VICR Options History — January 2019

In January 2019, VICR traded between $36.08 and $48.26. ATM implied volatility averaged 52.5%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 5.8% (HV 20d: 58.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2019-01-25: Highest Volume — 1,763 contracts
  • 2019-01-28: Largest IV spike — 18.3% change
  • 2019-01-03: Highest IV Rank — 37.5%
  • 2019-01-31: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.78$36.08$48.26$37.27$39.36
Max Pain$40.24$40.00$45.00$40.00$45.00
ATM IV52.5%44.8%64.9%64.8%49.2%
Expected Move15.1%12.8%18.6%18.6%18.6%
HV 20d58.3%48.6%70.4%62.5%70.4%
HV 60d68.0%65.2%71.4%71.4%68.3%
IV Rank21.5%10.3%37.5%37.4%13.5%
IV Percentile47.7%18.7%81.7%81.7%37.3%
Term Structure9.6%-8.1%19.5%-3.5%-8.1%
VWIV52.3%41.2%65.3%57.7%65.3%
Skew 25d4.2%1.6%7.1%5.5%4.2%
Skew 10d10.8%3.5%19.2%13.7%11.7%
Call IV 25d51.5%43.1%63.5%62.5%63.5%
Put IV 25d55.7%46.5%68.0%68.0%67.7%
Bid-Ask Spread %52.3922.2876.5166.9742.13
Gamma HHI0.290.190.580.190.24
Net GEX98.2K-11.4K204.4K67.9K6.2K
Net DEX-6.9M-15.0M-1.5M-2.5M-2.3M
Net VEX-30.6K-35.4K-27.5K-30.3K-34.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.032.380.030.64
Total Volume705.2862241,763227683
Total OI8,966.6195,81810,6769,6148,232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$37.27$40.0064.8%18.6%62.5%37.4%57.7%5.5%-3.5%67.9K-2.5M-30.3K0.0366.97N/AN/A22167,1722,442
2019-01-03$36.08$40.0064.9%17.4%55.6%37.5%61.1%7.1%5.3%73.2K-1.5M-28.8K0.2240.04N/AN/A360807,2822,442
2019-01-04$37.34$40.0062.6%17.0%56.8%34.9%60.8%6.2%6.3%64.3K-2.3M-29.6K0.3844.13N/AN/A251967,2142,513
2019-01-07$38.53$40.0060.0%16.2%54.6%32.2%57.6%5.0%6.5%56.9K-3.0M-29.0K1.5534.39N/AN/A881367,1442,513
2019-01-08$38.85$40.0056.4%15.4%53.0%28.5%54.7%4.7%8.3%67.0K-3.4M-28.8K0.8938.02N/AN/A1931727,1632,513
2019-01-09$39.53$40.0053.9%15.4%52.1%25.9%53.3%4.0%7.7%70.0K-4.1M-28.3K0.6345.48N/AN/A2201387,2142,537
2019-01-10$40.41$40.0054.7%15.7%52.1%25.7%54.8%4.5%7.4%71.6K-5.0M-28.2K0.9350.20N/AN/A2051917,2642,554
2019-01-11$44.00$40.0051.2%14.7%58.2%22.0%52.4%3.4%7.8%47.0K-9.0M-29.2K0.3252.44N/AN/A7832537,2302,523
2019-01-14$43.25$40.0050.3%14.4%58.4%20.7%51.9%5.0%8.7%66.7K-8.8M-29.7K0.0322.28N/AN/A642207,7002,621
2019-01-15$41.72$40.0051.8%14.8%60.5%22.4%51.6%4.8%8.8%181.8K-8.1M-28.6K0.0623.07N/AN/A453297,9902,641
2019-01-16$42.66$40.0047.0%13.5%60.4%17.4%50.4%6.2%10.7%128.2K-9.3M-28.0K0.1425.15N/AN/A483698,0212,655
2019-01-17$44.13$40.0045.7%13.1%57.8%15.9%46.1%2.6%11.4%-11.4K-11.4M-27.5K0.1063.82N/AN/A1,2651218,0112,605
2019-01-18$46.40$40.0044.8%12.8%58.3%15.0%43.7%3.5%11.9%149.3K-15.0M-27.9K0.1875.92N/AN/A1,2202157,9242,689
2019-01-22$45.78$40.0048.6%13.9%58.5%19.0%47.4%3.4%18.9%184.5K-10.7M-30.1K1.0976.51N/AN/A2462684,3041,514
2019-01-23$46.49$40.0047.2%13.5%48.6%11.1%48.6%4.3%19.5%188.7K-11.1M-31.3K0.5168.94N/AN/A158804,3381,787
2019-01-24$48.26$40.0046.4%13.3%49.0%10.3%46.6%1.6%16.3%204.4K-12.7M-31.7K1.1860.50N/AN/A4615444,3991,828
2019-01-25$46.37$40.0046.8%13.4%49.8%10.7%41.2%3.6%15.6%196.8K-10.8M-35.2K0.9559.36N/AN/A9048594,7342,231
2019-01-28$40.95$40.0055.3%15.9%69.2%20.4%54.8%2.4%13.5%122.2K-5.7M-35.3K2.3874.93N/AN/A1884485,2262,501
2019-01-29$39.74$40.0051.2%14.7%69.8%15.7%48.9%3.0%14.3%66.7K-3.8M-35.4K1.4364.85N/AN/A3695265,3542,884
2019-01-30$40.24$40.0050.1%14.4%69.9%14.5%49.9%4.4%13.4%60.7K-4.1M-35.4K0.6671.05N/AN/A7044635,3393,051
2019-01-31$39.36$45.0049.2%18.6%70.4%13.5%65.3%4.2%-8.1%6.2K-2.3M-34.1K0.6442.13N/AN/A4162675,1713,061