VICR Options History — September 2019

In September 2019, VICR traded between $29.24 and $33.94. ATM implied volatility averaged 49.8%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 9.4% (HV 20d: 40.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2019-09-18: Highest Volume — 1,262 contracts
  • 2019-09-26: Largest IV spike — 13.6% change
  • 2019-09-03: Highest IV Rank — 18.5%
  • 2019-09-03: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.55$29.24$33.94$29.24$29.62
Max Pain$25.50$25.00$30.00$30.00$25.00
ATM IV49.8%44.3%54.7%54.7%52.3%
Expected Move14.3%12.7%15.7%15.7%15.0%
HV 20d40.4%36.0%43.7%42.5%40.0%
HV 60d45.6%43.7%47.3%47.3%44.6%
IV Rank12.8%6.5%18.5%18.5%15.7%
IV Percentile30.8%6.3%51.2%51.2%40.1%
Term Structure3.7%-3.4%7.3%5.7%6.2%
VWIV51.2%41.8%60.4%54.7%52.3%
Skew 25d5.5%0.9%20.9%5.2%20.9%
Skew 10d13.5%2.0%33.6%8.0%33.6%
Call IV 25d47.7%39.0%53.8%53.8%39.0%
Put IV 25d53.2%47.2%59.9%59.0%59.9%
Bid-Ask Spread %71.1052.2890.9252.2879.51
Gamma HHI0.320.220.410.220.41
Net GEX96.2K27.6K173.4K27.6K129.3K
Net DEX-4.8M-6.8M-2.8M-2.8M-3.9M
Net VEX-15.1K-18.1K-12.3K-15.1K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.004.384.380.25
Total Volume226.3571,26270100
Total OI5,483.054,6297,0484,6296,270

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$29.24$30.0054.7%15.7%42.5%18.5%54.7%5.2%5.7%27.6K-2.8M-15.1K4.3852.28N/AN/A13572,8601,769
2019-09-04$30.07$30.0049.7%14.2%43.1%12.7%49.7%2.7%5.9%31.9K-3.2M-14.6K3.7052.94N/AN/A461702,8631,815
2019-09-05$31.05$25.0050.6%14.7%43.7%13.8%53.2%3.2%4.2%38.6K-3.8M-14.8K0.2662.88N/AN/A212552,8751,981
2019-09-06$31.02$25.0049.6%14.1%41.0%12.6%49.4%4.6%5.0%46.7K-4.0M-15.8K0.0958.35N/AN/A10293,0751,951
2019-09-09$31.91$25.0052.5%15.4%41.3%16.0%52.1%5.7%1.0%56.0K-4.4M-15.2K0.5566.35N/AN/A65363,0131,958
2019-09-10$32.34$25.0053.7%15.2%40.7%17.3%51.5%3.4%2.0%61.3K-4.7M-14.8K0.2968.34N/AN/A116342,9901,968
2019-09-11$33.90$25.0047.6%13.7%43.5%10.3%55.4%2.6%2.9%84.0K-5.8M-14.2K0.3762.47N/AN/A112413,0141,990
2019-09-12$33.94$25.0045.7%13.1%42.4%8.1%45.7%2.3%3.9%90.4K-5.9M-12.9K0.1975.81N/AN/A107203,0031,956
2019-09-13$33.60$25.0044.3%12.7%40.9%6.5%45.2%3.2%5.5%91.5K-5.6M-13.0K0.1072.54N/AN/A105113,0241,966
2019-09-16$33.15$25.0046.5%13.3%38.9%9.0%46.7%0.9%3.3%83.8K-5.2M-12.9K0.2877.04N/AN/A145403,0381,970
2019-09-17$33.08$25.0045.5%13.1%38.6%7.9%51.2%2.1%2.8%85.2K-5.2M-12.3K3.6172.21N/AN/A18653,0631,973
2019-09-18$32.80$25.0048.3%13.8%38.8%11.0%48.9%9.0%2.9%77.1K-4.9M-12.7K0.0682.73N/AN/A1,192703,0682,026
2019-09-19$31.91$25.0053.0%15.2%40.3%16.6%51.2%4.9%-3.4%124.5K-5.8M-15.6K0.0568.42N/AN/A1,026504,0252,040
2019-09-20$31.34$25.0049.8%14.3%40.8%12.9%53.6%7.6%0.2%165.6K-6.8M-18.1K0.8467.04N/AN/A77654,9872,061
2019-09-23$31.43$25.0048.6%13.9%36.0%11.5%52.9%6.3%7.0%173.4K-6.0M-17.4K2.8874.22N/AN/A581674,3791,698
2019-09-24$30.12$25.0051.1%14.7%38.6%14.3%53.2%5.3%4.3%137.1K-4.5M-17.1K3.1976.53N/AN/A21674,3871,822
2019-09-25$30.98$25.0047.6%13.7%38.2%10.3%60.4%5.9%7.3%163.3K-5.3M-17.2K0.4080.48N/AN/A1044,4011,853
2019-09-26$30.15$25.0054.1%15.5%39.1%17.8%53.8%7.7%1.5%138.3K-4.6M-17.0K0.0090.92N/AN/A3404,4111,849
2019-09-27$29.31$25.0050.7%14.5%39.8%13.9%41.8%7.4%5.9%118.2K-3.7M-15.7K0.0080.85N/AN/A074,4201,849
2019-09-30$29.62$25.0052.3%15.0%40.0%15.7%52.3%20.9%6.2%129.3K-3.9M-15.2K0.2579.51N/AN/A80204,4201,850