VICR Options History — April 2017

In April 2017, VICR traded between $15.70 and $18.60. ATM implied volatility averaged 37.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 3.3% (HV 20d: 34.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 12 of 18 trading days. Term structure was in contango for 7 of 18 days. Put/call ratio averaged 1.44.

Notable Days

  • 2017-04-20: Highest Volume — 668 contracts
  • 2017-04-04: Largest IV spike — 39.6% change
  • 2017-04-11: Highest IV Rank — 33.9%
  • 2017-04-04: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.66$15.70$18.60$15.80$18.00
Max Pain$17.08$15.00$17.50$15.00$17.50
ATM IV37.6%31.8%47.9%34.1%34.8%
Expected Move10.6%9.1%13.6%9.8%10.0%
HV 20d34.3%31.8%35.9%35.0%33.5%
HV 60d30.8%29.8%31.8%30.7%31.8%
IV Rank21.4%12.8%33.9%14.9%18.3%
IV Percentile27.7%5.2%73.8%11.5%16.3%
Term Structure-0.3%-12.3%9.7%6.3%-2.7%
VWIV36.7%29.1%47.8%33.8%34.7%
Skew 25d5.9%-3.6%15.1%2.9%7.1%
Skew 10d10.6%0.1%23.8%3.5%9.6%
Call IV 25d34.9%26.5%40.7%31.8%28.0%
Put IV 25d40.8%32.2%50.1%34.7%35.1%
Bid-Ask Spread %99.7068.22109.46107.9583.52
Gamma HHI0.460.270.670.520.30
Net GEX3.3K-4.6K12.3K7.0K-2.0K
Net DEX-159.1K-480.9K172.9K-107.5K149.0K
Net VEX-2.1K-2.4K-1.8K-2.3K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.441.092.071.302.07
Total Volume569.056398668616464
Total OI1,230.2786611,5131,441747

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$15.80$15.0034.1%9.8%35.0%14.9%33.8%2.9%6.3%7.0K-107.5K-2.3K1.30107.95N/AN/A268348684757
2017-04-04$15.70$15.0047.6%13.6%34.1%33.5%47.8%12.7%-9.2%7.3K-149.1K-2.4K1.30108.02N/AN/A268348714712
2017-04-05$15.75$15.0034.1%9.8%33.6%14.8%33.9%-3.6%5.9%9.1K-168.0K-2.2K1.30107.17N/AN/A268348714712
2017-04-06$16.15$17.5032.7%9.5%34.3%13.0%36.8%5.6%6.7%4.9K-266.3K-2.2K1.3095.41N/AN/A268348714712
2017-04-07$16.25$17.5032.6%9.7%34.0%12.8%30.9%8.6%9.7%4.0K-289.3K-2.1K1.30102.55N/AN/A268348714712
2017-04-10$15.85$17.5044.7%11.8%35.2%29.5%37.1%3.5%-2.9%8.3K-189.7K-2.1K1.3068.22N/AN/A268348714712
2017-04-11$16.20$17.5047.9%11.0%35.9%33.9%40.9%3.4%3.9%4.8K-267.2K-2.1K1.30109.46N/AN/A268348714712
2017-04-12$15.80$17.5041.3%11.8%35.7%28.7%36.5%3.9%-1.1%9.5K-241.3K-1.9K1.3098.48N/AN/A268348714712
2017-04-13$15.70$17.5039.1%11.2%35.8%25.0%38.2%2.8%-1.4%12.3K-198.8K-1.9K1.30101.78N/AN/A268348714717
2017-04-18$16.15$17.5036.2%10.4%33.7%20.5%36.7%4.6%6.3%1.1K-314.5K-1.8K1.30105.85N/AN/A268348714717
2017-04-19$16.45$17.5036.2%10.4%34.5%20.5%41.5%9.4%-6.2%2.9K-293.4K-1.9K1.30107.65N/AN/A268348714717
2017-04-20$16.90$17.5034.2%9.8%33.6%17.4%35.2%10.1%-0.2%-97-435.4K-1.9K1.09101.84N/AN/A320348714717
2017-04-21$16.98$17.5037.3%10.7%32.0%22.3%37.6%5.0%-1.7%-3.0K-480.9K-2.0K1.09101.49N/AN/A320348796717
2017-04-24$17.25$17.5036.0%10.3%31.8%20.3%36.2%15.1%-3.2%-2.0K172.9K-2.0K1.84104.69N/AN/A140258194467
2017-04-25$18.00$17.5043.6%12.5%34.2%32.3%43.6%1.8%-12.3%-3.6K124.3K-2.0K1.7487.70N/AN/A148258194467
2017-04-26$18.60$17.5031.8%9.1%35.5%13.5%29.6%5.7%-4.3%3.5K12.9K-1.8K1.9795.26N/AN/A151298207467
2017-04-27$18.35$17.5032.4%9.3%34.8%14.5%29.1%7.8%0.9%-4.6K79.1K-2.2K1.74107.57N/AN/A151263215527
2017-04-28$18.00$17.5034.8%10.0%33.5%18.3%34.7%7.1%-2.7%-2.0K149.0K-2.2K2.0783.52N/AN/A151313215532