VICR Options History — April 2020

In April 2020, VICR traded between $37.67 and $53.17. ATM implied volatility averaged 72.8%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 42.5% (HV 20d: 115.3%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2020-04-24: Highest Volume — 524 contracts
  • 2020-04-24: Largest IV drop — 22.6% change
  • 2020-04-03: Highest IV Rank — 77.9%
  • 2020-04-01: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.29$37.67$53.17$41.64$53.17
Max Pain$42.62$35.00$45.00$35.00$45.00
ATM IV72.8%46.7%90.4%89.9%46.7%
Expected Move20.6%13.4%25.8%25.8%13.4%
HV 20d115.3%90.0%142.4%133.4%95.1%
HV 60d94.1%85.3%100.3%85.9%100.1%
IV Rank55.7%22.9%77.9%77.3%22.9%
IV Percentile82.7%35.7%96.8%96.8%35.7%
Term Structure-9.7%-17.1%2.1%-11.4%2.1%
VWIV70.1%49.8%90.3%90.3%54.5%
Skew 25d14.0%7.8%28.9%28.9%8.3%
Skew 10d32.8%5.7%58.4%47.1%16.3%
Call IV 25d66.9%46.2%79.3%68.9%46.2%
Put IV 25d80.9%54.5%97.8%97.8%54.5%
Bid-Ask Spread %53.2632.7593.1193.1176.55
Gamma HHI0.290.170.440.170.44
Net GEX66.3K25.2K108.8K60.4K105.7K
Net DEX-4.2M-6.6M-1.4M-3.9M-6.6M
Net VEX-25.5K-29.7K-21.9K-26.3K-28.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.019.864.173.34
Total Volume210.7621352431269
Total OI5,187.3813,2306,9036,1993,666

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$41.64$35.0089.9%25.8%133.4%77.3%90.3%28.9%-11.4%60.4K-3.9M-26.3K4.1793.11N/AN/A6254,0852,114
2020-04-02$40.91$35.0079.8%22.5%133.4%64.5%77.9%18.4%-8.3%50.4K-3.3M-24.9K0.0052.96N/AN/A0874,0812,118
2020-04-03$37.67$40.0090.4%22.2%135.7%77.9%0.0%11.9%-8.0%27.1K-1.6M-22.9K5.5053.67N/AN/A2114,0812,108
2020-04-06$42.80$40.0071.5%19.6%141.9%54.1%69.3%16.7%-6.0%67.1K-4.5M-24.6K0.6941.68N/AN/A121844,0812,105
2020-04-07$40.61$40.0072.5%20.8%142.4%55.3%64.6%8.5%-15.4%64.0K-3.2M-22.7K2.8662.15N/AN/A22634,1032,111
2020-04-08$42.18$40.0071.2%20.4%134.9%53.8%64.6%9.9%-10.2%70.8K-4.4M-23.7K1.0972.13N/AN/A22244,1132,172
2020-04-09$44.89$40.0072.0%20.7%129.9%54.8%69.9%12.0%-8.4%71.5K-5.9M-23.7K2.1162.84N/AN/A38804,1202,184
2020-04-13$42.91$40.0078.1%22.4%127.2%62.4%77.8%23.7%-15.5%77.7K-4.7M-22.0K0.3554.04N/AN/A241854,1092,168
2020-04-14$44.55$45.0073.5%21.1%121.2%56.6%68.2%14.1%-13.2%71.4K-6.0M-23.3K0.8053.07N/AN/A95764,2782,244
2020-04-15$41.03$45.0081.1%23.3%119.1%66.2%0.0%14.5%-16.2%101.0K-3.6M-21.9K0.6834.83N/AN/A2221514,3152,243
2020-04-16$42.51$45.0075.9%21.8%113.0%59.7%0.0%14.9%-15.1%25.2K-5.5M-23.9K0.0139.38N/AN/A35924,5022,231
2020-04-17$43.34$45.0074.9%21.5%110.0%58.4%78.5%12.1%-13.2%31.8K-6.5M-26.0K0.2446.84N/AN/A297724,6702,233
2020-04-20$42.91$45.0079.2%22.7%97.8%63.8%76.3%7.8%-13.4%29.0K-1.8M-25.2K0.0245.70N/AN/A26851,9611,269
2020-04-21$41.77$45.0089.4%25.6%98.8%76.7%84.2%17.2%-17.1%30.7K-1.4M-25.6K0.2833.67N/AN/A163452,0801,274
2020-04-22$41.97$45.0086.6%24.8%94.6%73.1%75.9%17.7%-15.4%41.2K-1.6M-26.0K0.1347.38N/AN/A110142,2431,314
2020-04-23$42.76$45.0078.0%22.4%90.0%62.4%75.5%16.7%-12.4%55.4K-1.9M-26.4K0.5832.75N/AN/A2021172,3441,321
2020-04-24$49.87$45.0060.4%17.3%104.2%40.2%61.8%8.2%-2.9%108.8K-5.4M-29.6K0.3651.42N/AN/A3851392,4281,359
2020-04-27$49.25$45.0055.5%15.9%101.3%34.0%62.7%14.2%-2.2%100.7K-4.8M-29.7K0.0335.37N/AN/A22972,3761,388
2020-04-28$50.45$45.0055.0%15.8%99.4%33.3%60.6%10.5%-2.1%98.3K-5.2M-29.4K9.8657.25N/AN/A141382,2701,392
2020-04-29$52.86$45.0047.0%13.5%97.8%23.3%49.8%8.5%1.0%103.4K-6.4M-28.7K1.2771.60N/AN/A60762,2761,405
2020-04-30$53.17$45.0046.7%13.4%95.1%22.9%54.5%8.3%2.1%105.7K-6.6M-28.9K3.3476.55N/AN/A622072,3141,352