VICR Options History — January 2020

In January 2020, VICR traded between $48.11 and $54.99. ATM implied volatility averaged 37.8%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 11.9% (HV 20d: 25.8%). Max pain ranged from $30.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2020-01-02: Highest Volume — 1,909 contracts
  • 2020-01-15: Largest IV spike — 26.1% change
  • 2020-01-31: Highest IV Rank — 36.5%
  • 2020-01-31: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.14$48.11$54.99$48.48$49.93
Max Pain$43.10$30.00$50.00$30.00$45.00
ATM IV37.8%29.6%51.5%32.5%51.5%
Expected Move10.9%9.3%14.8%9.3%14.8%
HV 20d25.8%22.9%34.0%23.9%34.0%
HV 60d27.1%24.7%29.4%28.5%28.3%
IV Rank14.6%1.7%36.5%6.2%36.5%
IV Percentile11.8%0.4%61.1%2.4%61.1%
Term Structure7.5%2.1%10.8%2.1%6.2%
VWIV39.4%34.2%48.3%34.2%48.3%
Skew 25d5.2%2.8%10.8%2.8%10.8%
Skew 10d13.1%1.2%36.4%36.4%12.2%
Call IV 25d36.4%32.6%44.5%33.7%44.5%
Put IV 25d41.5%36.5%55.3%36.5%55.3%
Bid-Ask Spread %72.5759.6885.8084.9784.83
Gamma HHI0.520.280.800.470.28
Net GEX383.0K185.4K739.2K493.3K185.4K
Net DEX-18.4M-26.5M-11.4M-17.5M-11.4M
Net VEX-21.7K-45.5K-10.2K-13.1K-43.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.008.750.010.11
Total Volume634.6191031,9091,909732
Total OI6,600.9524,5338,3596,4416,622

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$48.48$30.0032.5%9.3%23.9%6.2%34.2%2.8%2.1%493.3K-17.5M-13.1K0.0184.97N/AN/A1,892174,6961,745
2020-01-03$48.11$30.0034.8%10.0%24.5%10.0%35.0%3.8%2.5%602.5K-16.6M-15.0K0.1359.68N/AN/A544695,0661,751
2020-01-06$48.74$35.0035.0%10.3%24.6%10.2%36.1%4.9%6.9%739.2K-18.4M-14.5K1.0968.58N/AN/A1521665,3971,798
2020-01-07$50.95$40.0037.0%10.6%26.6%13.5%36.3%4.7%6.6%642.9K-22.5M-13.5K0.1561.43N/AN/A7191055,3931,955
2020-01-08$51.41$45.0039.9%10.6%23.8%18.1%38.3%4.8%7.7%576.7K-22.5M-13.2K0.8863.92N/AN/A3603165,4102,027
2020-01-09$51.33$45.0038.9%10.6%24.3%16.5%37.0%4.3%6.2%588.7K-22.8M-14.2K0.5862.32N/AN/A1831075,4932,064
2020-01-10$51.74$45.0036.3%10.7%24.2%12.3%37.1%3.5%6.1%567.7K-23.4M-12.7K0.0072.41N/AN/A22615,3952,016
2020-01-13$52.64$45.0032.4%9.8%23.4%6.1%34.8%3.8%8.3%451.9K-25.0M-10.2K0.3267.23N/AN/A4761505,3922,006
2020-01-14$52.15$50.0029.6%10.4%23.4%1.7%39.2%4.3%8.8%356.3K-24.9M-11.0K0.1169.55N/AN/A197225,4752,076
2020-01-15$52.21$50.0037.3%10.7%22.9%13.9%36.5%3.9%7.9%354.4K-24.5M-11.0K0.0272.20N/AN/A1,465285,4662,098
2020-01-16$53.58$50.0033.8%9.7%23.6%8.3%34.6%4.7%7.9%244.6K-26.5M-20.4K0.0769.37N/AN/A409276,2482,111
2020-01-17$54.18$50.0035.8%10.3%23.5%11.6%35.8%5.8%5.9%204.0K-25.8M-21.0K0.0469.49N/AN/A1,683636,1202,129
2020-01-21$54.62$40.0036.0%10.3%23.5%11.8%35.4%3.5%10.8%268.0K-13.6M-24.7K1.0571.27N/AN/A1441513,840693
2020-01-22$54.38$40.0038.0%10.9%23.9%15.0%46.6%4.6%9.0%265.6K-13.1M-26.2K8.7570.38N/AN/A322803,854844
2020-01-23$54.99$40.0037.4%10.7%23.4%14.0%42.3%5.7%10.2%262.9K-13.7M-26.4K1.6178.74N/AN/A1923103,8631,124
2020-01-24$52.82$45.0038.7%11.1%29.2%16.1%43.1%7.3%9.8%226.6K-11.9M-26.7K0.6383.70N/AN/A63403,9451,249
2020-01-27$52.80$45.0043.7%12.5%29.3%24.0%47.4%7.7%7.0%220.6K-11.4M-26.9K0.0872.06N/AN/A378293,9601,279
2020-01-28$54.12$45.0041.2%11.8%28.7%20.1%44.8%8.0%8.4%266.7K-13.5M-30.4K0.2073.16N/AN/A386794,1781,308
2020-01-29$53.76$45.0040.3%11.6%29.1%18.7%42.0%5.5%9.9%278.7K-14.0M-34.8K0.1082.86N/AN/A714704,4991,412
2020-01-30$51.92$45.0042.8%12.3%32.3%22.6%42.5%4.1%9.5%246.5K-14.0M-45.5K0.1685.80N/AN/A301495,1261,497
2020-01-31$49.93$45.0051.5%14.8%34.0%36.5%48.3%10.8%6.2%185.4K-11.4M-43.9K0.1184.83N/AN/A658745,0821,540