VICR Options History — March 2020

In March 2020, VICR traded between $32.77 and $46.00. ATM implied volatility averaged 84.9%, placing in the 77.1% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded below realized volatility by 11.6% (HV 20d: 96.4%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.67.

Notable Days

  • 2020-03-17: Highest Volume — 648 contracts
  • 2020-03-09: Largest IV spike — 38.6% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-19: Largest Expected Move — 30.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.13$32.77$46.00$43.47$43.86
Max Pain$36.36$35.00$45.00$45.00$35.00
ATM IV84.9%53.7%107.9%58.6%75.9%
Expected Move23.7%15.3%30.9%16.8%21.7%
HV 20d96.4%59.3%133.3%59.6%133.3%
HV 60d64.0%42.4%85.3%42.4%85.3%
IV Rank77.1%43.6%100.0%52.0%59.6%
IV Percentile94.7%70.2%100.0%83.3%92.1%
Term Structure-10.5%-32.0%3.0%-7.5%-8.0%
VWIV84.5%50.5%106.1%59.2%103.7%
Skew 25d19.5%3.3%36.3%8.8%26.2%
Skew 10d45.0%12.8%81.3%17.6%60.6%
Call IV 25d74.2%46.4%100.7%56.8%63.1%
Put IV 25d93.7%56.3%125.6%65.6%89.3%
Bid-Ask Spread %81.0663.90100.5564.9789.47
Gamma HHI0.180.150.220.170.17
Net GEX34.7K-72679.3K39.4K76.6K
Net DEX-1.7M-5.2M2.0M-3.2M-5.2M
Net VEX-29.0K-36.3K-20.1K-33.1K-27.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.007.200.893.00
Total Volume197.511648603156
Total OI6,981.8185,9437,8756,8606,125

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$43.47$45.0058.6%16.8%59.6%52.0%59.2%8.8%-7.5%39.4K-3.2M-33.1K0.8964.97N/AN/A3192844,6902,170
2020-03-03$44.03$45.0062.3%17.9%59.3%58.4%62.1%7.7%-10.6%43.7K-3.6M-35.0K0.0568.42N/AN/A16084,6862,381
2020-03-04$46.00$45.0053.7%15.4%60.7%43.6%50.5%11.8%-1.9%63.4K-5.2M-34.7K0.0863.90N/AN/A131104,7552,381
2020-03-05$45.19$35.0062.3%15.3%59.7%58.3%54.3%3.3%-1.5%79.3K-5.0M-36.3K1.9275.56N/AN/A13254,8612,392
2020-03-06$43.40$35.0069.1%17.9%60.7%70.0%59.3%13.5%-8.7%54.8K-3.8M-36.0K0.9890.48N/AN/A101994,8612,434
2020-03-09$40.67$35.0095.7%21.1%63.7%100.0%82.9%36.3%-14.7%29.0K-1.6M-33.6K0.75100.55N/AN/A1921444,9002,436
2020-03-10$42.33$35.0079.6%20.6%66.2%76.0%77.2%8.8%-11.2%41.1K-2.6M-34.7K0.2471.18N/AN/A210514,9692,431
2020-03-11$37.23$35.0078.8%22.6%77.1%74.8%78.5%12.9%-10.4%6.1K418.3K-29.1K5.9270.11N/AN/A382255,0052,458
2020-03-12$33.60$35.00103.5%29.7%82.1%100.0%103.1%17.2%-32.0%4371.9M-26.7K1.2776.88N/AN/A1281635,0502,667
2020-03-13$37.22$35.00104.5%30.0%92.9%100.0%99.5%36.3%-27.6%6.5K209.8K-31.9K1.1295.82N/AN/A17195,0142,803
2020-03-16$33.73$35.00102.3%29.3%94.8%97.2%102.7%13.6%-23.2%-7262.0M-26.4K0.2079.07N/AN/A64135,0132,799
2020-03-17$38.01$35.0092.6%26.6%108.0%84.4%90.5%19.3%-20.2%5.7K39.7K-30.9K6.6285.66N/AN/A855635,0662,809
2020-03-18$34.41$35.00105.3%30.2%111.4%100.0%88.6%28.4%-22.1%23.4K33.6K-25.0K0.6585.95N/AN/A72475,0582,165
2020-03-19$37.30$35.00107.9%30.9%117.3%100.0%106.1%27.5%-14.5%37.3K-1.2M-27.3K0.7480.15N/AN/A65485,0782,149
2020-03-20$32.77$35.0089.6%25.7%118.2%77.0%105.6%27.4%-8.6%15.8K1.1M-20.9K7.2080.32N/AN/A5365,1332,166
2020-03-23$32.91$35.0097.9%28.1%118.4%87.4%99.1%26.0%-4.6%13.5K364.9K-20.1K0.0082.65N/AN/A1104,0931,850
2020-03-24$35.93$35.0087.3%25.0%124.2%74.1%92.7%21.3%-2.8%28.5K-685.8K-22.5K2.4780.70N/AN/A591464,0971,850
2020-03-25$39.22$35.0086.2%24.7%126.9%72.7%87.8%16.7%-4.1%44.8K-2.5M-26.5K0.3585.49N/AN/A226794,1211,981
2020-03-26$40.57$35.0084.0%24.1%127.7%69.8%92.5%24.3%3.0%50.3K-3.3M-28.0K1.8786.42N/AN/A681274,2132,039
2020-03-27$38.22$35.0084.7%24.3%128.4%70.8%86.7%20.5%-0.1%48.4K-2.3M-26.1K0.2284.85N/AN/A74164,2112,045
2020-03-30$40.86$35.0085.1%24.4%130.7%71.3%76.9%20.9%-0.5%55.7K-3.2M-26.4K0.3084.77N/AN/A37114,1372,058
2020-03-31$43.86$35.0075.9%21.7%133.3%59.6%103.7%26.2%-8.0%76.6K-5.2M-27.6K3.0089.47N/AN/A391174,0662,059