VICR Options History — February 2018

In February 2018, VICR traded between $17.05 and $27.05. ATM implied volatility averaged 49.1%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 2.0% (HV 20d: 51.1%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.88.

Notable Days

  • 2018-02-23: Highest Volume — 1,488 contracts
  • 2018-02-05: Largest IV spike — 43.0% change
  • 2018-02-23: Highest IV Rank — 43.8%
  • 2018-02-23: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.53$17.05$27.05$18.33$25.80
Max Pain$18.68$17.50$25.00$17.50$25.00
ATM IV49.1%37.3%61.3%45.0%45.8%
Expected Move13.9%12.4%17.6%12.4%13.1%
HV 20d51.1%29.5%116.8%31.4%116.8%
HV 60d44.6%35.4%74.3%36.2%74.3%
IV Rank29.7%16.2%43.8%25.0%25.9%
IV Percentile94.0%62.7%99.2%94.4%89.3%
Term Structure-2.8%-19.5%9.2%0.1%-3.3%
VWIV46.4%41.4%61.1%43.6%46.0%
Skew 25d6.2%-9.8%15.9%6.3%0.8%
Skew 10d10.3%-14.5%32.8%19.8%4.4%
Call IV 25d46.6%39.8%56.7%41.0%46.8%
Put IV 25d52.8%34.7%64.0%47.3%47.6%
Bid-Ask Spread %90.5236.51107.15102.8271.62
Gamma HHI0.610.260.880.630.31
Net GEX23.4K-2.6K51.7K20.9K-2.6K
Net DEX-361.9K-2.0M199.3K-85.9K-1.7M
Net VEX-4.2K-8.9K-2.9K-4.0K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.551.990.551.99
Total Volume621.6844741,488521604
Total OI1,736.4741,2842,8471,5592,847

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$18.33$17.5045.0%12.4%31.4%25.0%43.6%6.3%0.1%20.9K-85.9K-4.0K0.55102.82N/AN/A337184994565
2018-02-02$18.15$17.5037.3%13.2%29.5%16.2%45.7%11.1%-5.2%25.5K-60.1K-4.0K0.59107.15N/AN/A3121841,024565
2018-02-05$17.34$17.5053.4%13.7%32.6%34.7%46.4%7.0%0.6%27.5K88.8K-3.6K0.68103.33N/AN/A3122121,089565
2018-02-06$17.55$17.5058.7%13.5%33.3%40.8%47.7%7.3%2.3%28.3K72.3K-3.7K0.70106.09N/AN/A3022121,089553
2018-02-07$17.50$17.5045.1%12.9%32.3%25.1%47.1%8.3%0.2%37.4K97.4K-3.6K0.77104.72N/AN/A2742121,079553
2018-02-08$17.05$17.5047.9%13.7%32.9%28.4%44.1%6.8%-3.5%33.8K196.7K-3.1K0.7789.73N/AN/A2742121,101542
2018-02-09$17.30$17.5054.0%15.5%33.6%35.4%48.9%4.8%-5.7%28.2K-30.0K-3.6K0.7797.97N/AN/A2742121,101521
2018-02-12$17.25$17.5046.0%13.2%32.9%26.2%41.4%-9.8%1.1%45.5K151.8K-3.0K0.7795.92N/AN/A2742121,101516
2018-02-13$17.20$17.5046.9%13.4%32.8%27.1%42.1%11.3%-1.3%51.7K153.8K-3.0K0.6485.45N/AN/A3292121,111516
2018-02-14$17.05$17.5049.9%14.3%32.6%30.7%47.0%6.1%-5.1%46.0K199.3K-2.9K0.6488.94N/AN/A3292121,171516
2018-02-15$17.85$17.5048.7%14.0%36.8%29.3%42.0%10.4%-3.6%40.5K-139.2K-3.4K0.8194.09N/AN/A2622121,221504
2018-02-16$18.35$17.5050.4%14.5%37.2%31.3%44.7%15.9%6.2%17.7K-455.1K-3.7K0.59104.78N/AN/A3612121,254504
2018-02-20$18.05$17.5048.3%13.9%37.3%28.9%45.6%14.1%-4.9%18.1K-2.3K-3.2K0.6691.29N/AN/A305202919445
2018-02-21$18.40$17.5049.8%14.3%37.4%30.5%47.5%6.0%-6.7%11.0K124.4K-3.4K0.9999.64N/AN/A305302799485
2018-02-22$18.85$17.5048.0%13.8%35.2%28.4%41.6%-0.7%-9.1%9.3K107.9K-4.0K1.24105.67N/AN/A244302799585
2018-02-23$25.66$17.5061.3%17.6%114.7%43.8%61.1%5.4%-19.5%5.8K-1.6M-4.5K1.0291.89N/AN/A737751888585
2018-02-26$27.05$25.0045.2%12.9%115.4%25.2%48.7%3.5%9.2%-1.3K-1.9M-5.9K0.9936.51N/AN/A5955901,1741,031
2018-02-27$26.43$25.0050.9%14.6%115.9%31.8%50.2%3.4%-5.9%728-2.0M-8.1K1.5142.27N/AN/A2984491,4551,226
2018-02-28$25.80$25.0045.8%13.1%116.8%25.9%46.0%0.8%-3.3%-2.6K-1.7M-8.9K1.9971.62N/AN/A2024021,5451,302