VICR Options History — March 2018

In March 2018, VICR traded between $24.05 and $28.63. ATM implied volatility averaged 47.3%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 54.1% (HV 20d: 101.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2018-03-28: Highest Volume — 2,307 contracts
  • 2018-03-07: Largest IV spike — 31.3% change
  • 2018-03-28: Highest IV Rank — 41.7%
  • 2018-03-28: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.53$24.05$28.63$24.90$28.63
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV47.3%42.3%59.5%47.0%56.6%
Expected Move13.3%12.2%17.0%13.5%16.2%
HV 20d101.4%44.7%119.6%116.9%60.3%
HV 60d74.9%73.7%78.3%74.6%78.3%
IV Rank27.7%21.9%41.7%27.3%38.4%
IV Percentile88.2%77.8%98.8%91.3%97.6%
Term Structure-1.6%-8.2%1.7%-8.1%-0.8%
VWIV47.2%42.7%58.7%44.9%58.3%
Skew 25d3.5%0.1%14.4%0.2%3.9%
Skew 10d8.1%3.8%28.0%3.9%6.8%
Call IV 25d45.6%34.8%60.3%42.1%56.6%
Put IV 25d49.1%42.2%62.7%42.2%60.5%
Bid-Ask Spread %45.6519.5894.2484.9752.42
Gamma HHI0.410.260.880.310.69
Net GEX7.5K-172.4K109.1K-9.3K109.1K
Net DEX-1.7M-5.4M-569.8K-1.2M-5.4M
Net VEX-9.5K-20.1K-8.1K-9.3K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.111.861.860.58
Total Volume751.8574872,3076091,624
Total OI3,045.6672,5424,4592,9254,459

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$24.90$25.0047.0%13.5%116.9%27.3%44.9%0.2%-8.1%-9.3K-1.2M-9.3K1.8684.97N/AN/A2133961,5771,348
2018-03-02$26.50$25.0055.3%15.8%117.9%36.9%57.0%4.2%-8.2%287-1.9M-9.5K1.5280.13N/AN/A2664051,5881,377
2018-03-05$26.30$25.0050.7%13.2%117.8%31.5%46.0%2.7%-2.6%-393-1.9M-9.2K0.5846.89N/AN/A6813971,6011,406
2018-03-06$26.60$25.0043.2%12.9%115.4%22.9%46.0%4.8%-0.4%16.7K-2.5M-10.0K1.5224.70N/AN/A2353581,8811,403
2018-03-07$25.83$25.0056.7%13.5%116.8%38.6%46.9%4.6%-3.7%14.2K-2.1M-10.1K1.7371.16N/AN/A2484291,8911,402
2018-03-08$25.45$25.0047.0%12.6%117.2%27.3%44.9%2.5%-1.4%7.0K-1.9M-9.9K1.7719.58N/AN/A2023571,8691,444
2018-03-09$26.15$25.0042.3%12.2%116.0%21.9%44.6%3.2%-1.2%11.3K-2.3M-9.6K1.5823.07N/AN/A2383751,8611,444
2018-03-12$26.68$25.0049.1%13.0%116.0%29.8%43.0%4.5%-3.9%16.3K-2.7M-9.1K1.3619.88N/AN/A2763751,8721,444
2018-03-13$25.75$25.0043.9%12.3%117.4%23.7%44.7%2.8%-1.2%7.1K-2.1M-9.1K1.4537.87N/AN/A2343391,8651,444
2018-03-14$25.00$25.0043.7%12.5%118.5%23.5%44.5%2.5%-2.0%-6.1K-1.4M-9.1K1.3822.14N/AN/A2483421,8651,448
2018-03-15$24.55$25.0042.8%12.3%118.8%22.5%42.7%3.8%-0.2%-5.9K-1.0M-8.9K1.4624.49N/AN/A2293351,8761,443
2018-03-16$25.03$25.0043.6%12.5%118.4%23.4%45.7%2.5%-1.4%-172.4K-2.0M-8.7K1.2670.20N/AN/A2513161,8791,450
2018-03-19$25.40$25.0043.5%12.5%118.3%23.3%43.7%2.1%1.7%22.4K-1.1M-8.7K1.1854.75N/AN/A2232641,4661,076
2018-03-20$24.90$25.0043.9%12.6%118.5%23.8%44.3%0.1%1.6%24.5K-1.0M-8.8K1.1327.95N/AN/A2332641,5061,076
2018-03-21$24.70$25.0042.5%12.2%118.8%22.1%44.7%0.5%1.2%21.3K-897.7K-8.6K1.0045.44N/AN/A2712711,4861,076
2018-03-22$24.05$25.0043.6%12.5%119.6%23.4%47.1%4.8%1.5%16.7K-569.8K-8.4K1.0329.89N/AN/A2632711,5081,083
2018-03-23$24.15$25.0044.7%12.8%45.4%24.7%44.0%14.4%-0.5%17.7K-582.4K-8.3K0.7723.36N/AN/A3502711,5261,083
2018-03-26$25.35$25.0048.7%14.0%44.7%29.3%51.1%1.0%-1.7%22.6K-1.0M-8.4K0.6859.13N/AN/A3992711,5061,083
2018-03-27$24.35$25.0045.6%13.1%46.1%25.8%47.8%5.1%-0.6%18.5K-589.7K-8.1K0.4446.40N/AN/A5292331,6421,083
2018-03-28$25.90$25.0059.5%17.0%50.9%41.7%58.7%2.4%-2.4%26.4K-1.3M-8.6K0.1194.24N/AN/A2,0702371,5371,085
2018-03-29$28.63$25.0056.6%16.2%60.3%38.4%58.3%3.9%-0.8%109.1K-5.4M-20.1K0.5852.42N/AN/A1,0295953,3761,083