VICR Options History — March 2017

In March 2017, VICR traded between $15.53 and $16.65. ATM implied volatility averaged 38.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 8.0% (HV 20d: 30.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.49.

Notable Days

  • 2017-03-13: Highest Volume — 610 contracts
  • 2017-03-28: Largest IV drop — 39.5% change
  • 2017-03-07: Highest IV Rank — 44.4%
  • 2017-03-01: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.98$15.53$16.65$16.20$16.25
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV38.0%23.3%49.1%47.0%28.7%
Expected Move10.0%6.7%13.5%13.5%8.2%
HV 20d30.0%26.7%34.6%28.1%33.5%
HV 60d30.4%28.0%33.7%33.7%30.4%
IV Rank21.3%0.0%44.4%43.2%7.4%
IV Percentile29.2%0.0%75.4%64.3%1.6%
Term Structure2.7%-18.0%14.4%-8.5%7.8%
VWIV36.7%28.9%47.5%44.0%34.2%
Skew 25d4.0%-15.8%14.7%10.9%7.7%
Skew 10d8.3%-2.4%17.7%6.8%11.7%
Call IV 25d34.3%22.6%55.7%44.5%22.6%
Put IV 25d38.3%24.9%55.4%55.4%30.2%
Bid-Ask Spread %105.6597.67110.10106.61109.57
Gamma HHI0.390.320.550.340.36
Net GEX-2.8K-9.1K9.1K-3.3K-1.2K
Net DEX63-160.1K152.9K-101.3K-160.1K
Net VEX-2.4K-3.0K-2.0K-2.5K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.491.031.931.031.44
Total Volume559.522521610582581
Total OI1,253.9131,1081,4411,1141,441

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$16.20$15.0047.0%13.5%28.1%43.2%44.0%10.9%-8.5%-3.3K-101.3K-2.5K1.03106.61N/AN/A286296508606
2017-03-02$16.10$15.0043.2%12.4%27.0%38.8%47.5%-5.3%-18.0%-3.0K-60.1K-2.6K1.13110.02N/AN/A261296508605
2017-03-03$15.70$15.0037.4%10.7%27.9%32.0%36.0%8.6%3.1%1.3K38.7K-2.1K1.13102.75N/AN/A261296513605
2017-03-06$15.55$15.0044.1%10.4%27.6%39.8%37.0%6.4%3.5%51541.5K-2.1K1.1397.67N/AN/A261296513605
2017-03-07$15.90$15.0048.1%8.1%27.2%44.4%28.9%7.0%13.8%-1.2K-26.9K-2.0K1.28108.48N/AN/A231296513605
2017-03-08$15.65$15.0035.1%10.2%27.1%29.3%35.7%-0.1%5.2%29246.1K-2.0K1.1698.70N/AN/A256296503605
2017-03-09$15.90$15.0046.5%10.7%26.9%29.0%36.4%-1.4%2.5%-135-19.7K-2.0K1.16104.56N/AN/A256296528605
2017-03-10$15.70$15.0044.1%10.5%27.6%25.6%36.6%3.2%0.7%-226-1.2K-2.1K1.3497.79N/AN/A256344528605
2017-03-13$15.60$15.0049.1%10.3%27.1%32.8%35.6%7.6%2.3%-4.9K136.2K-2.6K1.38100.85N/AN/A256354528788
2017-03-14$15.53$15.0048.3%10.4%27.2%31.7%36.6%8.6%2.1%-4.7K144.1K-2.6K1.72100.98N/AN/A206354528788
2017-03-15$15.98$15.0036.4%10.4%27.9%14.5%38.6%1.3%0.5%-6.2K38.7K-2.7K1.72105.17N/AN/A206354548788
2017-03-16$15.95$15.0031.6%9.0%26.7%7.5%32.9%-0.5%6.3%-6.6K27.0K-2.5K1.72105.52N/AN/A206354548788
2017-03-17$16.65$15.0032.4%9.3%30.2%8.7%37.5%9.7%2.2%-9.1K-88.0K-2.7K1.72108.03N/AN/A206354548788
2017-03-20$16.63$15.0029.0%8.3%30.2%3.8%29.4%-6.2%5.0%-8.7K-4.9K-2.7K1.93109.43N/AN/A178343479757
2017-03-21$16.10$15.0035.6%10.2%33.0%13.3%38.4%3.5%10.0%-8.1K60.6K-2.7K1.93107.12N/AN/A178343479757
2017-03-22$15.70$15.0035.6%10.2%34.5%13.3%38.8%7.6%5.7%-6.8K152.9K-2.4K1.93110.10N/AN/A178343479757
2017-03-23$16.00$15.0032.5%9.3%34.4%8.9%31.2%14.7%10.8%-7.4K127.6K-2.3K1.47105.22N/AN/A233343479757
2017-03-24$15.85$15.0043.9%12.6%34.6%25.3%42.5%9.1%-9.6%-3.3K63.9K-2.5K1.87108.15N/AN/A183343554757
2017-03-27$16.00$15.0038.5%11.0%30.3%17.5%37.3%1.9%-1.7%9.1K-50.6K-2.0K1.87108.20N/AN/A183343579757
2017-03-28$16.55$15.0023.3%6.7%32.6%0.0%37.1%13.3%14.4%-2.6K-129.0K-2.3K1.33108.90N/AN/A258343579757
2017-03-29$16.05$15.0030.6%8.8%34.4%10.1%40.0%-15.8%-3.0%-1.6K-116.3K-3.0K1.44109.84N/AN/A238343679757
2017-03-30$16.00$15.0033.0%9.5%34.4%13.4%32.6%-0.3%7.6%2.8K-117.8K-2.5K1.44106.37N/AN/A238343684757
2017-03-31$16.25$15.0028.7%8.2%33.5%7.4%34.2%7.7%7.8%-1.2K-160.1K-2.8K1.44109.57N/AN/A238343684757