VICR Options History — September 2020

In September 2020, VICR traded between $74.10 and $90.67. ATM implied volatility averaged 54.0%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 6.7% (HV 20d: 47.3%). Max pain ranged from $35.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2020-09-21: Highest Volume — 454 contracts
  • 2020-09-03: Largest IV spike — 22.8% change
  • 2020-09-08: Highest IV Rank — 38.5%
  • 2020-09-04: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.64$74.10$90.67$87.59$77.61
Max Pain$48.81$35.00$85.00$85.00$50.00
ATM IV54.0%46.6%59.1%47.0%55.6%
Expected Move15.5%13.3%17.2%13.5%15.9%
HV 20d47.3%31.2%55.2%31.2%54.1%
HV 60d39.6%34.1%42.5%34.1%42.3%
IV Rank32.0%22.7%38.5%23.2%34.0%
IV Percentile63.6%42.9%75.4%44.4%68.3%
Term Structure3.6%-3.7%10.7%10.7%2.2%
VWIV54.9%44.5%61.8%47.0%56.3%
Skew 25d5.2%2.1%11.6%6.6%4.4%
Skew 10d15.2%-5.9%37.6%37.6%14.8%
Call IV 25d53.6%42.6%57.3%50.7%56.2%
Put IV 25d58.8%54.2%63.4%57.3%60.6%
Bid-Ask Spread %88.0376.6794.4191.6194.41
Gamma HHI0.200.170.230.230.19
Net GEX357.4K288.9K446.1K435.0K354.6K
Net DEX-21.4M-32.9M-15.4M-29.6M-18.6M
Net VEX-58.0K-70.6K-49.1K-65.9K-52.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.001.500.070.54
Total Volume125.2381145414420
Total OI5,569.4295,0955,9855,7035,459

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$87.59$85.0047.0%13.5%31.2%23.2%47.0%6.6%10.7%435.0K-29.6M-65.9K0.0791.61N/AN/A13594,941762
2020-09-02$90.67$85.0046.6%13.3%33.2%22.7%50.7%11.6%8.5%438.3K-32.9M-64.8K0.0887.80N/AN/A220184,987766
2020-09-03$83.00$35.0057.2%15.3%46.1%36.1%58.6%3.9%4.3%422.9K-25.8M-70.6K0.3683.52N/AN/A2961065,198787
2020-09-04$83.14$35.0053.0%17.2%44.9%30.8%60.5%7.4%-3.7%414.7K-24.7M-68.4K0.0981.15N/AN/A134125,040868
2020-09-08$81.67$35.0059.1%16.9%44.8%38.5%59.6%6.7%0.8%398.4K-23.2M-64.4K0.0976.67N/AN/A3535,032870
2020-09-09$84.72$35.0056.2%16.1%46.4%34.8%57.0%4.5%-0.3%446.1K-26.2M-64.3K0.0082.29N/AN/A41715,042868
2020-09-10$82.83$35.0055.7%16.0%46.0%34.3%61.8%5.8%0.5%350.6K-22.2M-59.3K0.0788.01N/AN/A299204,609868
2020-09-11$81.74$45.0054.6%15.7%45.6%32.8%54.4%4.6%2.0%334.0K-21.1M-59.6K0.8487.84N/AN/A19164,681888
2020-09-14$82.42$45.0055.2%15.8%45.1%33.6%55.0%6.6%2.3%343.3K-21.4M-58.5K1.5086.53N/AN/A694,684898
2020-09-15$83.19$45.0052.9%15.2%44.3%30.7%44.5%5.4%2.5%350.0K-22.2M-57.5K0.0087.67N/AN/A3504,685895
2020-09-16$82.61$45.0049.2%14.1%43.0%26.1%52.0%5.1%4.7%333.3K-21.4M-56.7K1.2788.19N/AN/A22284,686895
2020-09-17$80.60$50.0054.4%15.6%44.0%32.6%54.6%2.6%3.6%288.9K-19.7M-54.6K1.4488.03N/AN/A18264,678907
2020-09-18$80.52$50.0052.9%15.2%43.9%30.7%52.9%3.1%3.7%295.2K-19.6M-54.0K0.0089.05N/AN/A10704,666917
2020-09-21$74.10$50.0054.8%15.7%52.9%33.0%51.3%2.1%4.4%306.6K-15.4M-49.1K0.2688.92N/AN/A359954,434661
2020-09-22$77.65$50.0051.7%14.8%55.2%29.2%56.4%6.7%5.8%339.7K-18.3M-55.2K0.3688.60N/AN/A28104,606732
2020-09-23$75.42$50.0055.0%15.8%55.1%33.3%0.0%4.8%3.1%324.4K-17.0M-53.0K0.0092.52N/AN/A1104,621738
2020-09-24$75.17$50.0055.4%15.9%54.9%33.8%55.7%4.8%3.8%320.9K-16.6M-51.5K0.8391.79N/AN/A12104,631738
2020-09-25$75.12$50.0053.9%15.5%54.9%32.0%0.0%2.1%7.5%324.0K-16.8M-52.3K0.0093.33N/AN/A1204,634748
2020-09-28$75.93$50.0057.5%16.5%53.1%36.5%57.1%6.2%1.9%330.6K-17.3M-51.9K1.0687.83N/AN/A31334,640748
2020-09-29$77.79$50.0055.4%15.9%54.1%33.8%57.0%3.7%7.0%353.9K-18.9M-53.2K0.2992.97N/AN/A1444,669781
2020-09-30$77.61$50.0055.6%15.9%54.1%34.0%56.3%4.4%2.2%354.6K-18.6M-52.4K0.5494.41N/AN/A1374,676783