VICR Options History — July 2017

In July 2017, VICR traded between $17.90 and $19.75. ATM implied volatility averaged 35.6%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 7.5% (HV 20d: 28.1%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.09.

Notable Days

  • 2017-07-12: Highest Volume — 602 contracts
  • 2017-07-10: Largest IV spike — 23.4% change
  • 2017-07-10: Highest IV Rank — 34.5%
  • 2017-07-10: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.01$17.90$19.75$18.35$17.90
Max Pain$13.25$12.50$20.00$20.00$12.50
ATM IV35.6%30.0%45.0%30.0%30.5%
Expected Move10.2%8.6%12.1%8.6%8.7%
HV 20d28.1%24.9%31.4%30.6%31.4%
HV 60d34.2%32.4%35.5%35.3%34.6%
IV Rank19.6%10.7%34.5%10.7%11.4%
IV Percentile34.5%5.2%76.2%5.2%7.5%
Term Structure0.8%-7.2%12.8%12.8%5.8%
VWIV36.4%24.1%60.8%28.5%29.3%
Skew 25d7.1%-7.2%12.6%10.2%-7.2%
Skew 10d13.6%-10.8%59.0%11.6%-10.8%
Call IV 25d35.2%22.7%43.1%22.7%38.8%
Put IV 25d42.3%31.6%50.6%32.9%31.6%
Bid-Ask Spread %98.3177.56111.6697.4295.23
Gamma HHI0.250.220.310.300.22
Net GEX-6.2K-9.6K-2.9K-9.6K-3.3K
Net DEX206.6K49.1K347.4K347.4K298.2K
Net VEX-2.4K-2.7K-2.2K-2.5K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.091.715.881.795.11
Total Volume511.15334602592379
Total OI1,215.67951,4511,366885

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$18.35$20.0030.0%8.6%30.6%10.7%28.5%10.2%12.8%-9.6K347.4K-2.5K1.7997.42N/AN/A212380664702
2017-07-05$18.80$20.0034.8%10.0%29.7%18.3%31.0%8.6%-7.2%-7.6K266.0K-2.7K1.79108.19N/AN/A212380664702
2017-07-06$18.45$12.5038.3%11.4%30.2%23.8%60.8%9.5%-2.3%-8.4K315.6K-2.5K1.7992.55N/AN/A212380664702
2017-07-07$18.55$12.5036.4%11.2%28.7%20.9%55.1%5.3%-3.2%-9.0K297.2K-2.4K1.7988.91N/AN/A212380664702
2017-07-10$18.35$12.5045.0%12.1%27.9%34.5%55.1%8.0%-1.2%-9.0K311.3K-2.5K1.7989.16N/AN/A212380664702
2017-07-11$18.90$12.5040.5%10.5%29.6%27.4%0.0%4.0%-2.2%-4.1K194.6K-2.6K1.7994.28N/AN/A212380664702
2017-07-12$19.13$12.5037.9%10.9%29.8%23.2%26.6%-6.1%-1.4%-7.2K168.4K-2.6K1.7196.58N/AN/A222380674702
2017-07-13$18.70$12.5040.2%11.5%30.0%26.8%38.5%4.5%1.0%-8.0K258.3K-2.4K1.7195.14N/AN/A222380674702
2017-07-14$18.80$12.5033.6%9.6%29.9%16.4%31.2%4.2%-1.3%-7.6K235.1K-2.3K1.9896.12N/AN/A192380674702
2017-07-17$18.85$12.5032.8%9.4%28.4%15.1%29.9%5.1%-1.3%-6.7K243.1K-2.3K1.98109.48N/AN/A192380684702
2017-07-18$19.30$12.5030.2%8.7%29.5%11.0%29.9%7.2%3.5%-6.9K147.0K-2.2K1.98109.27N/AN/A192380684702
2017-07-19$19.60$12.5033.7%9.7%27.2%16.6%42.6%12.6%3.0%-6.4K49.1K-2.3K3.51104.13N/AN/A114400684702
2017-07-20$19.70$12.5035.7%10.2%25.4%19.8%34.2%11.2%3.5%-7.9K114.7K-2.6K3.6896.00N/AN/A114420689762
2017-07-21$19.75$12.5033.8%9.7%25.4%16.7%31.0%11.6%2.3%-3.9K268.1K-2.4K3.9390.88N/AN/A107420689762
2017-07-24$19.75$12.5035.2%10.1%25.4%19.0%32.7%9.9%1.2%-3.8K72.9K-2.5K5.8897.15N/AN/A57335265530
2017-07-25$19.60$12.5036.7%10.5%25.4%21.3%37.7%12.5%-2.3%-2.9K63.6K-2.2K5.18109.26N/AN/A57295265530
2017-07-26$19.60$12.5035.4%10.2%24.9%19.3%40.7%12.5%-1.8%-4.0K112.8K-2.4K4.88111.66N/AN/A57278265550
2017-07-27$19.45$12.5038.6%11.1%25.2%24.3%32.1%9.6%-4.2%-4.0K137.3K-2.4K4.8677.56N/AN/A57277265553
2017-07-28$18.60$12.5033.5%9.6%28.0%16.2%24.1%7.8%11.1%-3.5K231.1K-2.2K4.73107.21N/AN/A67317265555
2017-07-31$17.90$12.5030.5%8.7%31.4%11.4%29.3%-7.2%5.8%-3.3K298.2K-2.2K5.1195.23N/AN/A62317290595