VICR Options History — April 2018

In April 2018, VICR traded between $27.25 and $37.40. ATM implied volatility averaged 56.0%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 11.6% (HV 20d: 67.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2018-04-25: Highest Volume — 3,504 contracts
  • 2018-04-11: Largest IV spike — 17.7% change
  • 2018-04-02: Highest IV Rank — 42.8%
  • 2018-04-02: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.80$27.25$37.40$28.60$36.35
Max Pain$25.71$25.00$30.00$25.00$30.00
ATM IV56.0%44.5%61.8%61.8%44.5%
Expected Move16.1%12.8%17.7%17.7%12.8%
HV 20d67.6%56.6%103.6%56.6%99.5%
HV 60d81.6%77.8%94.0%77.9%93.7%
IV Rank35.9%22.2%42.8%42.8%22.2%
IV Percentile93.4%77.0%99.6%99.6%77.0%
Term Structure-4.1%-9.6%1.1%-2.3%-0.1%
VWIV59.3%46.5%69.5%67.9%46.5%
Skew 25d2.5%-0.3%7.2%7.2%2.4%
Skew 10d4.9%-4.5%11.7%11.7%6.9%
Call IV 25d57.6%46.0%66.3%60.9%46.5%
Put IV 25d60.1%48.4%68.1%68.1%48.9%
Bid-Ask Spread %29.5116.5743.9117.7018.35
Gamma HHI0.680.250.900.800.26
Net GEX181.7K113.7K554.1K119.3K133.8K
Net DEX-7.7M-11.8M-4.9M-6.1M-9.4M
Net VEX-22.5K-26.3K-17.4K-22.8K-26.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.381.591.390.63
Total Volume982.4765463,5041,0891,319
Total OI5,843.0484,9406,5245,3936,452

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$28.60$25.0061.8%17.7%56.6%42.8%67.9%7.2%-2.3%119.3K-6.1M-22.8K1.3917.70N/AN/A4556343,9461,447
2018-04-03$27.90$25.0061.2%17.5%57.4%42.0%63.3%2.9%-2.1%120.1K-5.6M-22.9K0.9517.71N/AN/A4123924,0131,424
2018-04-04$29.05$25.0058.6%16.8%58.9%39.0%69.5%6.7%-3.0%132.1K-6.5M-22.6K1.5921.05N/AN/A2343733,9761,444
2018-04-05$28.20$25.0060.6%16.4%58.9%41.3%59.8%1.5%-3.4%124.6K-5.7M-22.2K1.4219.06N/AN/A2303263,9951,445
2018-04-06$27.80$25.0058.0%16.3%58.9%38.3%58.3%2.2%-2.6%125.8K-5.4M-22.2K1.3929.16N/AN/A2453404,0521,450
2018-04-09$27.25$25.0057.1%16.8%58.9%37.1%58.4%0.8%-4.5%120.2K-4.9M-21.1K1.2718.87N/AN/A2413054,0631,505
2018-04-10$28.45$25.0049.3%16.4%60.3%27.9%59.2%3.4%-5.8%148.1K-6.2M-21.5K0.8338.94N/AN/A3993304,1231,525
2018-04-11$30.45$25.0058.0%16.6%62.7%38.2%58.4%4.1%-3.2%182.6K-8.4M-21.8K0.8241.30N/AN/A4593774,2681,481
2018-04-12$30.78$25.0057.7%16.5%61.0%37.9%55.3%2.0%-4.2%206.6K-9.1M-22.6K0.8740.58N/AN/A4343784,4631,523
2018-04-13$31.20$25.0061.7%17.7%60.1%42.6%65.1%4.5%-9.6%195.3K-9.7M-22.2K1.1043.91N/AN/A2983294,5731,523
2018-04-16$30.80$25.0059.4%17.0%60.7%39.9%63.9%1.1%-6.3%217.1K-9.3M-22.3K0.5339.59N/AN/A6213294,6531,563
2018-04-17$30.80$25.0059.4%17.0%60.7%39.9%60.3%3.1%-7.8%230.4K-9.3M-22.1K1.1137.64N/AN/A4334794,8141,563
2018-04-18$30.50$25.0056.1%16.1%60.2%36.0%61.5%1.0%-4.6%257.9K-8.7M-22.5K1.0435.71N/AN/A3393544,7941,704
2018-04-19$30.10$25.0055.1%15.8%60.4%34.8%62.4%0.2%-3.9%333.3K-8.0M-22.4K0.7839.78N/AN/A4453484,7731,734
2018-04-20$30.05$25.0056.5%16.2%59.1%36.5%60.6%0.6%-5.6%554.1K-7.9M-22.2K0.7035.95N/AN/A4893444,7561,768
2018-04-23$29.65$25.0056.9%16.3%59.7%36.9%61.3%-0.3%-5.9%113.7K-5.3M-21.5K0.7818.28N/AN/A3893043,7561,184
2018-04-24$29.00$25.0060.0%17.2%58.9%40.6%64.3%0.6%-9.3%118.9K-5.1M-22.3K0.7227.26N/AN/A4733423,9751,198
2018-04-25$37.40$25.0052.0%14.9%103.6%31.1%50.7%2.3%-1.6%126.8K-11.8M-17.4K0.3842.11N/AN/A2,5459594,0281,245
2018-04-26$36.70$30.0047.4%13.6%103.4%25.6%50.4%4.4%1.1%131.6K-9.9M-25.9K0.4116.57N/AN/A1,1334674,2281,933
2018-04-27$35.80$30.0045.4%13.0%99.6%23.3%47.5%2.4%-0.6%124.3K-9.0M-26.3K0.6020.12N/AN/A8314984,2882,056
2018-04-30$36.35$30.0044.5%12.8%99.5%22.2%46.5%2.4%-0.1%133.8K-9.4M-26.1K0.6318.35N/AN/A8115084,3222,130