VICR Options History — March 2019

In March 2019, VICR traded between $29.55 and $32.93. ATM implied volatility averaged 47.9%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 8.6% (HV 20d: 56.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2019-03-08: Highest Volume — 2,518 contracts
  • 2019-03-04: Largest IV spike — 18.5% change
  • 2019-03-11: Highest IV Rank — 19.4%
  • 2019-03-27: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.33$29.55$32.93$32.93$31.04
Max Pain$33.75$30.00$35.00$35.00$35.00
ATM IV47.9%42.3%55.3%45.8%44.1%
Expected Move16.0%13.1%17.6%13.1%17.5%
HV 20d56.6%43.5%64.3%62.1%43.5%
HV 60d61.8%58.9%64.4%64.4%59.2%
IV Rank11.0%4.5%19.4%8.5%6.6%
IV Percentile26.7%5.6%54.8%19.8%10.7%
Term Structure9.0%-0.3%17.1%-0.3%17.1%
VWIV54.9%45.4%61.5%45.4%60.4%
Skew 25d3.6%-0.9%6.3%4.4%-0.9%
Skew 10d9.0%-12.9%24.8%-3.8%-2.8%
Call IV 25d45.8%42.1%49.5%45.7%43.2%
Put IV 25d49.4%42.3%53.2%50.0%42.3%
Bid-Ask Spread %47.5031.3172.0159.7149.63
Gamma HHI0.320.250.410.390.41
Net GEX66.4K-427198.1K198.1K98.5K
Net DEX-1.3M-4.2M1.3M-745.5K-2.7M
Net VEX-21.3K-26.1K-17.3K-26.1K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.047.590.351.18
Total Volume480.286422,5181,947270
Total OI11,076.819,31913,43111,7719,668

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$32.93$35.0045.8%13.1%62.1%8.5%45.4%4.4%-0.3%198.1K-745.5K-26.1K0.3559.71N/AN/A1,4415068,5283,243
2019-03-04$31.19$35.0054.3%15.6%64.1%18.3%54.1%3.7%2.9%101.2K1.3M-22.3K5.5452.09N/AN/A965328,0673,249
2019-03-05$31.85$35.0050.8%14.6%64.3%14.3%50.8%5.7%2.7%106.3K474.5K-23.1K4.3861.90N/AN/A1225348,0743,490
2019-03-06$31.20$35.0052.8%15.1%61.6%16.6%52.8%3.4%4.4%92.8K984.9K-22.1K2.0266.07N/AN/A2685428,1053,492
2019-03-07$29.55$35.0050.1%14.4%63.1%13.4%50.0%3.4%4.5%47.1K1.3M-19.8K0.3472.01N/AN/A5561878,1762,976
2019-03-08$30.28$35.0050.6%14.5%55.9%14.0%50.6%3.7%5.4%-427819.1K-25.5K7.5951.66N/AN/A2932,2258,4185,013
2019-03-11$30.73$30.0055.3%15.7%56.5%19.4%0.0%4.3%5.7%6.9K253.1K-25.0K0.0431.86N/AN/A236108,4594,967
2019-03-12$30.81$30.0047.4%15.5%55.2%10.3%0.0%3.5%6.6%1.3K242.3K-23.8K0.2131.31N/AN/A111238,4344,966
2019-03-13$31.43$30.0048.5%15.3%55.9%11.6%50.6%4.4%4.6%32.2K-973.8K-23.4K0.0832.87N/AN/A197168,4454,906
2019-03-14$31.15$30.0047.6%15.2%55.9%10.6%49.5%4.8%5.0%19.4K-727.0K-22.8K0.6733.35N/AN/A126848,4744,891
2019-03-15$31.93$30.0046.8%14.9%56.1%9.6%49.8%6.3%5.4%68.5K-1.9M-21.9K0.3633.45N/AN/A184678,5064,880
2019-03-18$31.95$0.0045.0%16.7%55.8%7.6%56.9%0.2%13.6%75.9K-3.2M-20.3K1.0054.34N/AN/A21215,2204,099
2019-03-19$32.50$35.0045.7%16.9%56.5%8.4%56.7%2.5%13.2%84.2K-3.9M-20.1K2.3143.25N/AN/A32745,2254,120
2019-03-20$32.38$35.0046.4%17.0%56.5%9.2%57.5%2.0%12.1%78.3K-3.6M-20.4K0.5149.84N/AN/A86445,2334,173
2019-03-21$32.90$35.0042.3%16.5%56.7%4.5%57.2%3.2%15.3%88.1K-4.2M-19.5K0.5646.94N/AN/A114645,2474,204
2019-03-22$31.04$35.0045.9%17.3%59.2%8.7%58.5%4.1%14.7%55.4K-2.1M-20.0K0.7347.58N/AN/A111815,2934,194
2019-03-25$31.56$35.0047.8%17.5%59.1%10.8%59.4%4.2%12.9%64.1K-2.8M-19.1K0.3739.09N/AN/A52195,3144,187
2019-03-26$30.83$35.0046.9%17.4%59.3%9.8%61.3%2.3%13.7%55.1K-2.1M-18.7K1.6747.34N/AN/A891495,3444,173
2019-03-27$30.12$35.0046.6%17.6%46.7%9.5%61.5%5.8%14.8%48.1K-1.3M-18.1K0.6644.08N/AN/A1691115,3654,151
2019-03-28$30.59$35.0046.0%17.6%44.2%8.8%60.7%4.0%15.1%73.7K-2.1M-18.2K0.9949.05N/AN/A1121115,5104,134
2019-03-29$31.04$35.0044.1%17.5%43.5%6.6%60.4%-0.9%17.1%98.5K-2.7M-17.3K1.1849.63N/AN/A1241465,5344,134