VICR Options History — November 2019

In November 2019, VICR traded between $36.74 and $41.39. ATM implied volatility averaged 41.7%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 9.7% (HV 20d: 32.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2019-11-06: Highest Volume — 2,164 contracts
  • 2019-11-11: Largest IV spike — 113.6% change
  • 2019-11-11: Highest IV Rank — 51.5%
  • 2019-11-01: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.78$36.74$41.39$36.88$41.06
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV41.7%28.5%61.0%48.5%38.7%
Expected Move11.9%11.0%13.9%13.9%11.1%
HV 20d32.1%27.1%37.4%35.0%27.2%
HV 60d35.2%32.7%37.2%37.2%32.7%
IV Rank17.5%0.0%51.5%18.6%16.2%
IV Percentile10.6%0.0%71.8%30.2%1.6%
Term Structure-0.4%-7.9%1.6%-7.9%1.4%
VWIV42.0%39.1%46.6%46.6%44.5%
Skew 25d6.0%4.0%9.0%6.3%6.1%
Skew 10d13.3%3.6%19.4%19.4%10.7%
Call IV 25d38.5%35.6%42.3%39.7%35.6%
Put IV 25d44.4%41.8%47.1%45.9%41.8%
Bid-Ask Spread %50.2222.3677.1557.9850.10
Gamma HHI0.510.350.630.370.63
Net GEX251.6K50.6K365.3K50.6K322.6K
Net DEX-10.7M-14.5M-5.5M-5.5M-13.9M
Net VEX-17.9K-22.2K-12.2K-13.5K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.008.080.250.00
Total Volume449.05362,16413051
Total OI5,974.44,4337,1394,4616,175

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$36.88$35.0048.5%13.9%35.0%18.6%46.6%6.3%-7.9%50.6K-5.5M-13.5K0.2557.98N/AN/A104262,4212,040
2019-11-04$37.38$35.0041.7%12.7%34.9%5.7%46.1%7.5%-0.5%57.5K-5.8M-13.1K4.2562.77N/AN/A12512,4442,042
2019-11-05$37.30$35.0047.0%12.8%34.8%15.8%0.0%7.4%-0.9%64.8K-5.9M-12.2K2.0061.27N/AN/A25502,4542,023
2019-11-06$36.74$35.0053.0%12.3%35.6%27.0%40.6%9.0%1.0%60.3K-5.5M-12.6K0.0166.32N/AN/A2,148162,4322,001
2019-11-07$37.09$35.0043.7%12.4%35.6%9.4%41.5%5.8%-1.2%289.4K-10.4M-22.2K0.0468.13N/AN/A492224,8071,989
2019-11-08$37.65$35.0028.5%11.6%35.6%0.0%40.6%4.2%-1.3%263.8K-10.4M-20.1K0.0866.08N/AN/A415354,4622,009
2019-11-11$36.90$35.0061.0%12.8%35.5%51.5%42.6%4.8%-1.8%237.3K-9.1M-20.5K0.0477.15N/AN/A699264,4372,009
2019-11-12$38.50$35.0031.7%11.1%37.4%5.0%39.7%4.0%1.6%365.3K-13.0M-21.6K0.0449.59N/AN/A1,685655,2061,933
2019-11-13$38.92$35.0041.9%12.0%37.2%21.3%42.4%6.9%-2.5%285.1K-11.7M-20.9K0.1453.26N/AN/A671974,5992,058
2019-11-14$39.41$35.0041.5%11.9%36.7%20.6%42.1%5.1%0.2%329.9K-12.6M-20.7K0.1552.78N/AN/A438654,7062,086
2019-11-15$38.94$35.0039.9%11.5%31.5%18.1%40.8%5.2%0.9%304.6K-12.4M-21.5K0.3442.84N/AN/A190654,9882,120
2019-11-18$39.08$35.0038.4%11.0%28.8%15.6%42.5%5.5%0.7%302.8K-11.2M-19.4K2.4225.32N/AN/A26634,3761,479
2019-11-19$38.90$35.0040.8%11.7%28.6%19.4%41.1%6.3%-1.5%293.9K-11.0M-19.4K0.0040.67N/AN/A11704,3971,542
2019-11-20$38.48$35.0039.3%11.3%29.0%17.1%45.5%4.8%1.4%293.5K-10.3M-19.0K1.5724.56N/AN/A14224,3441,542
2019-11-21$38.89$35.0039.7%11.4%28.2%17.7%42.2%7.3%0.5%296.9K-10.8M-18.8K8.0850.05N/AN/A131054,3571,562
2019-11-22$39.74$35.0039.1%11.2%27.4%16.7%39.1%4.9%1.1%297.5K-11.9M-18.0K0.0022.36N/AN/A27604,3471,617
2019-11-25$41.39$35.0039.7%11.4%27.9%17.7%39.7%5.3%1.1%278.8K-13.9M-15.6K0.2032.76N/AN/A377744,3501,617
2019-11-26$41.03$35.0040.4%11.6%27.1%18.8%40.5%7.1%-0.1%313.3K-14.1M-16.5K0.9649.78N/AN/A52504,5551,661
2019-11-27$41.26$35.0039.9%11.5%27.1%18.1%40.0%5.7%0.1%323.7K-14.5M-16.1K0.0150.61N/AN/A34134,5901,711
2019-11-29$41.06$35.0038.7%11.1%27.2%16.2%44.5%6.1%1.4%322.6K-13.9M-15.4K0.0050.10N/AN/A5104,4611,714