VICR Options History — May 2017

In May 2017, VICR traded between $16.75 and $17.90. ATM implied volatility averaged 32.9%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.3% (HV 20d: 28.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.28.

Notable Days

  • 2017-05-31: Highest Volume — 533 contracts
  • 2017-05-16: Largest IV spike — 28.2% change
  • 2017-05-09: Highest IV Rank — 25.7%
  • 2017-05-31: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.43$16.75$17.90$17.70$17.15
Max Pain$15.34$15.00$17.50$17.50$15.00
ATM IV32.9%26.6%39.4%33.7%37.2%
Expected Move9.2%7.6%10.7%9.6%10.7%
HV 20d28.6%21.2%34.3%34.3%21.9%
HV 60d30.9%30.2%31.7%31.7%30.2%
IV Rank15.3%5.2%25.7%16.5%22.1%
IV Percentile14.2%0.8%42.1%11.9%33.7%
Term Structure0.8%-3.7%8.2%-3.7%-2.3%
VWIV35.7%27.3%45.9%33.7%40.5%
Skew 25d2.9%-5.3%11.8%2.9%-1.3%
Skew 10d6.9%-4.3%20.5%5.0%-4.3%
Call IV 25d30.1%24.8%41.2%31.6%41.2%
Put IV 25d33.1%25.8%40.7%34.6%39.9%
Bid-Ask Spread %103.2270.72113.47107.63109.78
Gamma HHI0.270.240.320.260.28
Net GEX-6.8K-12.9K-168-6.4K-11.2K
Net DEX336.8K221.0K481.8K230.4K420.6K
Net VEX-2.0K-2.6K-1.7K-2.2K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.281.893.022.072.10
Total Volume462.727370533464533
Total OI800.5723883797883

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$17.70$17.5033.7%9.6%34.3%16.5%33.7%2.9%-3.7%-6.4K230.4K-2.2K2.07107.63N/AN/A151313215582
2017-05-02$17.90$17.5030.2%8.7%34.1%11.0%29.9%1.8%4.1%-5.8K221.0K-2.1K2.0790.41N/AN/A151313215582
2017-05-03$17.65$17.5029.6%8.5%32.7%10.0%29.3%5.0%4.7%-5.3K236.6K-2.2K2.05108.89N/AN/A151310215582
2017-05-04$17.60$15.0034.1%9.1%32.5%17.1%34.8%10.7%1.7%-5.5K258.3K-2.2K2.1770.72N/AN/A152330215584
2017-05-05$17.64$15.0032.2%9.0%32.5%14.1%27.3%11.8%2.7%-4.7K292.7K-2.2K2.1799.16N/AN/A152330216606
2017-05-08$17.75$15.0034.8%8.8%31.7%18.3%41.0%3.9%1.8%-4.3K282.6K-2.2K2.17105.73N/AN/A152330216606
2017-05-09$17.65$15.0039.4%9.2%31.9%25.7%30.6%4.8%-0.4%-5.4K276.3K-2.1K2.1797.27N/AN/A152330216606
2017-05-10$17.80$15.0032.5%9.3%30.1%14.7%30.2%6.1%0.3%-3.6K239.7K-2.1K2.1789.74N/AN/A152330216595
2017-05-11$17.70$15.0033.8%9.7%29.7%16.7%42.3%5.5%0.4%-1.6K282.3K-2.1K2.17101.96N/AN/A152330216595
2017-05-12$17.25$15.0036.3%10.4%29.8%20.7%31.6%2.9%-2.4%-168303.0K-2.0K2.17101.81N/AN/A152330216595
2017-05-15$17.25$15.0028.7%8.2%29.6%8.6%37.3%2.3%2.9%-2.2K345.0K-2.0K1.92110.02N/AN/A171328236615
2017-05-16$17.25$15.0036.8%10.6%28.3%21.5%32.8%0.3%-2.8%-1.9K347.9K-2.0K1.92104.24N/AN/A171328236615
2017-05-17$16.75$15.0029.5%8.5%29.9%9.9%32.0%-5.3%-0.1%-5.2K410.6K-2.0K1.89105.82N/AN/A174328236615
2017-05-18$17.00$15.0035.3%10.1%28.8%19.0%30.8%8.3%-0.1%-3.2K405.3K-2.0K1.89102.53N/AN/A174328259615
2017-05-19$16.90$15.0034.1%9.8%28.8%17.1%36.7%-1.9%-2.2%-11.1K481.8K-1.8K1.89105.28N/AN/A174328259615
2017-05-22$17.05$15.0036.1%10.4%28.4%20.4%35.6%-0.9%-2.5%-11.1K433.0K-1.9K3.02110.29N/AN/A92278147576
2017-05-23$17.50$15.0034.7%9.9%25.6%18.1%43.2%2.6%-0.9%-12.0K400.3K-1.9K3.02105.78N/AN/A92278147576
2017-05-24$17.65$15.0027.4%7.8%22.5%6.4%0.0%2.5%6.1%-12.9K376.6K-1.9K3.02110.43N/AN/A92278147576
2017-05-25$17.60$15.0026.6%7.6%22.1%5.2%44.8%3.1%8.2%-12.8K361.3K-1.9K3.02111.13N/AN/A92278147576
2017-05-26$17.55$15.0030.6%8.8%21.2%11.7%45.9%-2.8%3.1%-12.2K376.8K-1.8K3.02108.66N/AN/A92278147576
2017-05-30$17.10$15.0030.5%8.7%22.3%11.4%39.6%2.2%-2.0%-11.8K426.4K-1.7K2.08113.47N/AN/A172358147576
2017-05-31$17.15$15.0037.2%10.7%21.9%22.1%40.5%-1.3%-2.3%-11.2K420.6K-2.6K2.10109.78N/AN/A172361227656