VICR Options History — November 2017

In November 2017, VICR traded between $20.65 and $23.15. ATM implied volatility averaged 37.4%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 2.7% (HV 20d: 40.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2017-11-07: Highest Volume — 410 contracts
  • 2017-11-02: Largest IV drop — 26.8% change
  • 2017-11-29: Highest IV Rank — 52.1%
  • 2017-11-29: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.70$20.65$23.15$20.85$22.50
Max Pain$20.48$20.00$22.50$22.50$22.50
ATM IV37.4%31.6%44.8%43.1%41.6%
Expected Move10.8%8.8%12.8%12.4%11.9%
HV 20d40.1%35.5%46.1%37.8%35.5%
HV 60d42.2%41.0%43.3%41.8%42.7%
IV Rank34.2%20.1%52.1%48.1%44.4%
IV Percentile55.8%16.3%93.7%85.7%82.9%
Term Structure-0.9%-6.3%9.5%-6.2%-5.0%
VWIV39.1%31.3%48.2%42.9%46.8%
Skew 25d4.0%-4.3%10.9%2.1%3.8%
Skew 10d6.7%-7.5%20.6%6.0%8.2%
Call IV 25d34.0%26.2%43.7%43.7%37.5%
Put IV 25d38.0%29.3%45.8%45.8%41.3%
Bid-Ask Spread %93.9677.88119.72102.32114.00
Gamma HHI0.590.330.850.670.33
Net GEX10.2K5.0K22.6K11.4K5.0K
Net DEX-212.1K-501.7K101.5K-21.6K-278.3K
Net VEX-3.5K-4.4K-3.1K-3.8K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.852.570.872.39
Total Volume375.143294410375390
Total OI1,300.7141,0911,4121,4091,271

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$20.85$22.5043.1%12.4%37.8%48.1%42.9%2.1%-6.2%11.4K-21.6K-3.8K0.87102.32N/AN/A201174850559
2017-11-02$21.45$20.0031.6%10.6%38.4%20.1%43.3%6.2%-1.3%14.8K-133.7K-3.9K0.8785.40N/AN/A201174850559
2017-11-03$20.75$20.0036.8%11.8%39.5%32.6%41.5%6.9%-4.5%11.0K-10.4K-3.7K0.8795.92N/AN/A201174850559
2017-11-06$20.90$20.0037.3%8.8%39.8%33.9%32.2%8.6%9.5%9.5K3.8K-3.6K0.85119.72N/AN/A201171850559
2017-11-07$20.65$20.0035.1%9.8%39.1%28.5%34.1%5.7%1.9%8.1K101.5K-3.4K1.0477.88N/AN/A201209850562
2017-11-08$20.75$20.0032.9%9.4%39.3%23.1%33.0%-0.3%2.7%9.5K-36.7K-3.3K1.0480.15N/AN/A201209850522
2017-11-09$21.10$20.0041.1%11.8%40.0%43.2%40.9%9.0%-1.1%12.7K-78.7K-3.5K0.9797.09N/AN/A194189850522
2017-11-10$21.20$20.0042.6%12.2%40.0%46.7%43.5%9.8%-2.7%14.7K-163.8K-3.4K0.9781.43N/AN/A195189860502
2017-11-13$20.85$20.0039.8%11.4%39.1%40.0%40.0%-2.1%-0.4%9.6K-34.6K-3.1K0.9787.11N/AN/A195189861502
2017-11-14$21.15$20.0037.0%10.6%39.6%33.2%36.2%-1.7%-2.1%13.2K-161.1K-3.3K0.9778.86N/AN/A195189861502
2017-11-15$20.78$20.0042.9%12.3%39.0%47.4%44.0%-2.6%-6.3%10.0K-109.2K-3.1K0.9780.83N/AN/A195189861502
2017-11-16$21.88$20.0031.8%9.1%42.3%20.5%34.1%5.6%4.5%22.6K-318.3K-3.2K0.9299.00N/AN/A205189861502
2017-11-17$21.60$20.0032.0%9.2%42.3%21.0%31.3%1.5%-3.5%8.0K-243.3K-3.1K0.9791.63N/AN/A205198861502
2017-11-20$21.90$20.0032.4%9.3%42.6%22.1%38.3%10.9%3.3%8.3K-309.0K-3.2K1.3088.65N/AN/A128166609482
2017-11-21$22.95$20.0035.8%10.3%46.1%30.3%45.9%4.5%-1.6%10.3K-501.7K-3.1K1.7291.96N/AN/A120206609482
2017-11-22$22.80$20.0035.4%10.2%43.4%29.3%37.5%-4.3%1.8%8.1K-465.8K-3.5K2.10101.80N/AN/A115242611522
2017-11-24$23.15$20.0036.7%10.5%42.2%32.5%33.4%5.7%0.3%7.1K-497.6K-3.4K2.1093.49N/AN/A115242601558
2017-11-27$22.65$20.0036.6%10.5%40.8%32.3%36.6%-0.1%-1.3%8.1K-349.4K-3.5K1.79100.14N/AN/A115206601558
2017-11-28$22.90$22.5038.2%11.0%37.4%36.1%37.3%5.0%-1.5%6.9K-436.8K-3.7K2.5794.74N/AN/A115295601605
2017-11-29$23.00$22.5044.8%12.8%37.3%52.1%48.2%9.1%-6.0%6.0K-409.7K-4.1K2.39111.14N/AN/A115275601635
2017-11-30$22.50$22.5041.6%11.9%35.5%44.4%46.8%3.8%-5.0%5.0K-278.3K-4.4K2.39114.00N/AN/A115275601670