VICR Options History — November 2016

In November 2016, VICR traded between $12.40 and $15.25. ATM implied volatility averaged 39.6%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 5.4% (HV 20d: 44.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2016-11-02: Highest Volume — 558 contracts
  • 2016-11-09: Largest IV drop — 40.0% change
  • 2016-11-07: Highest IV Rank — 20.9%
  • 2016-11-03: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.95$12.40$15.25$12.55$14.65
Max Pain$12.38$10.00$15.00$10.00$15.00
ATM IV39.6%29.4%52.3%45.0%42.9%
Expected Move10.9%8.4%13.0%12.9%12.3%
HV 20d44.9%37.5%54.5%38.1%45.9%
HV 60d38.3%34.7%41.4%34.7%40.2%
IV Rank14.7%9.6%20.9%17.5%16.3%
IV Percentile19.0%1.6%57.1%30.6%25.8%
Term Structure2.1%-9.8%19.6%-0.9%-0.7%
VWIV43.8%31.4%52.4%46.4%47.1%
Skew 25d7.6%-8.3%60.6%-2.8%-4.6%
Skew 10d13.7%-6.3%117.9%-3.4%-6.3%
Call IV 25d37.6%24.2%52.2%51.1%49.8%
Put IV 25d45.2%31.9%90.7%48.4%45.2%
Bid-Ask Spread %101.4570.64114.29110.03113.63
Gamma HHI0.570.380.740.420.56
Net GEX-7.2K-11.3K3.0K710-10.6K
Net DEX176.7K32.5K309.8K113.4K280.1K
Net VEX-1.3K-1.6K-978-978-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.402.270.401.72
Total Volume406.286232558478256
Total OI668.476543748628594

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$12.55$10.0045.0%12.9%38.1%17.5%46.4%-2.8%-0.9%710113.4K-9780.40110.03N/AN/A341137271357
2016-11-02$12.40$10.0044.1%12.6%37.7%17.1%46.4%4.7%-3.1%1.2K139.4K-1.0K0.64105.02N/AN/A341217271377
2016-11-03$12.41$12.5047.9%13.0%37.6%18.8%47.6%-3.0%-2.9%-1.6K232.2K-1.1K0.6470.64N/AN/A338217271477
2016-11-04$12.65$12.5051.6%12.6%37.5%20.6%43.9%5.7%-2.1%-2.2K216.1K-1.1K0.7286.41N/AN/A303217270477
2016-11-07$13.00$12.5052.3%10.4%38.3%20.9%40.3%60.6%1.6%-4.7K229.9K-1.1K0.62105.27N/AN/A304187243477
2016-11-08$12.95$12.5049.0%12.1%37.9%19.3%42.2%3.8%0.2%3.0K205.2K-1.2K0.62102.14N/AN/A304187243497
2016-11-09$13.80$12.5029.4%8.4%43.2%9.6%46.4%9.4%1.4%-10.7K173.8K-1.1K0.6285.26N/AN/A304187243497
2016-11-10$14.25$12.5033.4%9.6%42.9%11.6%48.6%24.1%19.6%-7.9K78.8K-1.5K0.6691.58N/AN/A285187243497
2016-11-11$14.50$12.5039.5%11.3%42.4%14.6%44.8%9.7%1.1%-8.5K61.5K-1.6K0.66100.46N/AN/A285187235497
2016-11-14$13.73$12.5034.3%9.8%48.5%12.1%32.3%-8.3%-9.8%-9.4K104.9K-1.4K0.6683.98N/AN/A285187235497
2016-11-15$14.25$12.5031.3%9.0%49.5%10.6%52.4%14.4%7.2%-8.4K92.8K-1.4K0.45107.30N/AN/A291132235497
2016-11-16$14.30$12.5037.3%10.7%49.5%13.5%52.0%21.5%11.1%-7.5K91.0K-1.4K0.56110.10N/AN/A291162241472
2016-11-17$14.70$12.5036.3%10.4%49.7%13.0%35.5%2.0%5.2%-10.1K32.5K-1.4K0.56110.02N/AN/A291162241472
2016-11-18$14.05$12.5037.1%10.6%53.5%13.4%31.4%-5.4%1.0%-9.7K63.8K-1.4K0.5677.48N/AN/A291162241472
2016-11-21$14.23$12.5030.3%8.7%53.4%10.1%46.1%7.7%3.9%-11.3K309.8K-1.3K2.27112.64N/AN/A7116172471
2016-11-22$14.80$12.5033.1%9.5%54.5%11.5%38.4%3.9%8.1%-10.7K268.3K-1.3K2.01114.29N/AN/A8016172471
2016-11-23$14.75$12.5035.8%10.3%46.3%12.8%49.1%4.8%4.1%-11.0K272.9K-1.4K1.71112.63N/AN/A9416182471
2016-11-25$15.00$12.5038.2%11.0%46.2%14.0%0.0%1.8%0.1%-9.8K258.0K-1.3K1.71110.32N/AN/A94161102471
2016-11-28$15.25$12.5042.0%12.1%45.4%15.9%0.0%6.6%-1.7%-11.2K240.4K-1.4K1.71109.16N/AN/A94161102491
2016-11-29$14.80$12.5040.3%11.5%46.0%15.0%41.3%2.9%0.8%-10.9K246.8K-1.5K1.72112.14N/AN/A94162102491
2016-11-30$14.65$15.0042.9%12.3%45.9%16.3%47.1%-4.6%-0.7%-10.6K280.1K-1.4K1.72113.63N/AN/A94162102492