VICR Options History — December 2017

In December 2017, VICR traded between $20.95 and $23.20. ATM implied volatility averaged 38.9%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 0.9% (HV 20d: 39.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.88.

Notable Days

  • 2017-12-22: Highest Volume — 443 contracts
  • 2017-12-12: Largest IV spike — 180.7% change
  • 2017-12-12: Highest IV Rank — 100.0%
  • 2017-12-01: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.04$20.95$23.20$22.25$20.95
Max Pain$20.13$20.00$22.50$22.50$20.00
ATM IV38.9%29.3%110.0%41.6%31.7%
Expected Move9.8%8.4%11.9%11.9%9.1%
HV 20d39.8%32.4%46.4%34.7%42.6%
HV 60d41.9%39.0%45.6%41.7%39.0%
IV Rank25.2%6.9%100.0%44.3%9.7%
IV Percentile45.1%5.2%100.0%82.5%17.1%
Term Structure4.8%-0.6%16.8%-0.6%7.3%
VWIV36.1%29.8%44.6%41.4%36.0%
Skew 25d4.7%-7.2%15.7%-7.2%-2.5%
Skew 10d8.7%-0.8%21.8%6.8%4.1%
Call IV 25d33.2%24.8%39.8%38.2%37.4%
Put IV 25d37.8%31.0%44.5%31.0%35.0%
Bid-Ask Spread %97.4480.77114.10114.10107.36
Gamma HHI0.460.330.570.330.50
Net GEX11.0K3.9K20.1K3.9K13.7K
Net DEX-214.0K-645.8K84.4K-182.2K-43.7K
Net VEX-4.0K-4.4K-3.3K-4.4K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.881.123.472.511.18
Total Volume398.15330443404406
Total OI1,360.41,2711,4201,2711,414

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$22.25$22.5041.6%11.9%34.7%44.3%41.4%-7.2%-0.6%3.9K-182.2K-4.4K2.51114.10N/AN/A115289601670
2017-12-04$22.60$20.0040.7%10.6%32.4%42.2%44.6%5.9%3.8%5.7K-213.5K-4.4K2.3894.43N/AN/A115274601690
2017-12-05$22.10$20.0041.4%10.5%33.7%43.9%40.0%6.9%4.0%4.5K-108.1K-4.1K2.4295.83N/AN/A113274601695
2017-12-06$22.55$20.0040.0%10.3%33.8%40.5%38.1%6.4%0.3%4.9K-272.1K-4.3K2.4090.73N/AN/A113271601695
2017-12-07$22.90$20.0038.1%9.8%34.0%35.8%33.4%0.8%2.1%6.5K-292.0K-4.2K3.4780.77N/AN/A78271601695
2017-12-08$22.75$20.0036.7%9.8%33.9%32.3%35.2%-3.7%4.6%6.3K-298.9K-4.0K2.7088.03N/AN/A93251601695
2017-12-11$22.10$20.0039.2%10.4%35.8%38.5%39.4%5.7%2.0%6.2K-174.0K-4.1K3.1884.73N/AN/A79251616675
2017-12-12$21.00$20.00110.0%10.5%40.1%100.0%37.2%2.2%4.8%4.5K84.4K-3.8K1.8792.50N/AN/A134251630675
2017-12-13$21.75$20.0034.9%10.0%41.7%13.3%35.1%5.9%2.9%8.9K-164.9K-4.2K1.87111.26N/AN/A134251710675
2017-12-14$21.50$20.0037.1%10.6%41.4%15.9%30.0%2.2%-0.0%7.2K-93.2K-4.3K1.95101.63N/AN/A129251710675
2017-12-15$22.90$20.0035.2%10.1%43.3%13.7%38.1%2.0%4.0%12.5K-516.7K-4.2K1.4391.58N/AN/A175251715675
2017-12-18$23.20$20.0034.3%9.8%43.1%12.7%37.2%7.1%1.4%20.1K-645.8K-4.2K1.4189.18N/AN/A172242803610
2017-12-19$22.15$20.0032.8%9.4%46.4%10.9%38.5%5.5%6.1%18.2K-354.0K-4.1K1.36105.48N/AN/A178242803612
2017-12-20$21.95$20.0029.3%8.4%43.1%6.9%30.8%10.5%8.5%16.7K-205.4K-3.9K1.36101.44N/AN/A178242808612
2017-12-21$22.20$20.0033.9%9.7%43.3%12.2%33.0%15.7%3.6%17.7K-328.1K-4.0K1.36102.86N/AN/A178242808612
2017-12-22$21.75$20.0031.5%9.0%43.4%9.4%38.8%8.9%7.3%15.9K-179.4K-3.9K1.20100.27N/AN/A201242808612
2017-12-26$21.80$20.0029.3%8.4%42.9%7.0%33.2%14.5%9.5%16.8K-152.5K-3.6K1.2097.99N/AN/A201242808612
2017-12-27$21.40$20.0029.8%8.5%43.0%7.5%32.8%0.5%7.5%15.9K-96.8K-3.3K1.25103.06N/AN/A181226808582
2017-12-28$21.05$20.0029.6%8.5%43.1%7.3%29.8%6.0%16.8%13.3K-43.4K-3.3K1.1295.57N/AN/A201226808586
2017-12-29$20.95$20.0031.7%9.1%42.6%9.7%36.0%-2.5%7.3%13.7K-43.7K-3.4K1.18107.36N/AN/A186220828586