VICR Options History — December 2016

In December 2016, VICR traded between $14.30 and $16.05. ATM implied volatility averaged 40.9%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 4.0% (HV 20d: 44.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2016-12-16: Highest Volume — 300 contracts
  • 2016-12-14: Largest IV drop — 39.4% change
  • 2016-12-13: Highest IV Rank — 27.0%
  • 2016-12-15: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.48$14.30$16.05$14.55$15.00
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV40.9%30.7%64.6%39.4%34.4%
Expected Move10.9%8.8%13.1%11.3%9.9%
HV 20d44.9%39.7%52.7%45.7%41.3%
HV 60d41.7%40.0%43.5%40.1%41.2%
IV Rank15.3%10.3%27.0%14.6%12.1%
IV Percentile23.2%2.0%81.3%13.9%6.7%
Term Structure0.0%-6.8%7.6%-4.7%1.8%
VWIV39.3%31.1%59.1%44.4%34.6%
Skew 25d10.1%-6.1%59.0%0.5%4.2%
Skew 10d16.3%-0.3%121.8%3.3%7.9%
Call IV 25d32.6%25.2%45.9%41.6%31.9%
Put IV 25d42.8%34.1%89.1%42.1%36.1%
Bid-Ask Spread %107.66100.56112.59112.29106.46
Gamma HHI0.600.540.670.580.64
Net GEX-14.7K-20.1K-11.2K-11.4K-17.7K
Net DEX239.2K186.4K312.2K294.6K293.0K
Net VEX-1.5K-1.6K-1.3K-1.4K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.931.751.720.93
Total Volume262.095243300256263
Total OI639.905594687594656

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$14.55$15.0039.4%11.3%45.7%14.6%44.4%0.5%-4.7%-11.4K294.6K-1.4K1.72112.29N/AN/A94162102492
2016-12-02$14.30$15.0038.5%11.0%46.5%14.1%59.1%8.0%-4.0%-11.4K312.2K-1.3K1.72112.50N/AN/A94162102492
2016-12-05$14.60$15.0037.8%10.8%46.5%13.8%36.9%11.2%2.7%-12.6K312.2K-1.4K1.72100.56N/AN/A94162102512
2016-12-06$15.80$15.0047.3%11.4%52.7%18.5%40.3%13.7%0.7%-12.4K202.1K-1.4K1.72102.24N/AN/A94162102512
2016-12-07$15.90$15.0047.6%11.2%52.5%18.6%39.2%9.3%0.6%-12.7K188.8K-1.4K1.72103.78N/AN/A94162102512
2016-12-08$15.75$15.0045.2%12.4%48.9%17.4%43.4%11.4%-1.3%-11.2K186.4K-1.5K1.55106.10N/AN/A105163102512
2016-12-09$15.45$15.0043.2%10.9%48.8%16.5%38.1%7.9%3.7%-12.0K187.8K-1.5K1.55105.23N/AN/A105163113513
2016-12-12$14.95$15.0050.8%10.2%50.2%20.2%35.8%5.4%2.8%-13.6K219.6K-1.4K1.56106.27N/AN/A105164113513
2016-12-13$15.60$15.0064.6%11.0%47.6%27.0%38.5%59.0%1.6%-18.0K263.1K-1.5K1.75106.64N/AN/A105184113554
2016-12-14$15.55$15.0039.2%11.2%46.3%14.5%39.7%6.3%2.5%-13.9K279.0K-1.6K1.75112.59N/AN/A105184113574
2016-12-15$15.78$15.0045.6%13.1%46.4%17.6%45.9%12.4%-2.3%-13.5K261.6K-1.6K1.75107.57N/AN/A105184113574
2016-12-16$15.85$15.0039.1%11.2%45.6%14.4%39.1%4.7%4.8%-16.8K239.2K-1.6K1.59107.18N/AN/A116184113574
2016-12-19$15.90$15.0036.5%10.5%41.8%13.2%36.5%13.7%0.1%-15.9K224.8K-1.6K1.09109.19N/AN/A116127124517
2016-12-20$15.85$15.0035.1%10.1%41.9%12.4%35.1%4.2%-3.2%-20.1K227.5K-1.5K1.09108.93N/AN/A116127124517
2016-12-21$15.75$15.0030.7%8.8%40.0%10.3%31.1%4.9%7.6%-16.2K218.1K-1.6K1.09106.70N/AN/A116127124517
2016-12-22$15.70$15.0033.6%9.6%40.0%11.7%33.6%10.0%-1.0%-17.1K231.7K-1.5K1.09111.85N/AN/A116127124517
2016-12-23$15.68$15.0034.9%10.0%39.7%12.3%35.5%10.3%3.1%-15.7K231.5K-1.5K1.09101.87N/AN/A116127124517
2016-12-27$16.05$15.0037.5%10.7%40.1%13.6%37.5%11.7%-2.6%-17.0K206.4K-1.4K0.97110.45N/AN/A131127124517
2016-12-28$15.59$15.0037.7%10.8%40.0%13.7%38.9%-6.1%-6.8%-14.5K220.7K-1.6K0.97111.76N/AN/A131127139517
2016-12-29$15.40$15.0041.0%11.7%40.1%15.3%41.6%10.4%-5.6%-15.1K223.0K-1.5K0.97110.79N/AN/A131127139517
2016-12-30$15.00$15.0034.4%9.9%41.3%12.1%34.6%4.2%1.8%-17.7K293.0K-1.4K0.93106.46N/AN/A136127139517