VICR Options History — June 2018

In June 2018, VICR traded between $43.00 and $51.10. ATM implied volatility averaged 50.5%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 9.2% (HV 20d: 41.3%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2018-06-08: Highest Volume — 2,125 contracts
  • 2018-06-11: Largest IV spike — 27.7% change
  • 2018-06-12: Highest IV Rank — 39.3%
  • 2018-06-25: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.57$43.00$51.10$44.60$43.55
Max Pain$37.14$30.00$40.00$40.00$40.00
ATM IV50.5%39.4%58.9%39.4%52.7%
Expected Move14.4%11.3%15.5%11.3%15.1%
HV 20d41.3%27.9%48.7%30.1%46.4%
HV 60d68.5%65.6%70.5%68.3%65.6%
IV Rank29.3%16.1%39.3%16.1%31.9%
IV Percentile84.5%51.2%95.6%51.2%87.7%
Term Structure0.2%-1.0%3.8%3.8%0.4%
VWIV51.8%40.9%57.5%40.9%53.8%
Skew 25d1.4%-0.7%4.5%4.5%0.5%
Skew 10d6.1%-0.9%12.3%6.7%1.3%
Call IV 25d52.0%40.8%57.0%40.8%55.5%
Put IV 25d53.5%45.3%57.2%45.3%56.0%
Bid-Ask Spread %18.3911.2549.5214.5118.37
Gamma HHI0.390.280.650.630.28
Net GEX260.0K147.6K376.6K328.6K247.8K
Net DEX-19.9M-28.4M-14.5M-19.3M-15.4M
Net VEX-51.2K-57.9K-37.5K-40.1K-55.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.351.291.290.79
Total Volume1,306.8577562,1257561,150
Total OI9,892.2868,38911,5748,50210,279

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$44.60$40.0039.4%11.3%30.1%16.1%40.9%4.5%3.8%328.6K-19.3M-40.1K1.2914.51N/AN/A3304266,1192,383
2018-06-04$46.40$30.0044.5%12.9%31.2%22.3%45.3%3.5%1.2%310.9K-21.0M-39.4K1.0516.35N/AN/A4554766,0052,384
2018-06-05$46.95$30.0044.3%13.0%27.9%22.0%46.8%3.6%1.0%300.6K-21.4M-39.1K1.1513.26N/AN/A3704265,9812,435
2018-06-06$49.20$30.0046.0%13.6%29.2%24.0%49.8%3.5%-0.6%249.7K-23.9M-37.5K0.3514.74N/AN/A1,2234276,0322,420
2018-06-07$49.10$30.0047.4%13.9%29.9%25.7%51.6%1.9%-0.1%360.3K-24.8M-41.0K0.3919.56N/AN/A8943456,5612,499
2018-06-08$51.10$30.0044.4%13.9%28.8%22.1%50.3%1.7%0.2%376.6K-28.4M-45.4K0.6011.25N/AN/A1,3248017,0942,543
2018-06-11$46.95$35.0056.7%14.6%45.5%36.8%51.6%-0.6%0.3%243.0K-19.8M-48.0K0.7917.41N/AN/A1,0598407,1423,275
2018-06-12$46.85$35.0058.9%14.9%45.4%39.3%53.2%0.1%-0.1%202.8K-19.4M-54.3K0.7415.95N/AN/A7255347,5313,665
2018-06-13$47.00$40.0051.3%14.7%45.4%30.3%52.8%0.8%-0.3%214.2K-19.2M-56.0K0.5914.13N/AN/A7424407,6523,801
2018-06-14$47.95$40.0051.3%14.7%44.6%30.3%52.0%1.1%-0.5%147.6K-21.1M-55.0K0.5416.36N/AN/A8694717,6423,799
2018-06-15$47.65$40.0050.8%14.6%44.8%29.7%52.8%1.0%0.6%229.9K-20.4M-55.6K0.6715.03N/AN/A8195457,7493,825
2018-06-18$47.75$40.0052.0%14.9%44.7%31.1%52.9%1.8%0.5%240.2K-20.9M-57.1K0.7449.52N/AN/A7515566,9822,364
2018-06-19$47.45$40.0053.5%15.4%44.7%33.0%53.7%2.1%-0.2%244.6K-20.7M-57.8K0.8717.60N/AN/A5845067,1142,491
2018-06-20$47.85$40.0051.1%14.7%44.6%30.1%54.3%2.4%0.3%237.5K-21.0M-57.4K0.8321.40N/AN/A6165097,1222,526
2018-06-21$46.63$40.0052.1%14.9%46.2%31.2%53.1%1.0%-0.8%247.8K-19.7M-56.1K1.2414.13N/AN/A4505577,1632,539
2018-06-22$45.80$40.0052.3%15.0%46.6%31.4%53.1%1.7%-1.0%244.3K-18.5M-56.7K0.7217.50N/AN/A8075857,1832,589
2018-06-25$44.15$40.0054.0%15.5%48.7%33.5%57.5%0.2%-0.7%254.1K-16.2M-56.1K0.5520.40N/AN/A8904877,4472,641
2018-06-26$44.40$40.0052.6%15.1%48.4%31.8%54.1%-0.7%0.2%274.2K-17.1M-57.9K0.4718.63N/AN/A1,0765067,6642,682
2018-06-27$43.60$40.0052.9%15.2%46.9%32.2%55.7%0.3%-0.9%252.5K-15.4M-55.0K0.5317.53N/AN/A9114807,4742,682
2018-06-28$43.00$40.0051.4%14.8%46.6%30.5%52.9%0.2%1.1%253.4K-14.5M-54.5K0.3922.53N/AN/A1,0644187,5722,687
2018-06-29$43.55$40.0052.7%15.1%46.4%31.9%53.8%0.5%0.4%247.8K-15.4M-55.5K0.7918.37N/AN/A6425087,6352,644