.3%22.6%83.2%10.4%12.6%-1.5K48.1K-4910.44107.39N/AN/A13158451339
2016-07-15$11.11$12.5047.0%13.5%44.4%21.6%35.5%30.8%10.7%-1.3K71.1K-4360.4862.26N/AN/A12258461339
2016-07-18$11.01$12.5049.8%14.3%43.5%23.0%51.3%4.9%10.5%-1.5K80.7K-4681.2174.55N/AN/A121146101156
2016-07-19$10.89$12.5048.2%13.8%43.5%22.2%50.1%1.2%-5.7%-1.2K175.9K-6740.5567.28N/AN/A12166161256
2016-07-20$11.04$12.5048.6%13.9%43.7%22.4%53.6%-3.1%-7.9%-1.3K200.9K-6760.6589.67N/AN/A10166161276
2016-07-21$10.90$12.5066.2%19.0%42.9%30.7%45.9%16.7%-27.3%-589182.8K-7340.6599.30N/AN/A10166201276
2016-07-22$11.17$12.5054.0%15.5%43.0%25.0%35.9%28.6%-8.9%-524180.9K-7470.7357.61N/AN/A9166201276
2016-07-25$10.99$12.5044.3%12.7%39.7%20.4%37.1%0.9%-1.8%-704199.1K-6790.7759.42N/AN/A8666211276
2016-07-26$11.29$12.5048.5%13.9%28.2%22.4%47.0%19.2%-3.1%98183.0K-7330.7391.06N/AN/A9166213276
2016-07-27$10.83$12.5042.7%12.2%32.5%19.6%43.4%-0.9%-7.7%-694200.6K-5930.95114.45N/AN/A9186223276
2016-07-28$10.87$12.5049.8%14.3%32.5%23.0%44.0%7.8%-12.9%-1.2K232.1K-7080.95115.53N/AN/A9186218316
2016-07-29$10.64$12.5055.6%16.0%33.7%25.8%64.2%-3.4%-14.1%-722235.7K-6490.95137.95N/AN/A9186218316