VICR Options History — August 2017

In August 2017, VICR traded between $17.05 and $19.35. ATM implied volatility averaged 35.7%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 0.0% (HV 20d: 35.8%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 2.63.

Notable Days

  • 2017-08-14: Highest Volume — 532 contracts
  • 2017-08-03: Largest IV spike — 35.3% change
  • 2017-08-08: Highest IV Rank — 33.3%
  • 2017-08-11: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.97$17.05$19.35$17.55$19.35
Max Pain$17.72$12.50$20.00$12.50$17.50
ATM IV35.7%27.3%44.3%36.8%33.5%
Expected Move9.9%7.8%12.0%10.6%9.6%
HV 20d35.8%30.1%40.9%31.2%34.8%
HV 60d36.0%31.2%38.2%34.8%31.7%
IV Rank19.7%6.3%33.3%21.5%16.2%
IV Percentile40.2%1.6%81.7%44.0%24.2%
Term Structure2.8%-3.3%12.4%-1.6%-0.4%
VWIV32.5%22.3%40.5%36.8%33.7%
Skew 25d6.8%-10.4%38.9%3.8%-10.4%
Skew 10d12.1%-8.6%90.2%4.5%-6.1%
Call IV 25d30.6%21.7%38.2%29.3%35.7%
Put IV 25d37.5%23.1%71.2%33.1%25.3%
Bid-Ask Spread %94.9671.62105.8392.47100.14
Gamma HHI0.230.200.270.230.27
Net GEX858-3.0K4.4K-2.9K4.4K
Net DEX233.8K15.8K346.6K339.9K15.8K
Net VEX-2.7K-3.1K-2.3K-2.3K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.631.705.115.112.35
Total Volume466.478379532379473
Total OI1,077.139051,1639051,137

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$17.55$12.5036.8%10.6%31.2%21.5%36.8%3.8%-1.6%-2.9K339.9K-2.3K5.1192.47N/AN/A62317310595
2017-08-02$17.85$12.5027.4%7.8%30.5%6.5%26.6%38.9%10.5%-2.9K342.7K-2.4K4.73103.48N/AN/A67317310615
2017-08-03$17.65$20.0037.0%9.8%30.1%21.8%25.6%4.2%3.3%-3.0K346.6K-2.3K4.7392.22N/AN/A67317315615
2017-08-04$18.60$20.0040.9%10.2%35.8%28.0%27.6%8.0%1.8%-2.6K262.3K-2.7K4.7383.46N/AN/A67317335615
2017-08-07$18.40$20.0041.4%11.2%35.8%28.8%35.9%-2.6%-1.8%-2.5K257.8K-2.6K1.9071.62N/AN/A167317335615
2017-08-08$18.00$20.0044.3%8.7%34.8%33.3%27.2%1.6%12.4%-458247.4K-2.8K1.9092.95N/AN/A167317435615
2017-08-09$18.10$20.0036.4%10.4%34.5%20.9%22.3%-3.1%0.9%854263.9K-2.8K1.9083.55N/AN/A167317435615
2017-08-10$17.60$20.0037.0%10.6%35.0%21.8%34.2%6.4%1.8%-531281.4K-2.7K1.7099.44N/AN/A187317435615
2017-08-11$17.20$17.5041.7%12.0%35.5%29.3%40.5%12.6%-2.5%27274.7K-2.9K1.80102.60N/AN/A187337455615
2017-08-14$17.80$17.5031.2%8.9%38.1%12.6%31.3%10.4%9.0%-308296.2K-2.7K1.7398.93N/AN/A195337455635
2017-08-15$17.65$17.5030.4%8.7%36.8%11.3%29.8%2.1%5.4%1.7K302.2K-2.6K2.4283.05N/AN/A139337453635
2017-08-16$17.40$17.5039.3%11.3%36.2%25.4%38.9%9.7%-3.1%1.9K323.0K-2.6K2.2394.47N/AN/A151337497635
2017-08-17$17.05$17.5037.4%10.7%36.3%22.5%37.8%-8.6%-2.2%1.9K275.9K-2.7K2.20100.68N/AN/A151332553605
2017-08-18$17.35$17.5036.5%10.5%37.2%21.0%36.3%12.5%0.5%641287.7K-2.7K2.20102.20N/AN/A151332553610
2017-08-21$17.20$17.5027.3%7.8%37.1%6.3%27.5%-2.5%9.7%803305.5K-2.6K2.3799.73N/AN/A140332542610
2017-08-22$17.80$17.5029.8%8.6%39.9%10.4%30.3%0.6%5.4%1.9K237.1K-2.7K2.3596.89N/AN/A141332542610
2017-08-23$18.05$17.5037.7%10.8%40.4%22.8%36.5%8.7%-0.3%3.0K155.9K-2.8K2.3593.96N/AN/A141332547590
2017-08-24$18.30$17.5032.6%9.4%40.9%14.8%31.9%21.7%1.9%3.5K133.0K-2.8K2.3579.32N/AN/A141332547590
2017-08-25$18.40$17.5039.8%11.4%37.8%26.2%35.7%9.5%-3.3%3.7K107.2K-2.9K2.3599.44N/AN/A141332547590
2017-08-28$18.45$17.5036.7%10.5%35.1%21.3%34.4%10.4%7.9%3.3K117.6K-2.9K2.35103.48N/AN/A141332547590
2017-08-29$18.75$17.5036.6%10.5%34.5%21.2%36.2%19.6%-2.2%3.6K126.5K-2.9K2.35104.25N/AN/A141332547590
2017-08-30$18.83$17.5029.7%8.5%34.2%10.2%30.6%3.8%11.5%3.8K77.6K-3.0K2.35105.83N/AN/A141332547590
2017-08-31$19.35$17.5033.5%9.6%34.8%16.2%33.7%-10.4%-0.4%4.4K15.8K-3.1K2.35100.14N/AN/A141332547590