VICR Options History — August 2019

In August 2019, VICR traded between $27.11 and $31.14. ATM implied volatility averaged 59.2%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 6.6% (HV 20d: 52.5%). 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 20 of 22 days. Put/call ratio averaged 1.85.

Notable Days

  • 2019-08-16: Highest Volume — 1,486 contracts
  • 2019-08-05: Largest IV spike — 28.6% change
  • 2019-08-05: Highest IV Rank — 47.9%
  • 2019-08-05: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.63$27.11$31.14$29.62$30.34
Max Pain$30.23$30.00$35.00$30.00$30.00
ATM IV59.2%48.6%80.2%57.7%50.4%
Expected Move15.7%13.9%18.2%16.5%14.4%
HV 20d52.5%46.0%58.2%46.1%49.1%
HV 60d46.2%44.7%47.5%44.7%46.8%
IV Rank23.6%11.4%47.9%22.0%13.5%
IV Percentile57.8%31.0%94.4%60.3%34.9%
Term Structure2.6%-6.1%6.3%-5.3%5.7%
VWIV54.6%43.1%63.0%57.7%43.1%
Skew 25d5.5%-0.6%14.1%14.1%4.8%
Skew 10d15.7%6.3%29.4%22.1%9.2%
Call IV 25d53.5%46.2%60.8%55.5%49.8%
Put IV 25d59.1%52.5%70.1%69.6%54.5%
Bid-Ask Spread %62.4645.1182.5982.5972.87
Gamma HHI0.360.210.940.280.22
Net GEX135.6K23.4K1.4M23.4K39.6K
Net DEX-3.3M-4.9M-1.6M-2.1M-3.4M
Net VEX-16.1K-17.8K-13.7K-13.7K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.0320.000.0620.00
Total Volume262.045211,4861,03221
Total OI5,300.9094,2496,8164,5654,608

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$29.62$30.0057.7%16.5%46.1%22.0%57.7%14.1%-5.3%23.4K-2.1M-13.7K0.0682.59N/AN/A972602,9711,594
2019-08-02$29.24$30.0062.4%17.9%46.0%27.3%61.8%9.5%-6.1%85.6K-2.9M-15.7K0.2780.85N/AN/A4591263,7281,623
2019-08-05$27.11$35.0080.2%18.2%52.4%47.9%59.8%5.8%2.0%55.2K-1.6M-15.2K0.0356.66N/AN/A21373,9571,646
2019-08-06$27.57$30.0074.9%15.6%53.0%41.8%54.4%-0.3%3.8%72.2K-2.2M-15.4K1.2368.83N/AN/A40494,1001,652
2019-08-07$28.23$30.0074.1%16.6%53.9%40.9%58.1%8.8%3.8%85.8K-2.6M-15.6K1.8366.23N/AN/A54994,1361,662
2019-08-08$29.55$30.0062.9%15.7%56.2%27.9%55.5%-0.6%0.6%133.6K-3.9M-15.7K4.1267.35N/AN/A823384,1731,608
2019-08-09$29.08$30.0056.1%15.7%55.1%20.1%56.2%4.3%2.8%125.7K-3.2M-16.9K0.9250.17N/AN/A1971824,2251,924
2019-08-12$29.84$30.0071.6%15.9%55.3%37.9%58.4%3.9%2.7%152.4K-4.1M-17.0K0.7166.17N/AN/A1971404,2972,070
2019-08-13$30.07$30.0072.7%15.8%55.3%39.2%53.6%5.5%4.1%184.5K-4.6M-17.8K0.2070.73N/AN/A84174,4642,175
2019-08-14$29.47$30.0058.7%16.8%55.0%23.1%58.5%5.6%3.5%174.1K-3.8M-17.8K0.1868.28N/AN/A115214,5082,160
2019-08-15$28.66$30.0059.7%17.1%54.7%24.2%63.0%4.5%2.1%151.9K-2.9M-17.2K0.2154.53N/AN/A190394,5152,156
2019-08-16$30.04$30.0053.0%15.2%57.5%16.5%54.5%5.6%2.5%1.4M-4.9M-16.6K0.1367.86N/AN/A1,3171694,6352,181
2019-08-19$30.62$30.0050.7%14.5%58.1%13.8%50.3%4.8%3.4%36.2K-3.6M-16.0K2.3073.96N/AN/A10232,6741,575
2019-08-20$30.74$30.0048.6%13.9%58.2%11.4%49.0%4.0%6.3%35.9K-3.7M-15.6K0.3763.99N/AN/A81302,6831,598
2019-08-21$30.88$30.0049.5%14.2%54.7%12.5%46.2%6.3%3.9%37.1K-3.8M-15.9K0.1265.26N/AN/A3342,7351,622
2019-08-22$31.14$30.0050.7%14.5%54.0%13.9%50.4%5.9%4.7%41.2K-4.0M-15.7K3.6445.11N/AN/A11402,7681,622
2019-08-23$29.59$30.0054.1%15.5%46.9%17.8%55.0%6.6%3.9%30.1K-3.0M-16.6K3.6746.92N/AN/A27992,7781,663
2019-08-26$30.28$30.0054.5%15.6%47.5%18.3%54.5%7.0%2.7%34.1K-3.4M-16.4K0.2848.96N/AN/A40112,7991,733
2019-08-27$29.39$30.0054.2%15.5%48.5%17.9%0.0%2.6%3.0%26.1K-2.9M-15.9K0.1450.38N/AN/A3652,7891,743
2019-08-28$29.94$30.0054.2%15.5%49.0%17.9%51.7%6.7%3.3%29.9K-3.1M-16.0K0.0759.13N/AN/A6752,7621,748
2019-08-29$30.50$30.0050.5%14.5%49.3%13.7%43.1%6.2%4.7%37.9K-3.5M-15.5K0.1747.29N/AN/A4782,8121,748
2019-08-30$30.34$30.0050.4%14.4%49.1%13.5%0.0%4.8%5.7%39.6K-3.4M-15.6K20.0072.87N/AN/A1202,8591,749