VICR Options History — May 2019

In May 2019, VICR traded between $30.25 and $38.82. ATM implied volatility averaged 52.8%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 5.4% (HV 20d: 58.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2019-05-09: Highest Volume — 720 contracts
  • 2019-05-13: Largest IV spike — 37.7% change
  • 2019-05-13: Highest IV Rank — 37.4%
  • 2019-05-31: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.34$30.25$38.82$36.83$30.25
Max Pain$34.32$30.00$35.00$30.00$35.00
ATM IV52.8%38.7%71.0%43.2%55.8%
Expected Move14.5%11.1%16.0%12.4%16.0%
HV 20d58.2%46.6%70.3%57.2%47.0%
HV 60d53.2%49.5%56.0%55.6%49.5%
IV Rank16.5%0.3%37.4%5.5%19.7%
IV Percentile45.5%0.8%81.0%9.5%56.7%
Term Structure-1.1%-3.2%2.3%0.3%-3.2%
VWIV49.4%37.9%54.3%41.3%52.3%
Skew 25d6.2%2.8%9.5%4.7%8.3%
Skew 10d13.5%2.1%29.7%2.1%14.7%
Call IV 25d47.9%35.6%53.4%39.2%53.2%
Put IV 25d54.0%42.4%61.4%43.9%61.4%
Bid-Ask Spread %63.1443.0278.3678.3669.08
Gamma HHI0.330.280.440.330.32
Net GEX39.2K2.3K89.7K84.3K7.8K
Net DEX-3.1M-6.8M-1.3M-5.7M-1.6M
Net VEX-13.2K-15.0K-11.5K-13.9K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.003.310.850.07
Total Volume248.3186172020492
Total OI4,2844,0364,6834,1754,243

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$36.83$30.0043.2%12.4%57.2%5.5%41.3%4.7%0.3%84.3K-5.7M-13.9K0.8578.36N/AN/A110942,8501,325
2019-05-02$37.34$30.0042.8%12.3%56.7%5.1%41.2%2.8%-0.4%79.4K-5.7M-12.7K0.1674.77N/AN/A196312,7351,301
2019-05-03$38.82$30.0038.7%11.1%55.3%0.3%37.9%6.9%2.3%79.0K-6.8M-12.9K0.2371.24N/AN/A124282,7701,278
2019-05-06$36.64$35.0048.3%12.9%60.6%11.4%42.4%4.4%-0.8%85.2K-5.6M-13.0K1.1861.05N/AN/A2022382,8211,272
2019-05-07$35.63$35.0054.4%14.7%61.7%18.4%48.0%6.4%-2.9%59.7K-4.5M-15.0K1.3158.93N/AN/A1532012,8421,505
2019-05-08$35.79$35.0056.5%14.3%61.2%20.8%50.2%5.4%-2.4%60.5K-4.5M-14.9K1.3757.96N/AN/A1612202,8281,523
2019-05-09$35.47$35.0060.1%14.9%61.4%24.9%51.9%6.8%-2.8%62.0K-4.2M-14.8K0.7154.07N/AN/A4203002,8261,510
2019-05-10$35.09$35.0051.5%14.1%61.5%15.1%49.1%4.7%-0.7%89.7K-4.4M-15.0K0.0057.05N/AN/A27703,0171,521
2019-05-13$33.26$35.0071.0%15.7%65.1%37.4%54.3%5.7%-1.8%65.5K-3.0M-14.1K0.3354.16N/AN/A46153,0171,521
2019-05-14$33.40$35.0062.0%14.8%65.0%27.1%50.9%5.0%-1.7%66.9K-2.9M-13.4K1.1161.32N/AN/A2392652,9581,539
2019-05-15$32.57$35.0050.6%14.5%65.8%14.0%51.9%5.3%-1.1%29.5K-2.2M-12.7K0.0461.03N/AN/A13762,8611,582
2019-05-16$33.36$35.0048.4%13.9%65.8%11.5%49.7%5.8%0.2%8.1K-2.5M-12.6K0.3363.49N/AN/A3241062,8931,588
2019-05-17$31.33$35.0052.0%14.9%69.6%15.6%50.1%4.9%-0.6%2.3K-1.6M-12.0K0.3770.14N/AN/A4701723,0171,666
2019-05-20$31.25$35.0053.8%15.4%69.6%17.8%51.0%5.9%-1.2%11.0K-1.8M-13.1K0.2243.02N/AN/A98222,6501,431
2019-05-21$32.56$35.0048.7%14.0%70.3%11.8%52.2%6.1%-0.1%21.6K-2.5M-14.0K2.3849.54N/AN/A40952,7151,448
2019-05-22$31.48$35.0053.2%15.3%46.6%17.1%53.0%6.6%-1.3%13.9K-1.9M-13.4K3.3161.39N/AN/A29962,7371,481
2019-05-23$30.25$35.0054.2%15.5%48.0%18.1%53.2%9.5%-0.2%8.3K-1.3M-12.4K2.7166.51N/AN/A28762,7431,481
2019-05-24$30.83$35.0052.8%15.1%49.0%16.4%49.4%7.8%0.7%8.0K-1.5M-12.6K1.5172.32N/AN/A45682,7431,508
2019-05-28$30.52$35.0054.8%15.7%47.8%18.8%51.6%7.6%-0.9%5.7K-1.6M-11.9K0.0070.81N/AN/A7002,7231,411
2019-05-29$30.57$35.0055.4%15.9%47.8%19.3%52.5%7.6%-2.1%8.6K-1.7M-12.1K0.0070.41N/AN/A7602,7731,411
2019-05-30$30.33$35.0053.1%15.2%47.7%16.7%51.4%7.4%-2.6%4.9K-1.5M-11.5K0.0762.44N/AN/A8762,7731,411
2019-05-31$30.25$35.0055.8%16.0%47.0%19.7%52.3%8.3%-3.2%7.8K-1.6M-11.6K0.0769.08N/AN/A8662,8301,413