VICR Options History — May 2018

In May 2018, VICR traded between $34.45 and $43.90. ATM implied volatility averaged 42.1%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 39.5% (HV 20d: 81.6%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2018-05-11: Highest Volume — 2,287 contracts
  • 2018-05-29: Largest IV spike — 9.6% change
  • 2018-05-07: Highest IV Rank — 25.0%
  • 2018-05-09: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.66$34.45$43.90$34.70$43.90
Max Pain$36.14$30.00$40.00$30.00$40.00
ATM IV42.1%38.4%46.8%42.7%40.7%
Expected Move12.0%11.0%12.6%12.2%11.7%
HV 20d81.6%32.9%100.9%100.9%33.0%
HV 60d85.1%68.5%94.4%94.4%68.8%
IV Rank19.4%15.0%25.0%20.1%17.7%
IV Percentile64.9%50.4%81.7%70.2%56.3%
Term Structure2.3%-0.2%4.9%0.0%4.2%
VWIV43.4%37.8%47.8%43.0%42.6%
Skew 25d2.7%-0.7%5.8%2.7%5.0%
Skew 10d7.4%3.0%12.0%3.8%11.7%
Call IV 25d43.0%39.8%46.1%45.5%40.7%
Put IV 25d45.7%42.2%48.2%48.2%45.7%
Bid-Ask Spread %18.6414.5327.3219.3814.53
Gamma HHI0.380.240.610.270.59
Net GEX229.6K95.9K624.9K111.9K329.5K
Net DEX-12.5M-18.0M-7.6M-7.8M-18.0M
Net VEX-33.3K-41.1K-25.6K-26.0K-41.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.211.580.690.78
Total Volume1,199.4097492,2871,307929
Total OI7,742.5456,4578,8946,4578,391

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$34.70$30.0042.7%12.2%100.9%20.1%43.0%2.7%0.0%111.9K-7.8M-26.0K0.6919.38N/AN/A7745334,3192,138
2018-05-02$35.33$30.0043.7%12.5%100.3%21.3%46.9%0.9%-0.2%106.3K-8.5M-27.0K0.4219.30N/AN/A8043354,3922,313
2018-05-03$34.45$35.0041.6%12.2%100.1%18.8%46.6%3.9%1.5%95.9K-7.6M-27.0K0.4519.65N/AN/A7253244,4422,322
2018-05-04$34.50$35.0042.7%12.1%99.7%20.1%44.8%3.6%2.3%98.3K-7.8M-26.8K0.5220.37N/AN/A7283754,4702,310
2018-05-07$36.35$35.0046.8%12.6%100.1%25.0%47.8%5.8%0.3%128.2K-9.7M-25.6K0.8927.32N/AN/A4894364,4772,258
2018-05-08$36.05$35.0046.6%12.4%99.8%24.7%47.0%4.7%1.3%123.5K-9.4M-26.2K0.4915.02N/AN/A6203044,4942,292
2018-05-09$36.65$35.0043.9%12.6%97.6%21.5%43.9%3.5%2.6%136.9K-10.2M-27.7K0.3121.04N/AN/A1,1153514,7012,315
2018-05-10$38.45$35.0043.8%12.6%98.5%21.4%44.8%1.3%1.5%188.4K-14.1M-30.8K0.3621.03N/AN/A1,2094415,3702,404
2018-05-11$38.80$35.0043.3%12.4%98.5%20.8%44.3%1.5%1.3%250.0K-14.8M-34.1K0.2115.58N/AN/A1,8963915,9962,506
2018-05-14$38.65$35.0043.0%12.3%98.3%20.4%46.3%-0.7%2.3%236.9K-13.5M-33.1K0.2117.78N/AN/A1,7893775,8182,591
2018-05-15$39.15$35.0041.5%11.9%98.2%18.7%44.8%2.4%3.5%270.0K-14.1M-34.0K0.5517.97N/AN/A7454115,8782,601
2018-05-16$38.55$35.0042.9%12.3%98.4%20.3%43.9%0.3%1.3%261.5K-13.9M-34.6K0.9218.20N/AN/A4974596,0862,592
2018-05-17$39.45$35.0042.0%12.0%98.0%19.3%43.5%0.4%2.5%356.1K-14.6M-36.2K0.7816.27N/AN/A5564316,1252,695
2018-05-18$40.15$35.0040.6%11.6%97.9%17.6%42.0%4.0%4.9%624.9K-15.7M-36.9K0.5418.99N/AN/A8474586,1712,723
2018-05-21$39.85$35.0041.9%12.0%97.7%19.2%42.2%2.4%3.1%243.7K-12.7M-37.8K1.1817.11N/AN/A3864575,6002,052
2018-05-22$39.83$40.0039.7%11.4%96.9%16.6%39.8%2.3%2.5%231.1K-12.3M-38.0K1.5818.68N/AN/A4126495,5562,264
2018-05-23$39.90$40.0038.4%11.0%38.0%15.0%38.6%2.3%3.0%236.7K-12.4M-38.6K1.2715.37N/AN/A5316755,6352,313
2018-05-24$40.95$40.0038.9%11.2%37.9%15.6%39.3%2.4%3.3%240.5K-13.5M-38.2K1.3216.13N/AN/A4636105,5422,320
2018-05-25$40.55$40.0038.5%11.1%36.6%15.2%37.8%3.3%4.2%227.9K-13.0M-37.5K1.5821.62N/AN/A3525555,4832,350
2018-05-29$41.30$40.0042.2%12.1%36.8%19.5%42.3%3.9%2.8%252.4K-13.9M-37.0K1.2217.35N/AN/A3384115,5322,355
2018-05-30$43.00$40.0041.4%11.9%32.9%18.5%42.0%3.6%1.9%301.4K-16.5M-38.2K0.5521.36N/AN/A7724275,7832,361
2018-05-31$43.90$40.0040.7%11.7%33.0%17.7%42.6%5.0%4.2%329.5K-18.0M-41.1K0.7814.53N/AN/A5234066,0172,374