VICR Options History — October 2019

In October 2019, VICR traded between $29.56 and $36.43. ATM implied volatility averaged 55.8%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 22.2% (HV 20d: 33.6%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2019-10-18: Highest Volume — 3,158 contracts
  • 2019-10-09: Largest IV drop — 33.3% change
  • 2019-10-08: Highest IV Rank — 55.0%
  • 2019-10-02: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.45$29.56$36.43$29.57$36.01
Max Pain$30.00$25.00$35.00$25.00$35.00
ATM IV55.8%40.1%86.4%66.1%46.0%
Expected Move15.2%11.5%19.4%18.9%13.2%
HV 20d33.6%29.1%38.6%37.7%34.9%
HV 60d42.2%38.0%44.4%44.4%38.0%
IV Rank24.9%2.7%55.0%31.6%13.9%
IV Percentile43.2%0.8%96.8%76.2%17.5%
Term Structure-4.5%-12.5%1.9%-0.5%-3.4%
VWIV54.7%41.4%76.5%69.8%46.1%
Skew 25d7.5%-1.1%24.4%-1.1%11.7%
Skew 10d16.0%0.3%37.0%0.3%20.6%
Call IV 25d50.2%36.7%70.0%70.0%39.4%
Put IV 25d57.7%47.0%73.4%68.8%51.1%
Bid-Ask Spread %52.0430.9883.8383.8337.58
Gamma HHI0.330.210.400.350.33
Net GEX116.7K17.8K214.3K118.8K51.2K
Net DEX-5.3M-7.6M-3.6M-4.0M-5.1M
Net VEX-14.2K-17.6K-11.1K-15.9K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.003.880.151.42
Total Volume496.174283,1581,478201
Total OI6,085.4783,6838,6126,2574,347

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$29.57$25.0066.1%18.9%37.7%31.6%69.8%-1.1%-0.5%118.8K-4.0M-15.9K0.1583.83N/AN/A1,2841944,3871,870
2019-10-02$29.56$25.0067.6%19.4%36.3%33.3%76.5%24.4%-0.2%141.1K-4.3M-17.6K0.1679.48N/AN/A5085,1202,000
2019-10-03$29.84$30.0059.3%18.4%34.4%23.7%66.0%6.7%-11.6%147.4K-4.2M-16.3K0.0849.08N/AN/A172145,1302,000
2019-10-04$30.47$30.0073.6%17.1%35.3%40.3%60.7%5.5%-9.9%160.5K-5.0M-17.2K0.6747.97N/AN/A5123425,0292,011
2019-10-07$30.47$30.0081.9%16.4%33.6%49.8%0.0%5.7%-7.8%162.4K-5.0M-16.2K0.0051.02N/AN/A14805,2112,257
2019-10-08$31.17$30.0086.4%17.0%34.4%55.0%59.5%4.4%-8.5%191.7K-6.2M-16.7K0.1660.95N/AN/A508825,2922,257
2019-10-09$31.05$30.0057.6%16.5%29.1%21.9%0.0%5.1%-4.0%174.0K-5.6M-16.3K0.5659.53N/AN/A18105,1632,329
2019-10-10$31.38$30.0058.3%16.7%29.5%35.5%58.1%6.1%-5.9%176.7K-6.0M-16.3K0.0851.55N/AN/A351275,1682,329
2019-10-11$31.86$30.0060.1%17.2%30.2%38.9%63.8%5.7%-12.5%195.9K-6.7M-15.7K0.5557.88N/AN/A2101155,1122,334
2019-10-14$31.22$30.0057.4%16.5%30.6%33.9%57.7%5.5%-4.2%171.7K-5.6M-14.0K0.2256.00N/AN/A197445,0602,400
2019-10-15$31.77$30.0061.2%17.5%31.4%40.8%59.7%7.3%-11.7%188.4K-6.4M-13.8K0.3254.08N/AN/A137445,0972,440
2019-10-16$31.69$30.0058.6%16.8%31.3%37.6%57.5%5.7%-7.8%196.0K-6.4M-13.0K0.6062.95N/AN/A131795,1572,468
2019-10-17$32.56$30.0057.9%16.6%31.4%36.3%60.2%5.8%-9.7%214.3K-7.6M-12.5K0.5430.98N/AN/A1,1145985,1952,512
2019-10-18$31.11$30.0045.8%13.1%34.9%13.4%47.2%6.4%-0.1%17.8K-6.5M-11.1K0.1350.51N/AN/A2,7973615,6582,954
2019-10-21$32.57$30.0044.4%12.7%38.6%10.9%46.1%7.4%-1.0%33.3K-3.6M-12.5K0.8160.83N/AN/A120972,1871,496
2019-10-22$33.37$30.0042.3%12.1%35.6%6.8%44.3%4.9%0.2%39.1K-4.1M-12.3K0.9464.95N/AN/A1121052,1821,543
2019-10-23$33.17$30.0042.0%12.0%34.7%6.3%44.8%10.4%0.7%46.3K-4.0M-12.3K0.8738.91N/AN/A52452,2501,552
2019-10-24$34.05$30.0040.3%11.5%33.6%3.0%41.4%6.2%1.9%53.2K-4.6M-12.1K3.8835.20N/AN/A511982,2751,573
2019-10-25$35.10$30.0040.1%11.5%32.1%2.7%51.5%7.4%1.5%43.6K-4.8M-12.9K0.0535.15N/AN/A228112,3161,760
2019-10-28$36.43$30.0044.9%12.9%33.6%11.8%48.2%8.4%-3.0%52.1K-5.4M-12.1K0.7336.99N/AN/A2171592,2871,756
2019-10-29$35.81$30.0045.8%13.1%34.8%13.4%45.7%10.7%-3.1%55.2K-5.1M-13.0K1.1935.96N/AN/A68812,3891,815
2019-10-30$36.12$35.0045.3%13.0%34.6%12.5%44.1%12.5%-1.9%54.1K-5.2M-13.1K0.5655.45N/AN/A77432,4031,895
2019-10-31$36.01$35.0046.0%13.2%34.9%13.9%46.1%11.7%-3.4%51.2K-5.1M-13.2K1.4237.58N/AN/A831182,4051,942