VICR Options History — September 2017

In September 2017, VICR traded between $17.80 and $23.60. ATM implied volatility averaged 36.6%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 0.1% (HV 20d: 36.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.88.

Notable Days

  • 2017-09-29: Highest Volume — 693 contracts
  • 2017-09-13: Largest IV drop — 44.4% change
  • 2017-09-12: Highest IV Rank — 61.2%
  • 2017-09-07: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.72$17.80$23.60$19.10$23.60
Max Pain$19.88$17.50$20.00$17.50$20.00
ATM IV36.6%28.1%61.8%30.5%31.5%
Expected Move9.9%8.0%11.4%8.7%9.0%
HV 20d36.7%30.3%50.4%30.3%50.2%
HV 60d34.1%31.4%39.8%31.4%39.4%
IV Rank26.1%11.4%61.2%11.4%19.9%
IV Percentile41.3%3.2%98.4%9.5%15.1%
Term Structure4.0%-7.0%17.8%1.4%9.5%
VWIV33.6%28.4%45.7%29.5%31.9%
Skew 25d2.2%-10.1%11.4%-10.1%-2.4%
Skew 10d4.4%-8.1%17.7%-6.6%-6.5%
Call IV 25d33.3%25.8%38.8%34.1%35.4%
Put IV 25d35.6%22.8%45.1%24.0%33.0%
Bid-Ask Spread %91.7073.34106.07106.0794.90
Gamma HHI0.300.260.440.270.44
Net GEX6.6K98215.2K4.1K12.4K
Net DEX-109.9K-917.6K163.8K14.1K-917.6K
Net VEX-2.9K-4.5K-2.5K-3.1K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.602.352.350.65
Total Volume506.55434693473693
Total OI1,191.051,1221,5641,1371,564

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$19.10$17.5030.5%8.7%30.3%11.4%29.5%-10.1%1.4%4.1K14.1K-3.1K2.35106.07N/AN/A141332547590
2017-09-05$18.40$20.0040.0%10.5%33.1%26.6%39.3%4.7%3.1%3.8K93.7K-2.7K2.3585.64N/AN/A141332547590
2017-09-06$18.58$20.0034.4%11.0%32.2%17.6%29.3%2.3%-0.6%4.1K103.7K-2.8K2.3573.34N/AN/A141332547590
2017-09-07$17.80$20.0044.1%11.4%35.8%33.0%45.7%6.3%-0.6%2.9K163.8K-2.5K2.06101.28N/AN/A161332547590
2017-09-08$18.25$20.0038.5%11.0%35.4%24.2%41.0%5.4%1.4%4.8K123.7K-2.6K2.0683.33N/AN/A161332567590
2017-09-11$18.60$20.0044.7%8.7%34.6%34.0%28.4%-1.6%11.8%4.5K91.8K-2.5K2.0684.02N/AN/A161332567590
2017-09-12$18.35$20.0061.8%10.7%33.2%61.2%37.4%4.2%3.6%6.3K76.4K-2.5K2.0698.83N/AN/A161332572590
2017-09-13$18.70$20.0034.3%9.8%33.5%17.5%31.6%-0.4%0.8%7.0K45.1K-2.6K2.0686.50N/AN/A161332572590
2017-09-14$18.40$20.0033.8%9.7%33.6%21.9%28.5%4.4%12.9%5.4K76.3K-2.6K2.0684.72N/AN/A161332572590
2017-09-15$18.60$20.0033.0%9.5%32.6%23.4%33.4%4.0%6.7%6.3K68.3K-2.6K2.0699.50N/AN/A161332572590
2017-09-18$19.60$20.0033.6%9.6%36.6%24.8%36.8%11.4%3.0%7.3K-61.3K-2.8K2.00100.34N/AN/A146292552570
2017-09-19$19.45$20.0036.6%10.5%36.5%32.2%34.3%8.2%-0.6%6.8K-30.6K-2.8K2.0094.98N/AN/A146292557570
2017-09-20$19.55$20.0038.3%11.0%35.0%36.4%34.5%9.8%-7.0%7.0K-13.7K-2.7K2.0697.51N/AN/A142292557570
2017-09-21$19.63$20.0031.4%9.0%34.8%19.5%31.0%-3.1%7.7%8.1K-54.8K-2.7K2.0689.67N/AN/A142292558570
2017-09-22$19.88$20.0036.2%10.4%34.8%31.2%34.1%-1.1%-5.7%7.8K-86.2K-2.7K2.2282.46N/AN/A142315558570
2017-09-25$20.25$20.0036.5%10.5%35.1%31.9%33.2%2.9%-0.3%8.9K-99.5K-2.8K1.9095.36N/AN/A176335558593
2017-09-26$20.90$20.0035.0%10.0%36.4%28.4%31.5%3.3%4.1%7.5K-186.8K-3.2K1.9092.60N/AN/A176335592636
2017-09-27$23.20$20.0029.4%8.4%50.4%14.8%28.8%-3.6%11.4%982-690.7K-3.4K0.6094.50N/AN/A410248592636
2017-09-28$23.60$20.0028.1%8.0%50.4%11.5%32.6%0.3%17.8%15.2K-914.1K-4.5K0.6888.41N/AN/A410277817691
2017-09-29$23.60$20.0031.5%9.0%50.2%19.9%31.9%-2.4%9.5%12.4K-917.6K-4.5K0.6594.90N/AN/A420273817747