VICR Options History — January 2018

In January 2018, VICR traded between $18.30 and $21.15. ATM implied volatility averaged 39.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.5% (HV 20d: 34.8%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2018-01-10: Highest Volume — 720 contracts
  • 2018-01-04: Largest IV spike — 50.1% change
  • 2018-01-29: Highest IV Rank — 31.3%
  • 2018-01-29: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.19$18.30$21.15$21.15$18.30
Max Pain$18.81$17.50$25.00$20.00$17.50
ATM IV39.4%28.6%50.5%33.1%43.7%
Expected Move11.4%8.2%14.5%9.5%12.5%
HV 20d34.8%25.7%44.2%42.7%32.5%
HV 60d38.6%36.7%39.5%38.4%36.8%
IV Rank18.5%6.1%31.3%11.3%23.5%
IV Percentile65.8%4.0%99.2%28.2%90.9%
Term Structure1.9%-3.6%11.4%5.9%8.3%
VWIV39.4%28.5%52.5%33.2%44.6%
Skew 25d2.3%-5.3%9.3%-0.5%1.3%
Skew 10d4.6%-17.5%17.2%1.8%3.0%
Call IV 25d41.4%33.0%51.4%34.9%51.4%
Put IV 25d43.7%34.4%53.8%34.4%52.7%
Bid-Ask Spread %96.7867.80111.8197.10108.20
Gamma HHI0.540.390.710.450.61
Net GEX11.3K3.1K18.7K16.9K18.7K
Net DEX25.2K-237.6K355.0K-123.8K-111.1K
Net VEX-3.5K-4.4K-3.0K-3.4K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.411.181.180.60
Total Volume551.095406720406491
Total OI1,584.6671,2592,0661,4321,549

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$21.15$20.0033.1%9.5%42.7%11.3%33.2%-0.5%5.9%16.9K-123.8K-3.4K1.1897.10N/AN/A186220847585
2018-01-03$20.50$20.0028.6%8.2%43.3%6.1%38.2%-4.7%11.4%14.6K-15.8K-3.2K1.18106.82N/AN/A186220847585
2018-01-04$19.80$25.0042.9%11.8%44.2%22.6%41.7%4.7%-3.3%10.5K125.2K-3.0K1.1789.64N/AN/A222259867565
2018-01-05$19.93$25.0034.6%10.4%43.4%13.0%52.5%4.4%4.3%11.9K147.9K-3.2K1.15102.52N/AN/A222256887601
2018-01-08$19.80$25.0039.4%11.7%42.7%18.6%32.9%2.6%1.3%10.6K176.9K-3.1K1.0269.17N/AN/A249254887599
2018-01-09$19.25$17.5028.9%10.4%43.3%6.4%29.5%3.3%1.0%9.7K260.9K-3.0K1.1879.15N/AN/A240284943597
2018-01-10$18.93$17.5036.9%10.6%42.7%15.6%36.9%-0.2%5.9%3.1K355.0K-3.0K0.6475.63N/AN/A439281948647
2018-01-11$18.95$17.5030.3%8.7%39.6%8.0%28.5%-0.9%7.9%10.5K-4.2K-3.5K0.89100.03N/AN/A3142801,148670
2018-01-12$19.20$17.5042.1%12.1%37.4%21.6%42.2%2.2%-2.4%13.0K-39.3K-3.5K0.85100.95N/AN/A3643101,223669
2018-01-16$18.95$17.5041.5%11.9%37.4%21.0%43.4%-5.3%1.4%10.3K18.5K-3.5K1.0367.80N/AN/A3003101,273719
2018-01-17$19.05$17.5042.2%12.1%27.5%21.8%41.1%9.3%-0.7%9.7K3.2K-3.4K0.8796.99N/AN/A3553101,267719
2018-01-18$18.65$17.5041.5%11.9%26.5%21.0%38.6%2.3%-3.6%8.2K49.4K-3.4K0.87101.81N/AN/A3553101,327719
2018-01-19$19.10$17.5039.2%11.3%25.7%18.4%38.4%2.4%-0.7%5.7K-5.6K-3.6K0.83110.60N/AN/A3733101,367699
2018-01-22$18.85$17.5030.6%8.8%25.8%8.4%29.9%3.7%2.4%11.8K-36.7K-3.5K0.7886.73N/AN/A297231759500
2018-01-23$19.20$17.5045.2%13.0%26.6%25.3%44.3%7.7%0.6%10.4K-103.1K-4.0K0.7898.75N/AN/A297231799522
2018-01-24$18.40$17.5040.3%11.6%29.1%19.6%37.4%-2.7%4.1%12.5K-28.6K-3.8K0.81104.23N/AN/A297241799522
2018-01-25$18.60$17.5048.1%13.8%29.7%28.6%45.2%0.9%0.3%11.6K38.7K-3.9K0.62103.98N/AN/A297184799552
2018-01-26$18.80$17.5039.9%11.4%30.1%19.1%39.4%6.5%-1.1%9.4K8.6K-3.8K0.62111.81N/AN/A297184799565
2018-01-29$18.58$17.5050.5%14.5%29.9%31.3%42.0%4.2%-2.4%11.1K51.4K-3.8K0.41111.25N/AN/A447184799565
2018-01-30$18.95$17.5047.0%13.5%31.3%27.3%46.8%7.5%-1.0%16.0K-237.6K-4.4K0.61109.14N/AN/A302184979565
2018-01-31$18.30$17.5043.7%12.5%32.5%23.5%44.6%1.3%8.3%18.7K-111.1K-4.1K0.60108.20N/AN/A307184984565