VICR Options History — July 2018

In July 2018, VICR traded between $44.10 and $60.00. ATM implied volatility averaged 66.2%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 25.1% (HV 20d: 41.0%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2018-07-25: Highest Volume — 3,828 contracts
  • 2018-07-25: Largest IV drop — 39.8% change
  • 2018-07-24: Highest IV Rank — 77.6%
  • 2018-07-24: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.86$44.10$60.00$44.65$57.65
Max Pain$45.48$40.00$50.00$40.00$50.00
ATM IV66.2%49.3%91.1%53.1%49.9%
Expected Move19.2%14.1%26.1%15.2%14.3%
HV 20d41.0%25.7%63.8%45.0%63.8%
HV 60d56.9%37.5%65.6%65.6%49.2%
IV Rank47.9%27.9%77.6%32.4%28.6%
IV Percentile91.5%73.8%99.6%88.1%73.8%
Term Structure-8.0%-20.7%2.9%1.4%1.5%
VWIV69.1%50.7%93.8%55.2%50.7%
Skew 25d-0.8%-3.6%2.9%-1.9%1.0%
Skew 10d0.8%-3.9%6.2%4.9%3.5%
Call IV 25d70.6%51.3%93.4%59.3%51.3%
Put IV 25d69.8%50.7%95.9%57.4%52.2%
Bid-Ask Spread %18.9611.8740.8718.7722.77
Gamma HHI0.270.200.350.310.22
Net GEX322.1K249.7K449.5K262.4K271.4K
Net DEX-29.5M-42.4M-16.0M-16.8M-35.2M
Net VEX-72.0K-93.3K-54.1K-56.3K-93.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.311.210.721.21
Total Volume1,842.5241,1203,8281,3582,119
Total OI12,201.4299,78413,73210,42113,732

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$44.65$40.0053.1%15.2%45.0%32.4%55.2%-1.9%1.4%262.4K-16.8M-56.3K0.7218.77N/AN/A7905687,6842,737
2018-07-03$44.10$40.0053.6%15.4%44.8%33.0%54.6%0.6%-0.7%265.6K-16.0M-54.1K0.7017.83N/AN/A8115687,7532,790
2018-07-05$45.00$45.0051.5%15.8%41.8%30.6%56.8%-0.1%-0.8%277.4K-17.5M-54.9K1.0120.53N/AN/A7127187,8112,790
2018-07-06$46.35$45.0053.5%15.2%43.5%32.9%55.1%0.6%0.3%264.4K-19.6M-56.8K0.8524.39N/AN/A6985907,8552,945
2018-07-09$46.85$45.0059.7%17.3%40.9%40.3%61.9%-3.4%-1.0%251.5K-20.9M-55.3K0.3523.31N/AN/A1,6695927,8632,935
2018-07-10$48.70$45.0058.7%21.4%31.0%39.0%75.3%-2.4%-13.8%302.4K-26.6M-65.1K0.3114.82N/AN/A1,6755188,8522,957
2018-07-11$48.55$45.0073.2%21.0%31.0%56.3%75.7%-0.7%-12.0%375.6K-28.7M-73.1K0.6617.09N/AN/A7705129,7982,970
2018-07-12$49.30$45.0073.2%21.0%31.3%56.2%75.2%-2.0%-11.9%369.2K-30.0M-71.5K0.9211.87N/AN/A5895439,7742,984
2018-07-13$49.50$45.0073.7%21.1%30.7%56.9%76.2%-0.9%-13.1%371.2K-30.3M-71.5K0.8813.36N/AN/A5965249,8253,020
2018-07-16$50.90$45.0077.0%22.1%31.9%60.8%78.3%-0.6%-14.3%363.9K-34.0M-68.8K0.8216.09N/AN/A7456119,8673,031
2018-07-17$51.45$45.0079.6%22.8%32.0%63.8%80.2%-0.4%-17.2%322.0K-35.2M-68.1K0.6113.45N/AN/A9015479,9133,178
2018-07-18$51.05$45.0080.2%23.0%32.0%64.6%81.3%-2.4%-15.9%292.7K-34.5M-70.3K0.6612.61N/AN/A8465559,9393,236
2018-07-19$50.75$45.0084.2%24.1%32.2%69.3%86.8%-3.6%-19.3%249.7K-33.9M-70.2K0.6813.46N/AN/A8205559,9863,261
2018-07-20$50.70$45.0085.3%24.5%30.4%70.7%88.3%-2.2%-18.1%308.9K-34.0M-71.5K0.5213.67N/AN/A1,0715579,8553,261
2018-07-23$50.35$45.0086.9%24.9%29.6%72.6%90.7%-1.5%-15.9%324.6K-26.1M-73.2K0.4112.23N/AN/A1,1584698,3651,419
2018-07-24$50.00$45.0091.1%26.1%25.7%77.6%93.8%2.5%-20.7%345.4K-26.8M-80.1K0.6440.87N/AN/A2,1451,3728,9361,595
2018-07-25$58.65$45.0054.8%15.7%60.2%34.5%56.1%2.9%-3.6%449.5K-42.4M-86.0K0.5326.48N/AN/A2,5011,32710,4482,840
2018-07-26$60.00$50.0049.3%14.1%59.0%27.9%52.8%-1.5%2.9%435.8K-41.8M-90.1K0.3621.13N/AN/A2,26082110,4263,235
2018-07-27$57.80$50.0049.9%14.3%61.1%28.7%53.2%-0.5%2.2%328.3K-36.5M-90.5K0.4723.03N/AN/A1,2755959,6113,527
2018-07-30$55.85$50.0051.0%14.6%63.6%30.0%53.0%-1.1%1.7%333.0K-33.1M-91.0K0.8120.33N/AN/A1,1068949,6873,539
2018-07-31$57.65$50.0049.9%14.3%63.8%28.6%50.7%1.0%1.5%271.4K-35.2M-93.3K1.2122.77N/AN/A9591,1609,7603,972