VICR Options History — October 2017

In October 2017, VICR traded between $21.40 and $25.00. ATM implied volatility averaged 36.5%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 8.0% (HV 20d: 44.6%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-10-20: Highest Volume — 738 contracts
  • 2017-10-09: Largest IV spike — 57.9% change
  • 2017-10-09: Highest IV Rank — 48.6%
  • 2017-10-09: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.39$21.40$25.00$24.10$21.63
Max Pain$19.20$15.00$22.50$22.50$22.50
ATM IV36.5%25.8%43.4%34.4%34.8%
Expected Move10.6%7.4%12.9%9.9%10.0%
HV 20d44.6%33.7%49.5%49.5%36.5%
HV 60d40.6%39.6%41.7%39.6%41.4%
IV Rank32.0%6.0%48.6%26.8%27.9%
IV Percentile49.3%0.4%86.1%32.9%37.7%
Term Structure-0.9%-9.4%5.5%5.5%-0.3%
VWIV36.8%30.2%42.9%34.1%32.4%
Skew 25d4.0%-5.5%13.0%-3.0%0.5%
Skew 10d7.7%-10.6%21.0%-8.9%6.9%
Call IV 25d38.0%29.0%53.0%37.8%34.2%
Put IV 25d42.0%34.6%51.9%34.8%34.7%
Bid-Ask Spread %96.6486.00106.3997.7991.69
Gamma HHI0.510.390.780.430.78
Net GEX13.7K10.3K19.2K12.8K16.1K
Net DEX-785.2K-1.3M-113.7K-1.0M-195.4K
Net VEX-4.2K-4.5K-3.9K-4.5K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.571.250.680.87
Total Volume587.182375738692375
Total OI1,524.2271,2471,6891,5751,409

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$24.10$22.5034.4%9.9%49.5%26.8%34.1%-3.0%5.5%12.8K-1.0M-4.5K0.6897.79N/AN/A413279822753
2017-10-03$25.00$22.5033.1%9.5%46.7%23.7%38.6%4.5%4.3%12.8K-1.3M-4.1K0.6986.00N/AN/A412284825759
2017-10-04$25.00$22.5032.1%9.2%47.0%21.4%35.2%4.2%2.8%11.8K-1.3M-4.1K0.90100.32N/AN/A315284820764
2017-10-05$24.05$15.0032.1%11.2%46.3%21.2%40.1%0.3%-2.0%11.7K-994.9K-4.5K0.9091.42N/AN/A315284832765
2017-10-06$23.75$15.0027.5%9.4%47.2%10.1%36.4%-1.4%-2.0%12.4K-949.4K-4.3K0.9097.97N/AN/A315284832765
2017-10-09$23.60$15.0043.4%12.9%47.6%48.6%39.4%11.6%-9.4%11.7K-904.4K-4.3K0.8993.49N/AN/A318284832765
2017-10-10$23.95$15.0035.9%9.8%46.7%30.5%35.9%8.6%-0.6%14.0K-997.2K-4.3K0.8997.31N/AN/A318284837765
2017-10-11$23.65$15.0037.2%10.7%47.5%33.6%36.2%5.3%2.9%11.2K-962.5K-4.3K1.0389.38N/AN/A318328837765
2017-10-12$23.70$15.0041.8%12.0%46.5%44.9%37.9%7.4%-1.9%10.3K-956.3K-4.2K0.9997.45N/AN/A318316837765
2017-10-13$23.85$15.0035.2%10.1%46.6%28.9%36.4%6.3%0.4%14.6K-983.0K-4.1K0.9996.73N/AN/A318316837743
2017-10-16$24.30$15.0038.3%11.0%44.2%36.3%35.9%5.2%-3.4%15.4K-1.1M-3.9K1.2099.69N/AN/A318381837743
2017-10-17$23.85$15.0042.5%12.2%45.0%46.5%42.9%5.0%-5.4%11.7K-964.5K-4.0K1.2593.29N/AN/A318398837809
2017-10-18$24.20$22.5037.4%10.7%45.0%34.2%34.1%2.4%-2.7%13.1K-1.0M-4.1K1.23101.04N/AN/A324398837826
2017-10-19$23.25$22.5039.8%11.4%48.4%39.9%33.0%5.8%-0.9%11.1K-823.6K-4.2K1.2595.30N/AN/A318398853826
2017-10-20$23.40$22.5043.3%12.4%48.4%48.5%39.7%1.8%-5.5%14.2K-909.1K-4.0K1.1792.93N/AN/A340398863826
2017-10-23$23.10$22.5042.6%12.2%48.8%46.7%41.1%-4.5%-3.3%15.6K-543.1K-4.1K0.6196.31N/AN/A310190740507
2017-10-24$23.00$22.5042.6%12.2%48.0%46.8%40.0%11.6%-3.5%15.3K-488.7K-4.1K0.5797.86N/AN/A348200740507
2017-10-25$22.05$20.0036.7%10.5%33.7%32.3%40.1%-5.5%0.8%16.5K-268.1K-4.0K0.9798.96N/AN/A206200785517
2017-10-26$21.45$20.0025.8%7.4%34.0%6.0%30.2%5.7%0.9%16.4K-171.9K-4.0K1.14106.39N/AN/A206235845514
2017-10-27$22.35$22.5031.3%9.0%37.7%19.4%30.8%13.0%3.9%19.2K-320.3K-4.3K0.84103.57N/AN/A206173845549
2017-10-30$21.40$22.5035.9%10.3%39.2%30.5%38.9%3.2%-1.7%14.1K-113.7K-3.9K0.87101.17N/AN/A201174845553
2017-10-31$21.63$22.5034.8%10.0%36.5%27.9%32.4%0.5%-0.3%16.1K-195.4K-4.0K0.8791.69N/AN/A201174850559