VICR Options History — December 2019

In December 2019, VICR traded between $40.44 and $46.83. ATM implied volatility averaged 38.0%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 13.8% (HV 20d: 24.2%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2019-12-03: Highest Volume — 1,740 contracts
  • 2019-12-13: Largest IV drop — 14.6% change
  • 2019-12-04: Highest IV Rank — 27.9%
  • 2019-12-04: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.51$40.44$46.83$41.28$46.83
Max Pain$29.29$25.00$35.00$35.00$30.00
ATM IV38.0%31.2%46.1%42.3%35.5%
Expected Move10.8%8.9%13.2%12.1%10.2%
HV 20d24.2%20.0%27.5%26.4%22.0%
HV 60d30.2%27.6%32.7%32.7%28.0%
IV Rank15.0%4.2%27.9%21.8%11.0%
IV Percentile7.3%0.4%25.4%9.1%4.4%
Term Structure5.0%-2.1%11.1%-0.8%2.3%
VWIV37.6%30.7%49.7%38.3%34.9%
Skew 25d5.9%3.6%10.3%8.0%4.0%
Skew 10d11.3%1.9%19.1%15.8%7.2%
Call IV 25d35.4%28.5%42.5%38.8%33.0%
Put IV 25d41.3%34.3%50.1%46.7%37.0%
Bid-Ask Spread %53.2319.1284.7119.1661.87
Gamma HHI0.590.410.970.630.50
Net GEX584.7K306.2K2.5M306.2K477.8K
Net DEX-16.8M-22.0M-13.5M-14.3M-15.0M
Net VEX-17.3K-21.9K-14.4K-15.1K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.200.210.03
Total Volume576.0481151,740447366
Total OI7,520.7626,0528,9636,2196,381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$41.28$35.0042.3%12.1%26.4%21.8%38.3%8.0%-0.8%306.2K-14.3M-15.1K0.2119.16N/AN/A369784,4931,726
2019-12-03$41.17$35.0045.8%13.1%26.4%27.4%49.7%6.3%-1.1%340.1K-14.4M-15.6K0.0258.39N/AN/A1,699414,8081,793
2019-12-04$41.56$35.0046.1%13.2%26.3%27.9%48.0%10.3%-2.1%486.3K-16.7M-21.9K0.1919.12N/AN/A364706,2051,804
2019-12-05$41.86$30.0042.8%12.0%25.2%22.7%39.5%5.0%4.9%498.2K-17.4M-21.0K0.1262.30N/AN/A720846,2611,855
2019-12-06$41.31$30.0041.4%11.9%26.1%20.4%38.3%6.4%5.9%513.7K-15.1M-20.6K0.0555.59N/AN/A691345,9551,882
2019-12-09$40.44$25.0045.9%12.1%27.5%27.5%42.4%8.3%5.4%511.4K-13.9M-20.7K0.0446.14N/AN/A237106,2111,915
2019-12-10$40.99$25.0044.2%11.8%26.2%24.8%38.8%7.2%6.2%546.0K-14.8M-19.7K0.0042.26N/AN/A11506,2361,925
2019-12-11$41.23$25.0041.5%11.9%22.2%20.6%40.0%6.3%4.6%546.1K-15.7M-19.1K0.0270.45N/AN/A424106,2241,925
2019-12-12$42.46$25.0040.8%11.7%23.9%19.5%41.3%6.5%6.1%552.1K-18.7M-18.6K0.0061.14N/AN/A29206,4121,918
2019-12-13$43.68$25.0034.8%10.0%25.3%10.0%37.1%5.3%9.0%572.5K-20.8M-18.4K0.1160.62N/AN/A532616,3891,915
2019-12-16$43.38$25.0035.3%10.1%24.9%10.7%40.8%3.6%8.4%516.8K-19.8M-16.6K0.9627.44N/AN/A4654466,2291,986
2019-12-17$43.60$30.0034.3%9.8%24.9%9.2%35.1%4.2%8.8%440.6K-19.8M-16.1K0.0460.62N/AN/A15566,1422,393
2019-12-18$44.19$30.0033.3%9.5%24.7%7.5%33.5%4.5%10.0%507.6K-20.6M-15.8K0.1652.34N/AN/A364596,1152,395
2019-12-19$44.83$30.0031.9%9.1%24.0%5.3%31.9%5.1%11.1%695.8K-21.5M-15.2K0.0664.27N/AN/A1,388826,0252,454
2019-12-20$44.95$30.0031.6%9.1%24.0%4.9%30.7%5.4%11.0%2.5M-22.0M-17.1K0.0084.71N/AN/A1,03256,4272,536
2019-12-23$45.98$30.0031.9%9.1%24.1%5.3%32.1%6.2%4.5%465.4K-14.8M-16.1K0.1947.72N/AN/A190374,5201,622
2019-12-24$46.12$30.0031.2%8.9%20.7%4.2%31.1%4.7%4.1%467.9K-14.9M-15.7K0.0255.96N/AN/A17834,4931,644
2019-12-26$46.44$30.0035.0%10.0%20.0%10.3%33.5%5.2%2.1%427.5K-15.0M-15.0K0.0552.95N/AN/A936514,4081,644
2019-12-27$45.68$30.0036.0%10.3%21.6%11.9%35.1%4.4%2.2%446.5K-13.8M-15.7K0.2456.92N/AN/A101244,6511,695
2019-12-30$45.83$30.0036.5%10.5%21.2%12.7%36.9%8.0%1.7%444.9K-13.5M-14.5K1.2057.87N/AN/A1722064,6061,718
2019-12-31$46.83$30.0035.5%10.2%22.0%11.0%34.9%4.0%2.3%477.8K-15.0M-14.4K0.0361.87N/AN/A356104,6451,736