VICR Options History — June 2017

In June 2017, VICR traded between $17.75 and $20.40. ATM implied volatility averaged 33.4%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 9.6% (HV 20d: 42.9%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.76.

Notable Days

  • 2017-06-05: Highest Volume — 818 contracts
  • 2017-06-21: Largest IV spike — 22.9% change
  • 2017-06-12: Highest IV Rank — 23.5%
  • 2017-06-26: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.14$17.75$20.40$17.75$18.00
Max Pain$19.55$15.00$20.00$15.00$20.00
ATM IV33.4%27.0%38.1%31.2%30.4%
Expected Move9.3%7.7%10.8%8.9%8.7%
HV 20d42.9%24.9%46.7%24.9%29.8%
HV 60d35.6%30.8%36.5%30.8%35.1%
IV Rank16.0%5.9%23.5%12.5%11.2%
IV Percentile18.5%1.2%43.7%7.1%6.0%
Term Structure4.8%-2.1%14.9%4.4%10.0%
VWIV31.1%23.3%35.7%31.4%30.9%
Skew 25d3.5%-4.5%14.5%-4.5%-0.5%
Skew 10d5.0%-10.7%20.9%-8.6%-2.5%
Call IV 25d34.0%23.0%38.8%37.7%38.3%
Put IV 25d37.4%33.1%48.7%33.1%37.8%
Bid-Ask Spread %93.1576.22107.44102.2098.07
Gamma HHI0.340.250.510.290.28
Net GEX106-14.3K29.2K-13.9K-8.7K
Net DEX67.4K-256.3K395.8K395.8K298.9K
Net VEX-3.1K-3.6K-2.5K-2.5K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.792.492.101.79
Total Volume597.273506818533592
Total OI1,2748831,4028831,392

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$17.75$15.0031.2%8.9%24.9%12.5%0.0%-4.5%4.4%-13.9K395.8K-2.5K2.10102.20N/AN/A172361227656
2017-06-02$19.50$15.0032.7%9.4%41.5%15.0%0.0%14.5%2.9%-14.3K182.7K-2.8K2.49107.44N/AN/A145361227656
2017-06-05$19.20$20.0037.4%7.9%42.1%22.3%31.4%3.1%2.6%-13.9K129.4K-2.9K0.7999.72N/AN/A457361229656
2017-06-06$19.80$20.0035.9%9.7%43.2%20.0%34.2%3.6%1.8%1.5K-64.6K-3.3K1.1391.97N/AN/A320361541656
2017-06-07$19.63$20.0035.4%9.4%43.3%19.3%35.7%-3.1%3.1%3.0K-54.3K-3.5K1.6697.54N/AN/A217361613656
2017-06-08$20.10$20.0035.2%9.4%43.8%18.9%28.3%14.2%3.2%5.6K-111.4K-3.4K1.3799.64N/AN/A267365614656
2017-06-09$20.40$20.0032.6%9.5%43.7%14.8%31.5%5.3%2.5%16.9K-256.3K-3.6K1.3981.76N/AN/A267371664662
2017-06-12$19.92$20.0038.1%9.3%43.5%23.5%33.6%7.9%4.6%15.3K-158.3K-3.5K1.3198.25N/AN/A284371664662
2017-06-13$20.10$20.0031.9%9.0%43.4%13.7%30.7%10.8%4.7%18.6K-180.3K-3.3K1.6785.06N/AN/A222371681662
2017-06-14$19.70$20.0034.4%9.9%44.4%17.7%34.1%6.0%0.9%12.3K-95.6K-3.3K1.8399.00N/AN/A203371691662
2017-06-15$19.85$20.0031.4%9.0%42.3%12.9%31.8%4.6%4.8%29.2K-197.0K-3.3K1.6893.09N/AN/A221371722662
2017-06-16$19.30$20.0032.9%9.4%44.2%15.3%33.3%6.0%2.1%1.4K-30.8K-3.2K1.6878.24N/AN/A221371740662
2017-06-19$19.50$20.0032.4%9.3%44.0%14.5%32.7%2.7%2.5%1377.2K-3.2K2.0898.80N/AN/A183380647662
2017-06-20$18.85$20.0027.0%7.7%46.3%5.9%23.3%3.5%3.2%-5.6K167.7K-3.1K2.0876.22N/AN/A183380647682
2017-06-21$18.40$20.0033.2%9.5%46.7%15.7%27.8%1.3%9.8%-6.8K227.0K-3.0K2.1894.79N/AN/A174380647682
2017-06-22$18.43$20.0030.8%8.8%46.7%12.0%34.7%-1.4%9.8%-3.6K219.3K-3.2K2.18101.73N/AN/A174380648682
2017-06-23$18.55$20.0035.3%10.1%46.6%19.1%24.7%1.6%4.3%-9.0K264.6K-2.8K2.1884.83N/AN/A174380648682
2017-06-26$18.80$20.0037.5%10.8%46.7%22.6%34.6%0.8%-2.1%-2.6K109.3K-3.1K1.7992.02N/AN/A212380690682
2017-06-27$18.60$20.0035.2%10.1%45.8%19.0%34.3%-1.1%3.9%-7.2K179.6K-2.8K1.7998.84N/AN/A212380690682
2017-06-28$18.60$20.0031.9%9.1%45.8%13.7%25.0%5.2%14.9%-7.6K182.7K-2.7K1.7978.76N/AN/A212380690682
2017-06-29$18.05$20.0031.2%9.0%45.8%12.6%30.0%-4.0%10.6%-8.6K267.1K-2.5K1.7991.32N/AN/A212380690682
2017-06-30$18.00$20.0030.4%8.7%29.8%11.2%30.9%-0.5%10.0%-8.7K298.9K-2.7K1.7998.07N/AN/A212380690702