VICR Options History — December 2018

In December 2018, VICR traded between $32.08 and $38.44. ATM implied volatility averaged 63.8%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 4.6% (HV 20d: 68.4%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2018-12-03: Highest Volume — 1,037 contracts
  • 2018-12-04: Largest IV spike — 12.6% change
  • 2018-12-10: Highest IV Rank — 46.6%
  • 2018-12-27: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.61$32.08$38.44$38.44$37.54
Max Pain$39.25$30.00$45.00$30.00$40.00
ATM IV63.8%54.5%73.8%56.3%62.8%
Expected Move18.0%15.6%20.5%16.1%18.0%
HV 20d68.4%60.0%77.7%74.8%67.7%
HV 60d71.9%70.1%73.0%70.1%71.6%
IV Rank36.4%26.8%46.6%28.6%35.4%
IV Percentile80.3%64.3%90.5%69.0%80.2%
Term Structure1.9%-7.4%9.7%-1.2%-2.9%
VWIV62.5%55.4%72.1%57.7%55.9%
Skew 25d5.2%2.3%9.5%3.7%6.7%
Skew 10d12.6%6.3%27.1%11.5%13.7%
Call IV 25d62.3%55.3%71.3%56.6%64.2%
Put IV 25d67.5%58.0%78.3%60.3%70.9%
Bid-Ask Spread %68.4357.8980.7067.4769.15
Gamma HHI0.250.170.440.170.19
Net GEX100.0K55.4K141.5K104.8K64.4K
Net DEX-2.0M-5.0M-6.1K-5.0M-2.8M
Net VEX-33.6K-37.3K-27.5K-36.1K-31.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.001.360.000.06
Total Volume491.2661,0371,037102
Total OI10,631.459,65711,29110,1089,689

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$38.44$30.0056.3%16.1%74.8%28.6%57.7%3.7%-1.2%104.8K-5.0M-36.1K0.0067.47N/AN/A1,03617,5632,545
2018-12-04$35.31$30.0063.4%18.2%77.7%36.0%64.0%7.0%-3.8%98.6K-2.8M-37.3K0.2870.31N/AN/A3701057,9462,545
2018-12-05$35.41$30.0063.0%18.1%77.7%35.6%59.9%5.3%-2.8%97.6K-2.9M-36.7K0.2480.70N/AN/A4451057,9462,545
2018-12-06$33.82$40.0066.2%17.6%74.0%38.8%0.0%6.3%7.3%103.2K-1.7M-35.6K0.0759.12N/AN/A139108,2252,586
2018-12-07$32.85$40.0066.8%17.9%74.3%39.5%62.8%5.7%5.9%105.3K-1.3M-34.9K0.0863.24N/AN/A558458,3312,596
2018-12-10$32.27$40.0073.8%18.9%73.9%46.6%61.6%7.1%6.5%107.4K-661.5K-32.5K0.3171.91N/AN/A3541118,3972,597
2018-12-11$33.02$40.0065.6%17.7%65.4%38.2%62.9%3.4%4.1%118.7K-1.5M-36.0K0.2166.21N/AN/A5341128,6032,688
2018-12-12$34.05$45.0057.4%16.4%66.4%29.7%58.0%2.4%6.6%120.3K-2.0M-35.5K0.2464.60N/AN/A5501338,4672,687
2018-12-13$33.59$45.0054.5%15.6%66.6%26.8%55.4%2.7%9.7%113.6K-1.4M-34.8K0.2366.81N/AN/A5961378,4762,685
2018-12-14$33.29$45.0056.1%16.1%65.4%28.4%57.2%2.3%8.2%121.6K-1.2M-33.1K0.2370.03N/AN/A5511298,5112,685
2018-12-17$33.29$40.0062.1%17.8%65.4%34.6%62.0%2.6%3.0%120.1K-1.3M-31.9K1.2069.38N/AN/A30368,5022,655
2018-12-18$35.52$40.0060.5%17.4%61.3%33.0%60.8%4.2%5.7%133.1K-3.7M-35.7K0.2967.45N/AN/A135398,4972,641
2018-12-19$34.84$40.0058.6%16.8%60.0%30.9%61.4%3.8%7.8%133.5K-2.9M-33.8K0.2074.46N/AN/A202408,4722,640
2018-12-20$34.51$40.0065.8%18.9%60.1%38.4%65.5%9.5%2.6%141.5K-2.4M-32.3K0.2973.28N/AN/A6471888,4742,639
2018-12-21$32.08$40.0068.3%19.6%65.7%41.0%66.5%5.6%3.0%55.4K-346.2K-27.5K0.3568.40N/AN/A5521948,4702,591
2018-12-24$33.01$40.0070.4%20.2%66.5%43.2%72.1%7.0%-5.7%58.8K-6.1K-29.1K0.5168.09N/AN/A6373237,2592,398
2018-12-26$35.30$40.0069.2%19.8%70.0%41.9%69.1%6.0%-5.0%66.9K-1.4M-31.8K1.3669.01N/AN/A45617,2602,424
2018-12-27$36.47$40.0071.5%20.5%67.8%44.4%70.3%7.0%-7.4%64.5K-2.2M-32.4K0.4257.89N/AN/A146627,2692,440
2018-12-28$37.51$40.0064.3%18.4%68.4%36.8%64.5%6.5%-3.7%70.5K-3.1M-33.2K0.3371.18N/AN/A273917,2262,459
2018-12-31$37.54$40.0062.8%18.0%67.7%35.4%55.9%6.7%-2.9%64.4K-2.8M-31.5K0.0669.15N/AN/A9667,2472,442