VICR Options History — August 2016

In August 2016, VICR traded between $9.76 and $10.86. ATM implied volatility averaged 45.2%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 17.3% (HV 20d: 27.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.32.

Notable Days

  • 2016-08-01: Highest Volume — 177 contracts
  • 2016-08-30: Largest IV spike — 43.8% change
  • 2016-08-09: Highest IV Rank — 29.2%
  • 2016-08-02: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.23$9.76$10.86$10.42$10.86
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV45.2%32.9%62.9%46.1%53.9%
Expected Move12.7%9.4%15.9%13.2%15.5%
HV 20d27.9%20.5%34.9%34.7%20.5%
HV 60d36.7%33.6%40.3%40.0%33.8%
IV Rank20.8%14.9%29.2%21.2%24.9%
IV Percentile25.6%7.5%63.1%22.2%49.6%
Term Structure0.8%-12.5%14.9%1.1%-6.1%
VWIV54.2%48.0%63.1%48.0%51.3%
Skew 25d10.1%-2.9%64.2%7.6%7.0%
Skew 10d19.5%-5.1%106.9%31.1%25.7%
Call IV 25d42.5%34.3%64.4%45.0%51.3%
Put IV 25d52.6%36.2%100.4%52.6%58.2%
Bid-Ask Spread %84.7641.59117.32115.11112.79
Gamma HHI0.420.360.550.420.51
Net GEX-865-2.2K-366-1.1K-2.0K
Net DEX252.7K193.8K335.1K254.8K306.9K
Net VEX-413-611-334-533-556
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.003.190.953.19
Total Volume119.9130177177113
Total OI482.391380535534460

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$10.42$12.5046.1%13.2%34.7%21.2%48.0%7.6%1.1%-1.1K254.8K-5330.95115.11N/AN/A9186218316
2016-08-02$10.16$12.5055.5%15.9%34.9%25.7%63.1%6.7%-8.1%-473193.8K-4610.95108.31N/AN/A9186218256
2016-08-03$10.13$12.5051.9%14.9%34.9%24.0%51.3%5.0%-7.2%-472220.8K-4140.7375.14N/AN/A9166218276
2016-08-04$9.96$0.0048.6%13.5%34.9%22.4%0.0%13.7%-2.3%-498218.3K-3980.73115.22N/AN/A9166218276
2016-08-05$9.96$0.0043.8%12.1%29.7%20.1%0.0%7.0%3.9%-499221.1K-3720.73109.96N/AN/A9166218276
2016-08-08$9.90$0.0048.7%13.0%29.2%22.4%0.0%4.5%2.4%-590238.5K-4140.73111.99N/AN/A9166218296
2016-08-09$9.80$0.0062.9%13.2%27.4%29.2%0.0%14.7%1.6%-468239.9K-3610.73110.44N/AN/A9166218296
2016-08-10$9.76$0.0037.3%10.7%26.0%17.1%0.0%-1.8%7.8%-433243.5K-3520.73111.51N/AN/A9166218296
2016-08-11$9.84$0.0039.1%11.2%26.4%17.9%0.0%2.8%13.8%-617233.3K-3990.7264.93N/AN/A9266218296
2016-08-12$9.78$0.0037.6%10.8%26.2%17.2%0.0%3.8%6.5%-451238.6K-3610.7265.63N/AN/A9266219296
2016-08-15$9.93$0.0033.7%9.7%27.2%15.3%0.0%4.3%14.9%-366244.2K-3650.7283.44N/AN/A9266219296
2016-08-16$10.05$0.0037.0%10.6%27.8%16.9%0.0%64.2%12.1%-558266.5K-3700.7257.94N/AN/A9266219316
2016-08-17$9.86$0.0042.3%12.1%27.5%19.4%0.0%-2.9%2.9%-525261.6K-3750.00117.32N/AN/A00219316
2016-08-18$9.90$0.0032.9%9.4%27.5%14.9%0.0%4.4%12.5%-482264.1K-3670.0045.68N/AN/A10219316
2016-08-19$10.29$0.0046.1%13.2%29.9%21.2%0.0%58.8%0.7%-780273.1K-3340.7259.62N/AN/A9266219316
2016-08-22$10.43$0.0043.0%12.3%30.1%19.8%0.0%0.1%7.2%-1.1K231.2K-3841.70111.91N/AN/A2746104276
2016-08-23$10.58$0.0048.2%13.8%28.8%22.2%0.0%13.4%-0.7%-1.4K247.7K-4461.7056.57N/AN/A2746104296
2016-08-24$10.62$0.0047.0%13.5%25.1%21.6%0.0%14.4%-9.7%-1.4K252.8K-4360.0049.63N/AN/A00103296
2016-08-25$10.73$0.0041.7%11.9%25.3%19.1%0.0%5.3%-12.5%-890264.3K-3601.7041.59N/AN/A2746104296
2016-08-26$10.73$0.0052.3%15.0%24.1%24.1%0.0%-1.4%-7.7%-1.7K268.6K-4813.1964.08N/AN/A2786104316
2016-08-29$10.76$0.0037.2%10.7%22.8%17.0%0.0%-0.1%-9.7%-869335.1K-3433.1944.21N/AN/A2786104356
2016-08-30$10.75$0.0053.5%15.3%20.5%24.7%0.0%0.6%-5.2%-2.2K294.1K-6113.19116.56N/AN/A2786104356
2016-08-31$10.86$0.0053.9%15.5%20.5%24.9%0.0%7.0%-6.1%-2.0K306.9K-5563.19112.79N/AN/A2786104356