VICR Options History — August 2020

In August 2020, VICR traded between $78.19 and $87.70. ATM implied volatility averaged 44.6%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 6.4% (HV 20d: 38.2%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2020-08-07: Highest Volume — 788 contracts
  • 2020-08-04: Largest IV drop — 10.4% change
  • 2020-08-03: Highest IV Rank — 24.5%
  • 2020-08-03: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.29$78.19$87.70$82.27$87.70
Max Pain$79.29$75.00$80.00$75.00$80.00
ATM IV44.6%42.9%48.0%48.0%45.1%
Expected Move12.7%12.3%13.8%13.8%12.9%
HV 20d38.2%30.3%43.7%38.7%31.5%
HV 60d42.3%35.5%44.5%44.5%35.5%
IV Rank20.2%18.1%24.5%24.5%20.8%
IV Percentile29.9%23.8%43.7%39.7%35.3%
Term Structure5.0%-1.8%9.3%-1.8%9.3%
VWIV44.9%37.4%52.3%52.3%37.4%
Skew 25d5.0%2.9%6.8%6.8%4.5%
Skew 10d13.3%-4.4%24.0%11.2%-4.4%
Call IV 25d43.3%41.5%46.4%44.5%46.4%
Put IV 25d48.3%46.4%51.3%51.3%50.9%
Bid-Ask Spread %67.4951.5380.1066.4378.00
Gamma HHI0.250.200.330.310.24
Net GEX361.3K225.7K448.7K406.8K444.9K
Net DEX-25.4M-29.7M-21.0M-27.0M-29.7M
Net VEX-67.9K-77.6K-62.5K-77.6K-67.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.014.671.710.24
Total Volume143.905327885741
Total OI6,156.9525,3006,6446,6445,686

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$82.27$75.0048.0%13.8%38.7%24.5%52.3%6.8%-1.8%406.8K-27.0M-77.6K1.7166.43N/AN/A21365,3551,289
2020-08-04$83.60$75.0043.0%12.3%37.8%18.2%39.2%6.8%0.4%437.8K-28.3M-76.7K0.5564.67N/AN/A78435,3601,272
2020-08-05$83.62$75.0044.4%12.7%37.7%19.9%44.5%6.7%-0.5%422.9K-28.4M-76.6K0.0173.28N/AN/A26725,3551,252
2020-08-06$81.86$80.0044.7%12.9%38.8%20.4%46.7%3.6%4.6%341.5K-25.5M-74.2K0.7751.53N/AN/A30235,1091,254
2020-08-07$79.67$80.0043.8%12.6%40.3%19.2%46.0%5.5%4.6%314.7K-23.3M-71.7K0.1854.71N/AN/A6661225,1101,259
2020-08-10$78.19$80.0046.4%12.9%40.7%22.5%45.4%4.1%2.1%240.2K-21.0M-67.8K0.5753.70N/AN/A103594,8991,320
2020-08-11$78.69$80.0046.7%12.9%40.7%22.9%46.4%5.6%7.3%225.7K-21.4M-66.5K0.0853.89N/AN/A135114,8781,367
2020-08-12$81.29$80.0045.1%12.9%42.1%20.9%43.0%5.3%3.0%288.9K-24.1M-66.2K0.0456.13N/AN/A14164,9141,362
2020-08-13$83.08$80.0042.9%12.3%42.3%18.1%47.9%4.2%6.0%350.8K-26.4M-67.2K1.1359.12N/AN/A54615,0021,362
2020-08-14$81.42$80.0043.7%12.5%42.9%19.1%44.7%5.8%4.8%324.1K-24.9M-67.1K1.6359.10N/AN/A16265,0291,368
2020-08-17$83.51$80.0043.8%12.6%43.0%19.2%45.7%6.1%6.8%377.6K-27.2M-65.5K0.5166.68N/AN/A39205,0271,382
2020-08-18$81.09$80.0044.1%12.6%43.7%19.6%45.2%3.2%5.1%323.4K-24.7M-64.0K0.2972.08N/AN/A85255,0301,388
2020-08-19$80.82$80.0045.5%13.1%41.8%21.4%42.7%5.5%5.2%336.4K-24.4M-64.2K0.2279.71N/AN/A101225,0321,408
2020-08-20$80.24$80.0043.5%12.5%40.8%18.9%47.1%6.3%6.7%342.4K-24.1M-64.6K4.6770.67N/AN/A331545,0841,420
2020-08-21$79.90$80.0043.6%12.5%34.7%18.9%45.0%4.0%6.7%380.8K-23.9M-63.3K0.5279.00N/AN/A21115,0721,411
2020-08-24$81.74$80.0043.8%12.6%35.2%19.2%45.4%3.5%7.7%378.6K-23.0M-62.5K0.0974.54N/AN/A8584,569731
2020-08-25$83.62$80.0043.0%12.3%35.8%18.2%43.1%5.8%7.0%391.9K-25.0M-64.4K0.0475.12N/AN/A5324,643725
2020-08-26$84.27$80.0043.2%12.4%30.4%18.4%45.7%2.9%6.5%392.8K-25.8M-64.5K0.0273.37N/AN/A10824,667725
2020-08-27$84.30$80.0044.5%12.7%30.3%20.1%44.1%5.0%6.5%417.0K-26.0M-65.7K0.1275.48N/AN/A197234,764723
2020-08-28$87.30$80.0046.9%13.4%31.7%23.1%45.3%4.6%7.2%448.7K-29.5M-68.4K0.1580.10N/AN/A80124,957736
2020-08-31$87.70$80.0045.1%12.9%31.5%20.8%37.4%4.5%9.3%444.9K-29.7M-67.5K0.2478.00N/AN/A3384,940746