VICR Options History — July 2020

In July 2020, VICR traded between $72.19 and $82.70. ATM implied volatility averaged 53.6%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 20.6% (HV 20d: 33.1%). Max pain ranged from $60.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2020-07-24: Highest Volume — 2,757 contracts
  • 2020-07-24: Largest IV drop — 24.1% change
  • 2020-07-23: Highest IV Rank — 46.9%
  • 2020-07-23: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.99$72.19$82.70$72.19$81.23
Max Pain$71.36$60.00$75.00$60.00$75.00
ATM IV53.6%43.6%65.8%48.8%44.4%
Expected Move16.1%12.5%18.9%14.0%12.7%
HV 20d33.1%24.3%42.2%42.2%39.0%
HV 60d49.8%42.2%59.1%59.1%44.4%
IV Rank31.6%19.0%46.9%25.5%19.9%
IV Percentile53.5%25.0%80.6%42.5%26.6%
Term Structure-2.0%-7.7%14.4%11.2%0.6%
VWIV57.4%44.8%69.8%48.6%47.2%
Skew 25d6.7%3.3%9.3%3.6%6.5%
Skew 10d15.2%-12.4%23.9%6.5%15.2%
Call IV 25d53.8%42.0%63.8%48.4%42.9%
Put IV 25d60.6%47.5%70.6%52.0%49.4%
Bid-Ask Spread %56.1239.1879.6867.6365.54
Gamma HHI0.270.200.460.220.28
Net GEX470.2K203.8K806.6K467.1K399.5K
Net DEX-24.5M-30.4M-16.5M-22.6M-26.5M
Net VEX-75.3K-82.1K-70.2K-75.4K-81.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.020.910.770.04
Total Volume460.409332,757268308
Total OI7,463.8185,3748,7588,2926,789

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$72.19$60.0048.8%14.0%42.2%25.5%48.6%3.6%11.2%467.1K-22.6M-75.4K0.7767.63N/AN/A1511176,0412,251
2020-07-02$73.03$60.0043.6%12.5%41.8%19.0%46.1%5.0%14.4%475.8K-22.9M-77.2K0.8642.52N/AN/A1821576,0622,341
2020-07-06$74.52$70.0047.3%17.0%37.6%23.6%66.6%4.1%-3.3%547.9K-25.3M-74.3K0.8944.39N/AN/A4884346,0382,299
2020-07-07$73.10$70.0048.6%17.4%34.5%25.3%59.3%6.9%-3.9%526.7K-23.7M-73.3K0.0255.23N/AN/A21646,0892,283
2020-07-08$74.42$70.0053.4%17.6%34.6%31.3%63.1%6.8%-4.7%567.2K-25.9M-76.0K0.4939.18N/AN/A47236,2032,282
2020-07-09$75.31$70.0052.2%17.4%33.9%29.8%65.9%7.4%-2.6%595.2K-27.1M-75.0K0.2741.87N/AN/A88246,2382,276
2020-07-10$75.06$70.0049.4%17.7%33.9%26.3%64.4%8.2%-5.0%637.6K-27.0M-74.4K0.8539.22N/AN/A1331136,2572,298
2020-07-13$74.26$70.0060.6%17.7%33.9%40.4%62.3%7.5%-1.7%645.4K-27.0M-74.1K0.0760.64N/AN/A468346,3622,217
2020-07-14$74.97$70.0063.9%17.9%27.7%44.6%62.6%8.7%-5.6%626.2K-26.7M-73.6K0.1446.31N/AN/A6496,2682,237
2020-07-15$75.10$70.0062.0%17.8%27.7%42.1%60.9%7.2%-4.7%676.3K-27.0M-72.3K0.8343.24N/AN/A4163476,2472,239
2020-07-16$74.66$70.0060.8%17.4%27.2%40.7%59.2%8.3%-5.0%806.6K-26.6M-71.2K0.1051.66N/AN/A210216,3322,239
2020-07-17$76.20$70.0062.2%17.8%27.7%42.4%63.1%7.5%-6.4%337.4K-30.4M-73.0K0.6253.59N/AN/A90566,5032,255
2020-07-20$77.97$75.0064.8%18.6%24.3%45.7%69.3%9.3%-6.4%350.1K-21.4M-74.0K0.0565.27N/AN/A14674,719655
2020-07-21$76.30$75.0061.7%17.7%25.9%41.8%58.3%6.9%-6.2%345.3K-20.3M-73.2K0.1158.27N/AN/A7584,749662
2020-07-22$73.92$75.0061.8%17.7%27.5%41.9%62.0%7.7%-7.6%344.7K-18.4M-71.2K0.8959.18N/AN/A1841644,819669
2020-07-23$72.22$75.0065.8%18.9%27.9%46.9%69.8%6.8%-7.7%302.5K-16.5M-70.2K0.9145.54N/AN/A1,0589614,765813
2020-07-24$76.91$75.0049.9%14.3%35.3%26.9%48.8%8.1%-1.0%203.8K-22.1M-78.3K0.7779.68N/AN/A1,5571,2005,4271,753
2020-07-27$78.06$75.0045.0%12.9%34.9%20.7%46.4%7.2%0.3%344.6K-22.9M-79.2K0.1369.07N/AN/A104145,3401,208
2020-07-28$77.60$75.0044.6%12.8%33.6%20.2%47.2%3.3%0.6%332.4K-22.6M-78.4K0.0673.94N/AN/A3125,3821,211
2020-07-29$81.96$75.0044.3%12.7%38.1%19.9%44.8%4.7%0.9%401.4K-27.1M-79.7K0.3064.56N/AN/A266805,3941,213
2020-07-30$82.70$75.0044.6%12.8%38.1%20.2%47.9%6.3%-0.4%410.6K-28.4M-82.1K0.6468.11N/AN/A44285,4991,280
2020-07-31$81.23$75.0044.4%12.7%39.0%19.9%47.2%6.5%0.6%399.5K-26.5M-81.4K0.0465.54N/AN/A297115,5021,287