VICR Options History — October 2016

In October 2016, VICR traded between $11.50 and $13.25. ATM implied volatility averaged 42.6%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 8.3% (HV 20d: 34.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-10-26: Highest Volume — 478 contracts
  • 2016-10-05: Largest IV spike — 53.8% change
  • 2016-10-10: Highest IV Rank — 21.6%
  • 2016-10-14: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.96$11.50$13.25$11.63$12.70
Max Pain$10.36$10.00$12.50$12.50$10.00
ATM IV42.6%28.4%50.8%45.1%47.3%
Expected Move11.8%8.2%13.6%12.9%13.6%
HV 20d34.3%22.1%38.9%38.9%37.8%
HV 60d32.3%29.7%34.6%32.4%34.6%
IV Rank17.6%12.8%21.6%20.7%18.7%
IV Percentile23.5%4.4%48.0%27.8%38.9%
Term Structure-0.1%-12.9%13.6%7.0%-1.9%
VWIV44.7%34.0%56.8%48.1%48.3%
Skew 25d5.3%-6.5%29.1%12.2%8.7%
Skew 10d20.9%0.6%69.0%23.0%13.6%
Call IV 25d42.4%31.7%53.5%48.8%40.8%
Put IV 25d47.8%30.8%66.5%61.0%49.5%
Bid-Ask Spread %87.9141.69117.13117.13110.73
Gamma HHI0.440.350.580.450.50
Net GEX-1.4K-4.4K8.1K-3.9K4.7K
Net DEX255.4K-38.8K374.9K345.0K8.9K
Net VEX-684-1.2K-403-654-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.301.831.830.40
Total Volume243.905164478164478
Total OI571.238348728521728

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$11.63$12.5045.1%12.9%38.9%20.7%48.1%12.2%7.0%-3.9K345.0K-6541.83117.13N/AN/A58106105416
2016-10-04$11.58$12.5028.4%8.2%37.2%12.8%34.0%7.5%13.6%-3.7K348.8K-6171.8373.19N/AN/A58106135416
2016-10-05$11.87$12.5043.8%12.5%37.7%18.1%45.3%16.2%4.4%-4.4K296.2K-8141.83114.92N/AN/A58106135416
2016-10-06$11.85$10.0046.8%11.2%37.5%19.6%45.5%0.9%-1.6%-4.2K290.6K-7541.83104.61N/AN/A58106135416
2016-10-07$11.67$10.0035.5%9.1%36.8%14.1%41.1%-3.4%3.6%-3.9K335.5K-6011.8352.37N/AN/A58106135416
2016-10-10$11.80$10.0050.8%10.9%35.9%21.6%40.4%10.7%4.8%-3.8K317.4K-6481.8344.15N/AN/A58106135416
2016-10-11$11.65$10.0048.7%12.2%36.2%20.5%46.9%3.8%-0.4%-3.7K320.4K-6351.83113.42N/AN/A58106135416
2016-10-12$11.80$10.0044.4%12.7%36.3%18.4%41.5%-6.5%-6.1%-4.0K341.1K-5831.8341.69N/AN/A58106135416
2016-10-13$11.60$10.0043.1%12.4%35.0%17.8%46.0%3.1%-0.5%-3.7K336.6K-5891.8377.35N/AN/A58106135416
2016-10-14$11.50$10.0047.3%13.6%35.1%19.9%43.9%13.0%-12.9%-3.2K333.2K-5441.83106.79N/AN/A58106135416
2016-10-17$11.58$10.0038.3%11.0%34.2%15.5%49.6%6.5%8.2%-3.2K334.6K-5111.8358.38N/AN/A58106135416
2016-10-18$11.75$10.0041.6%11.9%34.2%17.1%56.8%29.1%6.5%-3.4K343.1K-4541.8391.16N/AN/A58106135416
2016-10-19$11.78$10.0037.5%10.7%34.0%15.1%47.1%-6.4%0.2%-3.9K323.1K-5301.8364.66N/AN/A58106135416
2016-10-20$11.75$10.0045.7%13.1%28.9%19.1%54.9%2.6%-6.0%-2.8K374.9K-5181.8381.12N/AN/A58106135416
2016-10-21$11.75$10.0044.7%12.8%28.0%18.6%44.8%2.0%-10.4%-2.4K362.4K-4171.8376.78N/AN/A58106135395
2016-10-24$11.80$10.0042.0%12.0%27.7%17.3%45.4%-5.1%-5.2%-2.4K284.4K-4030.3079.81N/AN/A2878642306
2016-10-25$11.90$10.0040.6%11.6%22.1%16.6%42.5%8.2%-0.7%6.4K126.4K-6800.30110.18N/AN/A29186317306
2016-10-26$13.00$10.0043.1%12.4%35.7%17.8%41.9%1.1%-1.9%4.7K-9.6K-8850.40107.95N/AN/A341137321306
2016-10-27$13.25$10.0040.5%11.6%35.3%15.3%36.6%2.5%5.4%8.1K-38.8K-1.2K0.40109.39N/AN/A341137371357
2016-10-28$13.00$10.0040.2%11.5%36.4%15.2%37.3%5.5%-8.3%3.9K-11.2K-1.2K0.40110.23N/AN/A341137371357
2016-10-31$12.70$10.0047.3%13.6%37.8%18.7%48.3%8.7%-1.9%4.7K8.9K-1.2K0.40110.73N/AN/A341137371357