VICR Options History — October 2020

In October 2020, VICR traded between $77.20 and $86.92. ATM implied volatility averaged 57.9%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 15.4% (HV 20d: 42.5%). Max pain ranged from $50.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2020-10-27: Highest Volume — 605 contracts
  • 2020-10-12: Largest IV spike — 34.4% change
  • 2020-10-13: Highest IV Rank — 54.3%
  • 2020-10-21: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.49$77.20$86.92$78.49$77.20
Max Pain$68.64$50.00$75.00$50.00$70.00
ATM IV57.9%45.6%71.6%56.2%57.4%
Expected Move16.9%13.1%18.9%16.1%16.4%
HV 20d42.5%32.5%52.4%52.4%40.7%
HV 60d42.9%41.0%44.6%42.2%42.6%
IV Rank37.0%21.5%54.3%34.8%36.3%
IV Percentile69.0%35.7%87.3%70.6%72.2%
Term Structure-3.8%-8.6%4.1%3.1%-3.2%
VWIV59.7%45.4%71.7%57.1%56.7%
Skew 25d5.6%-2.3%9.1%4.4%6.9%
Skew 10d15.5%2.9%30.5%7.8%30.5%
Call IV 25d56.2%44.6%61.6%55.2%54.8%
Put IV 25d61.8%50.6%68.4%59.6%61.7%
Bid-Ask Spread %70.0051.7396.0396.0381.79
Gamma HHI0.210.140.260.190.14
Net GEX377.6K276.4K505.0K363.6K276.4K
Net DEX-20.5M-27.3M-12.3M-19.4M-12.3M
Net VEX-48.6K-53.5K-36.2K-53.4K-36.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.0016.290.512.47
Total Volume138.409360571163
Total OI5,089.5454,2035,7515,4744,330

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$78.49$50.0056.2%16.1%52.4%34.8%57.1%4.4%3.1%363.6K-19.4M-53.4K0.5196.03N/AN/A47244,686788
2020-10-02$77.56$55.0055.5%15.9%42.9%34.0%57.1%6.4%4.1%354.4K-18.7M-53.1K1.8094.42N/AN/A594,723804
2020-10-05$82.17$60.0060.0%17.7%48.1%39.6%63.0%6.5%-4.6%399.1K-22.4M-53.4K0.1954.46N/AN/A95184,725809
2020-10-06$81.53$70.0055.3%17.4%47.7%33.7%59.2%5.3%-3.5%404.6K-22.7M-53.5K0.3254.23N/AN/A1964,804816
2020-10-07$82.99$70.0049.4%17.1%46.2%26.2%60.6%6.4%-4.1%425.9K-23.7M-53.4K16.2951.97N/AN/A71144,812818
2020-10-08$83.32$70.0052.4%16.7%45.5%30.0%61.6%6.5%-1.1%425.3K-24.1M-52.1K2.0051.73N/AN/A124,815852
2020-10-09$86.92$70.0048.0%17.1%47.6%24.6%60.7%4.4%-3.4%495.6K-27.3M-52.7K0.2760.04N/AN/A176474,815859
2020-10-12$86.69$70.0064.6%17.9%47.6%45.4%65.1%5.3%-7.8%505.0K-27.3M-52.6K0.1864.70N/AN/A110204,874877
2020-10-13$85.69$70.0071.6%17.6%47.8%54.3%59.0%3.8%-4.4%422.1K-26.0M-51.9K0.0066.73N/AN/A3904,784896
2020-10-14$85.72$70.0062.9%18.0%47.7%43.3%65.1%5.9%-7.3%447.3K-25.8M-50.9K0.9263.77N/AN/A24224,772896
2020-10-15$86.68$70.0065.0%18.6%46.7%46.0%64.1%9.1%-6.3%479.6K-26.8M-51.5K0.1960.51N/AN/A3264,777916
2020-10-16$86.28$70.0062.2%17.8%46.8%42.4%61.3%6.4%-7.8%305.9K-26.0M-49.5K0.1365.08N/AN/A118154,768923
2020-10-19$84.32$70.0063.7%18.3%35.5%44.3%59.0%7.8%-7.3%305.2K-19.0M-48.9K0.0172.67N/AN/A16613,758445
2020-10-20$83.53$70.0065.1%18.7%32.5%46.1%62.0%-2.3%-8.6%326.5K-18.4M-48.5K0.0378.54N/AN/A2913,913446
2020-10-21$80.60$70.0065.8%18.9%33.5%46.9%71.7%2.3%-7.5%316.5K-16.7M-47.0K0.2875.06N/AN/A94263,941447
2020-10-22$82.09$75.0064.3%18.4%33.8%45.1%65.8%8.6%-6.7%312.4K-17.3M-47.1K0.2561.88N/AN/A173433,893470
2020-10-23$84.00$75.0045.6%13.1%34.4%21.5%45.4%8.1%2.2%377.8K-18.2M-47.2K0.0685.62N/AN/A261153,990515
2020-10-26$79.85$75.0050.3%14.4%39.7%27.4%52.9%4.8%-2.0%351.0K-15.3M-44.7K0.1374.17N/AN/A263334,056529
2020-10-27$80.18$70.0050.6%14.5%38.8%27.8%53.0%5.4%-2.2%395.7K-16.3M-45.1K0.1174.17N/AN/A544614,307554
2020-10-28$79.21$70.0053.4%15.3%39.1%31.3%55.5%2.9%-0.8%310.1K-14.1M-38.6K0.1977.38N/AN/A156303,843580
2020-10-29$79.83$70.0054.2%15.5%39.0%32.3%58.1%8.4%-4.0%306.6K-14.1M-38.3K0.5075.01N/AN/A20103,749595
2020-10-30$77.20$70.0057.4%16.4%40.7%36.3%56.7%6.9%-3.2%276.4K-12.3M-36.2K2.4781.79N/AN/A471163,735595