VICR Options History — September 2018

In September 2018, VICR traded between $44.53 and $61.90. ATM implied volatility averaged 49.0%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 11.4% (HV 20d: 37.6%). Max pain ranged from $30.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2018-09-05: Highest Volume — 1,967 contracts
  • 2018-09-10: Largest IV spike — 10.5% change
  • 2018-09-10: Highest IV Rank — 31.6%
  • 2018-09-10: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.78$44.53$61.90$61.90$46.20
Max Pain$34.47$30.00$60.00$60.00$40.00
ATM IV49.0%45.1%52.4%50.3%49.9%
Expected Move14.1%12.9%15.2%14.4%14.3%
HV 20d37.6%32.4%43.9%32.4%43.6%
HV 60d48.8%46.8%51.8%49.1%51.8%
IV Rank27.6%23.0%31.6%29.1%28.7%
IV Percentile67.9%52.4%79.8%73.8%70.6%
Term Structure10.7%2.9%21.0%2.9%19.0%
VWIV50.6%46.0%54.0%52.1%52.4%
Skew 25d1.9%-0.4%4.5%0.6%2.0%
Skew 10d4.8%1.3%8.5%1.4%2.6%
Call IV 25d50.4%47.2%52.3%51.9%50.7%
Put IV 25d52.3%47.9%55.4%52.6%52.8%
Bid-Ask Spread %18.5413.4744.9125.4715.91
Gamma HHI0.190.170.240.240.19
Net GEX243.8K163.3K418.2K418.2K218.8K
Net DEX-19.1M-37.4M-7.1M-37.4M-9.9M
Net VEX-69.8K-81.4K-53.5K-81.4K-60.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.291.341.220.78
Total Volume1,071.8425761,9675761,083
Total OI12,970.73711,63513,58213,01912,838

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$61.90$60.0050.3%14.4%32.4%29.1%52.1%0.6%2.9%418.2K-37.4M-81.4K1.2225.47N/AN/A2603169,4783,541
2018-09-05$59.00$60.0048.6%13.9%36.7%27.1%51.0%-0.4%3.5%352.4K-31.3M-81.0K0.2944.91N/AN/A1,5254429,4773,549
2018-09-06$58.58$30.0048.3%14.2%35.1%26.7%50.8%4.5%7.4%284.4K-28.6M-80.2K0.9217.37N/AN/A4964559,1883,629
2018-09-07$58.60$30.0047.4%14.4%33.9%25.7%53.3%3.1%7.2%293.3K-28.7M-80.0K0.9519.91N/AN/A4624389,2873,698
2018-09-10$57.50$30.0052.4%15.2%33.8%31.6%54.0%3.9%4.9%270.7K-26.2M-77.6K1.2116.02N/AN/A4064939,3633,703
2018-09-11$56.00$30.0051.0%14.8%33.5%30.0%52.3%1.7%7.3%247.1K-23.8M-75.1K0.8016.79N/AN/A6595259,3893,772
2018-09-12$53.20$30.0050.8%14.6%36.2%29.7%52.6%2.5%7.9%187.3K-18.2M-74.6K0.6918.31N/AN/A9016249,5133,851
2018-09-13$52.80$30.0050.2%14.4%35.4%29.0%50.8%2.5%7.7%187.4K-17.6M-74.1K1.3417.36N/AN/A4455989,6353,926
2018-09-14$53.95$30.0048.4%13.9%36.7%26.8%50.4%1.8%9.2%173.2K-19.7M-74.7K0.9814.15N/AN/A4714629,6373,916
2018-09-17$52.13$30.0051.0%14.6%38.1%30.0%51.9%2.3%8.6%195.2K-16.3M-70.8K0.9414.38N/AN/A4414149,6643,916
2018-09-18$53.00$30.0047.9%13.7%38.7%26.3%49.7%2.7%9.7%163.3K-17.6M-70.4K1.2816.51N/AN/A4045189,6473,823
2018-09-19$51.20$30.0047.5%13.6%40.1%25.8%47.9%1.3%10.0%207.2K-14.7M-66.4K1.1418.66N/AN/A4655299,7073,875
2018-09-20$51.20$30.0046.5%13.3%40.1%24.6%46.3%1.1%10.8%212.2K-15.3M-64.5K0.7619.27N/AN/A6675079,7073,688
2018-09-21$49.40$30.0045.1%12.9%41.4%23.0%46.0%0.6%11.6%270.3K-13.2M-63.6K0.7413.78N/AN/A5394019,8603,560
2018-09-24$48.85$30.0049.0%14.0%38.2%27.5%50.0%2.5%17.8%255.0K-13.8M-60.3K0.4513.58N/AN/A7373288,4753,169
2018-09-25$49.05$30.0047.3%13.6%38.4%25.6%46.6%-0.2%21.0%264.6K-14.4M-61.0K0.5913.47N/AN/A5062998,4273,208
2018-09-26$45.70$35.0049.5%14.2%43.9%28.2%51.0%1.6%19.0%240.0K-9.0M-53.5K0.6219.34N/AN/A8845528,5303,237
2018-09-27$44.53$40.0050.0%14.3%39.3%28.8%52.8%1.7%18.1%192.4K-7.1M-55.9K0.7317.15N/AN/A6434708,8053,756
2018-09-28$46.20$40.0049.9%14.3%43.6%28.7%52.4%2.0%19.0%218.8K-9.9M-60.2K0.7815.91N/AN/A6074768,9573,881