VICR Options History — May 2020

In May 2020, VICR traded between $51.33 and $61.11. ATM implied volatility averaged 51.1%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 13.2% (HV 20d: 64.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2020-05-15: Highest Volume — 2,666 contracts
  • 2020-05-12: Largest IV spike — 40.7% change
  • 2020-05-12: Highest IV Rank — 49.0%
  • 2020-05-14: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.65$51.33$61.11$51.33$60.83
Max Pain$49.75$45.00$50.00$45.00$50.00
ATM IV51.1%42.5%67.5%57.6%46.8%
Expected Move14.5%12.9%17.4%16.5%13.4%
HV 20d64.3%40.4%96.0%96.0%42.4%
HV 60d98.9%96.4%100.6%100.2%96.7%
IV Rank28.4%17.5%49.0%36.6%23.0%
IV Percentile48.4%23.0%81.7%68.3%37.3%
Term Structure0.1%-3.4%2.6%-2.6%0.8%
VWIV53.5%42.7%60.3%59.6%42.7%
Skew 25d9.3%5.9%11.8%10.8%11.1%
Skew 10d19.3%5.3%33.1%21.7%33.1%
Call IV 25d46.3%40.3%52.6%51.6%40.3%
Put IV 25d55.6%50.0%64.5%62.4%51.4%
Bid-Ask Spread %54.8734.0063.9747.9263.97
Gamma HHI0.260.170.430.420.24
Net GEX171.1K58.8K574.4K94.0K202.7K
Net DEX-8.4M-11.2M-5.6M-5.6M-11.2M
Net VEX-34.4K-37.9K-30.2K-30.2K-36.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.007.510.420.04
Total Volume413.75222,666360124
Total OI4,903.753,8876,8443,8874,802

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$51.33$45.0057.6%16.5%96.0%36.6%59.6%10.8%-2.6%94.0K-5.6M-30.2K0.4247.92N/AN/A2531072,3551,532
2020-05-04$51.99$50.0058.3%15.8%89.4%37.5%60.3%8.7%-0.2%108.0K-6.1M-30.6K7.5146.29N/AN/A453382,4941,618
2020-05-05$52.62$50.0044.8%14.4%79.1%20.5%52.7%5.9%1.2%96.7K-6.3M-31.2K0.1051.30N/AN/A273272,4991,851
2020-05-06$52.76$50.0051.1%14.1%75.6%28.4%49.9%9.6%1.6%108.5K-6.6M-32.8K0.0134.00N/AN/A17322,7471,877
2020-05-07$53.18$50.0048.0%14.2%75.0%24.5%57.0%8.8%0.2%119.6K-7.1M-33.9K0.0755.79N/AN/A288202,8831,877
2020-05-08$54.53$50.0042.5%13.4%72.8%17.5%51.9%9.0%1.7%132.1K-8.7M-34.3K0.0359.48N/AN/A7423,0421,897
2020-05-11$54.57$50.0047.9%13.5%70.0%24.4%55.6%9.9%1.3%121.6K-8.7M-33.1K0.8758.54N/AN/A31273,0401,895
2020-05-12$53.88$50.0067.5%14.0%69.9%49.0%53.7%10.3%0.7%131.8K-8.0M-33.5K0.0062.17N/AN/A1,11723,0231,917
2020-05-13$51.63$50.0059.4%17.0%64.1%38.9%59.5%11.7%-2.1%356.1K-7.2M-34.3K0.0658.71N/AN/A1,135734,0511,919
2020-05-14$52.28$50.0060.7%17.4%63.5%40.5%60.3%11.8%-3.4%574.4K-8.3M-33.5K0.3657.39N/AN/A133484,8721,927
2020-05-15$54.12$50.0054.3%15.6%64.0%32.5%53.5%8.3%-1.0%58.8K-9.1M-32.3K0.0656.83N/AN/A2,5151514,8981,946
2020-05-18$56.66$50.0050.2%14.4%64.7%27.3%54.5%9.3%0.1%136.4K-7.9M-35.4K0.1663.50N/AN/A75122,7341,768
2020-05-19$58.74$50.0050.7%14.5%63.2%27.9%53.8%8.8%-1.3%146.4K-9.2M-34.9K0.0059.80N/AN/A32002,7351,761
2020-05-20$59.44$50.0047.5%13.6%63.1%23.8%50.0%8.7%0.3%174.6K-10.4M-37.9K0.2559.62N/AN/A193492,9611,761
2020-05-21$57.28$50.0051.6%14.8%66.0%29.0%51.1%10.3%0.3%142.1K-8.5M-36.5K0.4756.68N/AN/A1572,8231,765
2020-05-22$58.31$50.0046.1%13.2%40.8%22.2%52.7%8.9%1.3%154.6K-9.1M-37.2K0.2257.26N/AN/A154342,8271,765
2020-05-26$57.99$50.0044.9%12.9%40.4%20.6%51.0%8.3%0.9%174.9K-9.1M-37.3K0.2953.78N/AN/A48142,9381,776
2020-05-27$61.11$50.0046.2%13.2%43.0%22.2%48.4%8.8%0.3%190.9K-11.2M-36.5K0.4746.02N/AN/A2221052,9421,785
2020-05-28$59.72$50.0045.3%13.0%42.2%21.2%51.5%7.0%2.6%197.3K-10.6M-36.8K1.8848.39N/AN/A24453,0071,765
2020-05-29$60.83$50.0046.8%13.4%42.4%23.0%42.7%11.1%0.8%202.7K-11.2M-36.5K0.0463.97N/AN/A11953,0211,781