VICR Options History — February 2020

In February 2020, VICR traded between $42.64 and $56.81. ATM implied volatility averaged 53.0%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 11.8% (HV 20d: 41.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2020-02-21: Highest Volume — 1,850 contracts
  • 2020-02-26: Largest IV drop — 29.8% change
  • 2020-02-25: Highest IV Rank — 72.2%
  • 2020-02-25: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.55$42.64$56.81$50.87$42.64
Max Pain$47.89$45.00$50.00$45.00$45.00
ATM IV53.0%36.9%74.0%50.5%66.2%
Expected Move15.9%11.7%21.2%14.5%19.0%
HV 20d41.1%32.9%59.8%34.3%59.8%
HV 60d31.7%27.2%42.2%28.4%42.2%
IV Rank39.2%13.3%72.2%34.9%65.1%
IV Percentile60.1%9.1%96.8%56.7%92.5%
Term Structure-5.8%-15.4%10.6%4.7%-7.9%
VWIV56.7%44.6%81.7%46.0%70.0%
Skew 25d8.6%5.1%12.8%9.1%12.8%
Skew 10d17.6%9.7%31.1%15.5%24.8%
Call IV 25d52.6%39.7%70.0%46.1%63.7%
Put IV 25d61.2%46.8%81.0%55.2%76.4%
Bid-Ask Spread %56.9426.4587.9785.2743.49
Gamma HHI0.360.170.560.280.17
Net GEX346.7K43.9K802.1K210.6K43.9K
Net DEX-13.3M-20.6M-2.9M-12.1M-2.9M
Net VEX-38.5K-42.8K-30.1K-39.8K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.003.060.300.89
Total Volume402.684691,850225121
Total OI6,831.6325,7007,6786,5696,800

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$50.87$45.0050.5%14.5%34.3%34.9%46.0%9.1%4.7%210.6K-12.1M-39.8K0.3085.27N/AN/A173524,9781,591
2020-02-04$52.36$45.0049.5%14.2%35.4%33.2%44.6%11.7%7.0%296.4K-14.1M-40.8K0.0287.97N/AN/A35085,1841,580
2020-02-05$53.66$45.0040.9%11.7%33.0%19.6%49.9%7.1%10.6%347.3K-15.7M-42.8K1.1184.70N/AN/A71795,2481,572
2020-02-06$53.46$50.0039.9%14.6%33.0%18.0%51.5%8.9%-6.3%360.8K-15.6M-42.2K0.1656.41N/AN/A303475,2711,641
2020-02-07$52.91$50.0036.9%14.6%33.2%13.3%52.4%5.1%-5.5%327.1K-14.9M-41.6K0.2360.89N/AN/A56135,2981,645
2020-02-10$53.23$50.0038.2%14.9%33.2%15.3%0.0%8.6%-6.9%357.8K-15.3M-40.5K0.0060.16N/AN/A10205,3381,658
2020-02-11$54.11$50.0044.0%15.3%33.1%24.5%55.5%7.9%-7.6%397.8K-16.6M-41.0K0.3259.15N/AN/A203655,3171,658
2020-02-12$54.38$50.0052.9%15.2%32.9%38.6%50.4%8.1%-7.8%478.6K-16.9M-39.8K0.0057.54N/AN/A11705,3211,686
2020-02-13$54.99$50.0053.1%15.2%33.1%39.0%53.3%7.8%-7.4%520.1K-17.9M-40.1K0.1257.83N/AN/A318385,3631,686
2020-02-14$56.81$50.0053.6%15.4%33.8%39.8%52.9%8.2%-7.3%504.0K-20.6M-40.4K0.1566.45N/AN/A276425,3321,699
2020-02-18$55.43$50.0055.2%15.8%35.0%42.4%60.0%5.1%-8.7%580.5K-18.7M-40.1K0.5865.36N/AN/A138805,4461,733
2020-02-19$55.39$50.0055.8%16.0%34.9%43.3%54.0%7.4%-9.1%683.8K-18.7M-39.7K0.0948.56N/AN/A222195,4471,798
2020-02-20$55.00$50.0057.5%16.5%34.9%46.0%59.1%7.8%-9.6%802.1K-18.2M-40.2K0.0649.35N/AN/A562365,6001,821
2020-02-21$48.65$50.0064.0%18.4%55.7%56.3%65.6%6.6%-11.1%196.3K-10.2M-34.0K0.5957.59N/AN/A1,1616895,8291,849
2020-02-24$48.08$45.0067.1%19.2%54.3%61.2%65.6%12.2%-12.4%168.1K-7.9M-35.0K0.2946.39N/AN/A4801404,4231,277
2020-02-25$48.23$45.0074.0%21.2%54.3%72.2%81.7%11.0%-15.4%175.5K-8.4M-37.0K3.0636.59N/AN/A1544724,5351,355
2020-02-26$44.64$45.0051.9%14.9%58.9%37.1%53.2%9.2%-4.9%69.1K-4.3M-30.1K0.6331.74N/AN/A2661674,5941,795
2020-02-27$44.64$45.0055.2%15.8%59.0%46.1%55.3%9.5%-4.1%66.7K-4.4M-31.6K1.0426.45N/AN/A3093224,5431,890
2020-02-28$42.64$45.0066.2%19.0%59.8%65.1%70.0%12.8%-7.9%43.9K-2.9M-34.2K0.8943.49N/AN/A64574,6432,157