VICR Options History — June 2020

In June 2020, VICR traded between $59.82 and $72.19. ATM implied volatility averaged 51.9%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 2.6% (HV 20d: 54.5%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2020-06-04: Highest Volume — 1,527 contracts
  • 2020-06-08: Largest IV spike — 14.3% change
  • 2020-06-11: Highest IV Rank — 35.1%
  • 2020-06-11: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.01$59.82$72.19$61.00$71.73
Max Pain$56.36$50.00$60.00$50.00$60.00
ATM IV51.9%46.0%56.4%46.2%51.8%
Expected Move14.8%13.2%16.2%13.3%14.9%
HV 20d54.5%39.5%58.8%39.5%54.2%
HV 60d79.8%64.0%97.1%96.6%64.0%
IV Rank29.4%22.0%35.1%22.3%29.3%
IV Percentile54.0%34.1%66.7%35.7%52.4%
Term Structure6.4%-0.3%10.7%0.3%8.4%
VWIV53.0%45.3%72.2%50.0%52.0%
Skew 25d6.9%3.2%8.9%8.6%6.1%
Skew 10d16.5%9.3%29.1%16.1%11.1%
Call IV 25d48.8%41.5%53.4%41.5%49.6%
Put IV 25d55.7%49.9%60.4%50.1%55.7%
Bid-Ask Spread %62.3744.2973.2554.1673.25
Gamma HHI0.200.170.260.260.20
Net GEX390.6K212.2K623.6K234.2K476.2K
Net DEX-19.5M-28.5M-10.8M-11.6M-22.5M
Net VEX-59.1K-75.1K-36.3K-36.3K-75.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.004.110.944.11
Total Volume527.5271,52731516
Total OI7,090.6364,9098,3624,9098,157

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$61.00$50.0046.2%13.3%39.5%22.3%50.0%8.6%0.3%234.2K-11.6M-36.3K0.9454.16N/AN/A16153,1281,781
2020-06-02$59.82$50.0046.0%13.2%40.7%22.0%45.3%6.7%1.8%232.8K-10.8M-36.6K0.1547.28N/AN/A340513,1441,794
2020-06-03$66.14$50.0050.5%14.5%52.5%27.7%48.8%7.7%-0.3%212.2K-14.9M-36.5K0.0544.29N/AN/A910503,2041,744
2020-06-04$65.43$50.0049.6%13.8%53.0%26.5%46.7%7.6%10.7%306.3K-15.3M-41.6K0.4068.74N/AN/A1,0914363,8441,791
2020-06-05$69.28$50.0048.8%14.3%55.5%25.5%51.6%8.8%7.5%320.1K-18.7M-42.4K0.0269.70N/AN/A609133,9171,802
2020-06-08$66.34$50.0055.8%14.8%58.8%34.3%51.1%8.9%5.7%351.6K-17.5M-50.9K3.5464.56N/AN/A391384,4471,819
2020-06-09$67.28$50.0055.6%14.8%58.7%34.0%50.6%7.5%6.2%345.6K-18.2M-52.1K2.4370.18N/AN/A23564,4561,940
2020-06-10$66.32$50.0050.5%14.5%58.8%27.7%53.3%7.5%8.5%321.2K-17.2M-50.9K0.3869.39N/AN/A1,0664074,4601,993
2020-06-11$66.03$60.0056.4%16.2%55.7%35.1%52.2%8.1%5.3%421.6K-19.4M-66.1K0.1569.35N/AN/A9011355,6492,360
2020-06-12$65.30$60.0053.4%15.3%56.3%31.3%72.2%7.3%5.9%419.6K-18.1M-65.0K0.9365.92N/AN/A14135,6582,355
2020-06-15$69.26$60.0054.6%15.7%58.3%32.8%54.7%7.0%6.7%451.6K-23.4M-66.1K0.0761.99N/AN/A560395,6632,361
2020-06-16$69.75$60.0052.9%15.2%56.9%30.7%54.0%8.1%5.0%523.6K-24.8M-66.5K0.0966.63N/AN/A150135,9032,364
2020-06-17$68.81$60.0054.2%15.5%56.7%32.3%57.1%3.2%3.1%542.5K-23.7M-64.8K0.0766.91N/AN/A268185,8882,377
2020-06-18$68.88$60.0049.3%14.1%56.7%26.1%53.8%8.1%9.9%623.6K-23.0M-66.3K0.1065.91N/AN/A195195,9332,396
2020-06-19$72.10$60.0053.4%15.3%55.7%31.3%54.1%4.8%7.2%364.3K-28.5M-67.9K0.0468.06N/AN/A1,343535,9512,411
2020-06-22$72.19$60.0053.3%15.3%55.8%31.2%52.6%5.3%7.6%425.6K-22.0M-70.6K0.1349.20N/AN/A142185,5051,752
2020-06-23$70.71$60.0050.5%14.5%56.6%27.7%53.9%5.2%9.5%426.3K-20.7M-69.3K1.1559.42N/AN/A3463975,5541,766
2020-06-24$69.36$60.0052.5%15.1%55.2%30.2%55.2%6.1%7.5%386.9K-19.3M-68.8K1.4563.02N/AN/A1772565,5731,885
2020-06-25$69.93$60.0050.7%14.5%54.1%27.9%50.9%5.3%8.5%396.3K-19.2M-68.8K0.2965.20N/AN/A34105,6632,052
2020-06-26$69.10$60.0052.4%15.0%54.4%30.0%52.4%7.1%8.1%376.3K-18.5M-68.0K0.9861.67N/AN/A56555,6862,055
2020-06-29$71.44$60.0053.4%15.3%55.2%31.3%53.8%5.9%7.9%434.0K-21.1M-69.3K0.0047.32N/AN/A61435,7092,104
2020-06-30$71.73$60.0051.8%14.9%54.2%29.3%52.0%6.1%8.4%476.2K-22.5M-75.1K4.1173.25N/AN/A1014156,0522,105