VICR Options History — September 2016

In September 2016, VICR traded between $11.19 and $12.10. ATM implied volatility averaged 44.7%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 11.1% (HV 20d: 33.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.79.

Notable Days

  • 2016-09-01: Highest Volume — 134 contracts
  • 2016-09-12: Largest IV spike — 38.0% change
  • 2016-09-12: Highest IV Rank — 40.2%
  • 2016-09-14: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.57$11.19$12.10$11.33$11.64
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV44.7%26.3%86.2%40.8%34.5%
Expected Move10.8%7.5%13.8%11.7%9.9%
HV 20d33.6%23.3%43.8%23.3%41.5%
HV 60d34.4%30.2%36.6%34.8%33.8%
IV Rank20.6%11.8%40.2%18.7%15.7%
IV Percentile25.9%4.0%88.9%13.9%7.5%
Term Structure2.1%-16.8%17.4%-0.4%10.8%
VWIV38.6%32.8%46.1%35.0%42.1%
Skew 25d10.4%-6.4%19.6%18.9%10.4%
Skew 10d18.3%1.4%62.7%26.1%62.7%
Call IV 25d40.5%30.1%57.6%36.6%35.2%
Put IV 25d50.8%43.4%71.5%55.4%45.6%
Bid-Ask Spread %87.6252.74117.4563.2781.33
Gamma HHI0.490.440.550.490.44
Net GEX-3.8K-5.0K-2.3K-2.3K-4.4K
Net DEX311.1K267.8K380.8K314.0K347.7K
Net VEX-746-913-574-574-743
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.793.793.793.793.79
Total Volume134134134134134
Total OI495.238460521460521

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$11.33$0.0040.8%11.7%23.3%18.7%0.0%18.9%-0.4%-2.3K314.0K-5743.7963.27N/AN/A28106104356
2016-09-02$11.79$0.0045.0%12.9%26.0%20.7%0.0%13.0%-16.8%-3.7K267.8K-9133.79115.41N/AN/A28106105376
2016-09-06$11.42$12.5040.0%10.1%29.3%18.3%35.0%5.7%1.1%-3.5K291.1K-7653.7979.06N/AN/A28106105376
2016-09-07$11.63$12.5053.0%11.2%28.8%24.5%36.4%17.7%-6.6%-3.4K296.8K-7593.7987.89N/AN/A28106105376
2016-09-08$11.52$12.5055.0%11.2%29.2%25.4%39.6%-6.4%2.9%-3.8K279.5K-8043.79105.15N/AN/A28106105376
2016-09-09$11.24$12.5062.4%10.6%31.4%29.0%38.8%-3.7%0.1%-3.0K300.2K-7003.7971.99N/AN/A28106105376
2016-09-12$11.53$12.5086.2%10.3%31.7%40.2%36.7%10.7%2.4%-3.1K315.2K-6683.79112.28N/AN/A28106105376
2016-09-13$11.49$12.5071.3%10.3%31.9%33.2%34.6%13.0%0.8%-3.5K300.2K-7563.79106.49N/AN/A28106105376
2016-09-14$11.40$12.5048.1%13.8%32.3%22.2%46.1%13.9%-6.7%-3.3K281.6K-7753.79114.64N/AN/A28106105376
2016-09-15$11.77$12.5039.5%11.3%32.0%18.1%38.7%12.0%0.1%-3.8K276.5K-8413.79112.14N/AN/A28106105376
2016-09-16$11.80$12.5038.0%10.9%32.0%17.4%40.6%19.6%6.3%-4.3K277.1K-8313.7958.96N/AN/A28106105376
2016-09-19$11.52$12.5031.4%9.0%32.0%14.2%32.9%1.4%11.0%-4.3K313.0K-7373.7984.87N/AN/A28106105396
2016-09-20$11.39$12.5033.2%9.5%32.4%15.1%38.8%6.9%8.6%-3.4K343.4K-6313.7979.50N/AN/A28106105396
2016-09-21$11.52$12.5041.3%11.8%32.3%19.0%43.3%18.7%2.6%-3.8K303.8K-8013.79117.45N/AN/A28106105396
2016-09-22$12.10$12.5033.7%9.7%36.0%15.3%34.5%16.5%9.1%-5.0K306.0K-8093.7968.38N/AN/A28106105396
2016-09-23$11.85$12.5040.9%11.7%37.3%18.8%41.8%11.3%-2.6%-5.0K311.2K-8493.7956.35N/AN/A28106105416
2016-09-26$11.70$12.5041.9%12.0%37.8%19.2%43.1%14.2%-0.1%-4.6K308.0K-8353.79113.28N/AN/A28106105416
2016-09-27$11.19$12.5044.1%12.7%41.6%20.3%39.5%3.5%-12.4%-3.4K364.4K-6213.7980.39N/AN/A28106105416
2016-09-28$11.62$12.5032.9%9.4%43.4%14.9%39.0%8.1%17.4%-4.3K354.1K-6803.7978.50N/AN/A28106105416
2016-09-29$11.47$12.5026.3%7.5%43.8%11.8%32.8%12.2%15.7%-3.7K380.8K-5743.7952.74N/AN/A28106105416
2016-09-30$11.64$12.5034.5%9.9%41.5%15.7%42.1%10.4%10.8%-4.4K347.7K-7433.7981.33N/AN/A28106105416