VICR Options History — November 2020

In November 2020, VICR traded between $76.99 and $84.02. ATM implied volatility averaged 44.6%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 3.5% (HV 20d: 41.1%). Max pain ranged from $50.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-11-09: Highest Volume — 180 contracts
  • 2020-11-09: Largest IV spike — 19.1% change
  • 2020-11-02: Highest IV Rank — 33.4%
  • 2020-11-02: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.40$76.99$84.02$77.97$81.40
Max Pain$53.75$50.00$75.00$75.00$50.00
ATM IV44.6%39.7%55.1%55.1%42.8%
Expected Move12.6%11.4%15.8%15.8%12.3%
HV 20d41.1%34.7%45.5%34.7%38.9%
HV 60d43.9%40.3%45.1%42.3%40.3%
IV Rank19.5%13.0%33.4%33.4%16.9%
IV Percentile28.7%11.9%65.1%65.1%20.6%
Term Structure-1.1%-6.4%3.1%-5.2%-4.4%
VWIV43.3%25.4%59.1%59.1%42.6%
Skew 25d4.2%-1.6%15.3%4.5%15.3%
Skew 10d10.9%-8.7%37.8%-8.1%30.4%
Call IV 25d43.3%35.3%55.4%55.0%37.0%
Put IV 25d47.4%40.7%60.8%59.5%52.3%
Bid-Ask Spread %90.3179.3499.8980.8599.89
Gamma HHI0.210.160.250.160.25
Net GEX299.2K229.6K367.2K275.4K316.4K
Net DEX-13.8M-17.1M-11.3M-12.7M-13.8M
Net VEX-30.5K-37.4K-25.9K-35.5K-25.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.003.841.350.10
Total Volume61.25111805411
Total OI4,344.73,7604,6094,4483,893

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$77.97$75.0055.1%15.8%34.7%33.4%59.1%4.5%-5.2%275.4K-12.7M-35.5K1.3580.85N/AN/A23313,780668
2020-11-03$80.83$75.0053.8%15.4%37.3%31.8%51.8%5.5%-4.1%312.3K-14.7M-37.4K0.3679.34N/AN/A1143,780668
2020-11-04$81.60$75.0047.2%13.5%36.8%23.5%47.5%3.3%0.0%300.0K-14.9M-35.3K0.0082.41N/AN/A2903,793691
2020-11-05$83.97$50.0048.2%12.6%38.3%24.8%47.0%2.6%-0.1%355.5K-17.1M-36.3K0.3885.62N/AN/A32123,806691
2020-11-06$84.02$50.0042.1%12.4%34.9%17.1%46.9%3.4%-0.3%367.2K-16.9M-34.3K0.8287.06N/AN/A28233,810693
2020-11-09$79.09$50.0050.2%13.5%40.7%27.2%46.0%7.2%-0.5%281.5K-13.1M-31.5K0.4489.00N/AN/A125553,787710
2020-11-10$76.99$50.0048.8%12.9%41.4%24.5%45.6%5.9%-0.4%235.5K-11.3M-30.0K3.8490.22N/AN/A19733,675754
2020-11-11$79.72$50.0041.6%11.9%43.8%15.4%42.1%-0.9%-0.2%272.6K-13.1M-30.6K0.1988.60N/AN/A53103,682761
2020-11-12$77.06$50.0047.1%13.5%44.7%22.4%0.0%5.8%-5.5%229.6K-11.3M-28.9K0.0096.42N/AN/A4803,708759
2020-11-13$78.44$50.0042.7%12.2%45.5%16.8%35.6%-0.5%-0.1%265.2K-12.4M-30.2K0.0092.85N/AN/A10403,748756
2020-11-16$79.69$50.0042.1%12.1%45.5%16.0%42.9%8.0%0.7%298.4K-13.6M-29.5K2.2091.12N/AN/A5113,847755
2020-11-17$78.78$50.0041.3%11.9%45.5%15.0%41.8%4.5%1.4%286.4K-12.9M-28.9K0.2088.94N/AN/A2553,852757
2020-11-18$79.12$50.0041.6%11.9%43.9%15.4%25.4%9.1%0.0%290.4K-13.1M-28.8K0.1794.25N/AN/A2443,837755
2020-11-19$80.74$50.0041.4%11.9%44.0%15.1%41.2%2.0%3.1%345.1K-14.4M-28.5K0.1891.19N/AN/A137243,831753
2020-11-20$82.17$50.0041.2%11.8%43.7%14.8%40.8%2.7%0.4%307.1K-15.3M-28.2K0.8192.68N/AN/A37303,827749
2020-11-23$80.37$50.0041.1%11.8%40.4%14.8%41.1%0.3%1.2%293.2K-13.0M-27.0K0.9293.53N/AN/A48443,230530
2020-11-24$81.38$50.0041.1%11.8%40.6%14.7%41.1%2.6%-1.2%307.7K-13.7M-28.1K1.2592.89N/AN/A16203,272561
2020-11-25$82.01$50.0039.7%11.4%40.4%13.0%39.8%3.2%-0.1%314.7K-14.2M-28.1K0.0092.81N/AN/A5703,279565
2020-11-27$82.72$50.0043.1%12.3%40.4%17.2%44.0%-1.6%-6.4%330.4K-14.7M-27.5K0.8896.45N/AN/A25223,316565
2020-11-30$81.40$50.0042.8%12.3%38.9%16.9%42.6%15.3%-4.4%316.4K-13.8M-25.9K0.1099.89N/AN/A1013,316577