VICR Options History — November 2018

In November 2018, VICR traded between $32.02 and $40.01. ATM implied volatility averaged 63.8%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 12.8% (HV 20d: 76.6%). 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 1 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2018-11-16: Highest Volume — 2,501 contracts
  • 2018-11-12: Largest IV spike — 34.1% change
  • 2018-11-12: Highest IV Rank — 50.2%
  • 2018-11-02: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.64$32.02$40.01$39.53$35.76
Max Pain$33.57$30.00$40.00$35.00$30.00
ATM IV63.8%57.6%77.2%65.9%57.7%
Expected Move17.5%15.5%19.4%18.9%16.5%
HV 20d76.6%68.6%87.0%80.1%69.7%
HV 60d64.4%58.9%68.2%59.0%68.2%
IV Rank36.4%29.9%50.2%38.5%30.0%
IV Percentile83.3%72.2%91.7%87.7%72.2%
Term Structure-2.5%-5.7%1.0%-4.2%-3.2%
VWIV62.7%54.3%72.4%66.7%61.1%
Skew 25d4.8%2.5%6.9%4.3%6.9%
Skew 10d11.4%8.2%16.9%12.0%11.3%
Call IV 25d60.7%54.7%67.1%66.8%56.2%
Put IV 25d65.6%57.8%72.3%71.1%63.0%
Bid-Ask Spread %28.4417.9767.1119.1564.55
Gamma HHI0.290.170.840.170.20
Net GEX215.8K57.5K1.1M278.6K87.5K
Net DEX-2.8M-9.2M821.2K-8.3M-1.8M
Net VEX-39.4K-58.1K-29.6K-56.9K-33.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.261.210.971.06
Total Volume1,420.2868782,5011,698897
Total OI11,969.819,67314,04813,22210,148

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$39.53$35.0065.9%18.9%80.1%38.5%66.7%4.3%-4.2%278.6K-8.3M-56.9K0.9719.15N/AN/A86383510,0793,143
2018-11-02$40.01$35.0067.6%19.4%79.5%40.3%72.4%5.3%-5.7%292.1K-9.2M-58.1K1.1520.91N/AN/A83295410,0983,127
2018-11-05$37.64$40.0071.3%17.7%81.1%44.1%61.8%6.3%-0.9%243.5K-5.6M-49.5K0.8527.14N/AN/A1,11094410,0953,094
2018-11-06$37.17$40.0073.3%17.9%80.7%46.2%61.4%3.4%-1.6%242.3K-4.9M-48.1K0.8623.05N/AN/A1,00786610,2463,154
2018-11-07$39.90$40.0060.3%16.2%77.4%32.7%56.9%4.1%-0.3%310.3K-9.1M-50.5K0.8217.97N/AN/A96679610,3483,180
2018-11-08$39.13$40.0060.0%15.5%77.8%32.5%54.3%3.1%1.0%293.0K-7.5M-47.7K0.7418.37N/AN/A91667610,3593,146
2018-11-09$37.95$40.0057.6%16.0%78.6%29.9%56.6%4.9%-0.6%254.7K-5.6M-43.5K0.6229.85N/AN/A1,05465210,3313,123
2018-11-12$34.22$35.0077.2%18.2%87.0%50.2%62.5%5.7%-3.4%182.8K-435.6K-36.8K0.5718.43N/AN/A1,26371410,4813,121
2018-11-13$34.38$35.0073.2%17.6%85.9%46.1%61.9%6.8%-2.0%175.8K-568.6K-36.2K0.6223.02N/AN/A88054910,3963,075
2018-11-14$34.17$35.0061.7%17.7%74.4%34.2%62.7%3.8%-2.2%194.0K-489.6K-37.1K0.5524.47N/AN/A95952610,5913,095
2018-11-15$35.30$30.0062.2%17.8%71.0%34.7%63.9%6.7%-2.9%281.7K-2.5M-37.4K0.5231.23N/AN/A1,13558510,7383,060
2018-11-16$34.96$30.0062.3%17.9%69.6%34.8%64.2%6.6%-3.1%1.1M-2.4M-37.0K0.2625.00N/AN/A1,98152010,9863,062
2018-11-19$32.02$30.0066.9%19.2%75.7%39.6%65.9%6.5%-3.2%57.5K821.2K-30.1K0.8818.68N/AN/A5214577,1332,540
2018-11-20$33.49$30.0064.2%18.4%77.5%36.7%65.8%3.9%-4.6%73.1K-292.7K-33.7K0.8727.10N/AN/A5134467,2522,554
2018-11-21$33.44$30.0059.5%17.1%77.5%31.9%62.1%3.9%-2.4%75.0K-168.4K-33.1K0.8720.11N/AN/A5114467,2832,579
2018-11-23$33.36$30.0061.6%17.7%75.9%34.1%64.9%2.5%-3.0%74.6K-14.9K-31.8K1.0355.77N/AN/A4334457,3102,579
2018-11-26$33.66$30.0061.0%17.5%75.9%33.5%64.4%4.2%-2.7%77.8K-128.2K-31.6K1.0323.85N/AN/A4384517,3302,583
2018-11-27$32.81$30.0060.5%17.3%74.9%32.9%64.4%4.2%-3.0%72.3K484.0K-29.6K1.0322.27N/AN/A4384517,3302,593
2018-11-28$34.81$30.0058.6%16.8%70.3%31.0%60.4%5.6%-1.7%83.2K-952.4K-32.6K1.1519.30N/AN/A4174817,3702,593
2018-11-29$34.70$30.0058.1%16.7%68.6%30.5%62.0%3.2%-2.4%83.2K-909.5K-32.3K1.2167.11N/AN/A4074917,4302,631
2018-11-30$35.76$30.0057.7%16.5%69.7%30.0%61.1%6.9%-3.2%87.5K-1.8M-33.1K1.0664.55N/AN/A4354627,5052,643