VICR Options History — December 2020

In December 2020, VICR traded between $82.53 and $95.39. ATM implied volatility averaged 44.5%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 7.3% (HV 20d: 37.2%). 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 14 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2020-12-15: Highest Volume — 492 contracts
  • 2020-12-09: Largest IV drop — 20.7% change
  • 2020-12-08: Highest IV Rank — 26.9%
  • 2020-12-31: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.78$82.53$95.39$83.83$92.31
Max Pain$69.55$50.00$75.00$50.00$75.00
ATM IV44.5%40.2%50.6%43.4%50.2%
Expected Move12.5%11.5%14.4%12.4%14.4%
HV 20d37.2%24.9%42.9%39.9%42.0%
HV 60d39.8%38.8%40.8%40.8%38.8%
IV Rank19.0%13.5%26.9%17.6%26.3%
IV Percentile27.8%12.7%50.4%23.0%47.6%
Term Structure2.3%-7.1%9.6%-3.0%-7.1%
VWIV43.4%31.5%53.8%42.4%47.2%
Skew 25d1.9%-4.9%7.9%3.6%-0.3%
Skew 10d10.6%-2.6%31.8%8.7%31.8%
Call IV 25d45.0%39.1%52.7%42.3%52.7%
Put IV 25d46.9%43.0%52.4%45.9%52.4%
Bid-Ask Spread %87.2077.5496.6895.6896.68
Gamma HHI0.230.180.290.240.19
Net GEX346.1K264.0K474.2K334.0K329.8K
Net DEX-14.8M-21.9M-9.2M-15.3M-10.6M
Net VEX-25.6K-27.8K-23.4K-27.5K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.0014.000.070.07
Total Volume88.72774921616
Total OI3,468.0452,5184,2553,9012,707

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$83.83$50.0043.4%12.4%39.9%17.6%42.4%3.6%-3.0%334.0K-15.3M-27.5K0.0795.68N/AN/A1513,321580
2020-12-02$83.03$50.0041.9%12.0%38.3%15.8%42.5%-4.9%-0.5%335.1K-15.0M-26.1K0.8596.35N/AN/A20173,329580
2020-12-03$82.53$70.0041.8%11.7%38.2%15.6%40.6%2.6%7.6%332.1K-14.6M-25.4K11.0088.50N/AN/A1113,329575
2020-12-04$84.16$70.0040.9%11.7%37.5%14.4%0.0%1.5%8.2%355.7K-15.6M-26.3K0.0085.52N/AN/A703,328574
2020-12-07$84.91$70.0046.9%11.5%37.6%22.1%39.3%-0.3%9.2%369.4K-16.3M-26.3K0.0086.18N/AN/A1503,331574
2020-12-08$86.30$70.0050.6%11.5%30.3%26.9%40.4%5.4%6.2%391.0K-17.1M-25.6K0.0583.57N/AN/A1913,313574
2020-12-09$83.94$70.0040.2%11.5%30.4%13.5%40.4%4.8%9.6%367.5K-15.4M-25.6K0.1987.53N/AN/A4383,314574
2020-12-10$83.83$70.0042.6%12.2%28.2%16.6%41.9%3.5%7.0%351.5K-15.2M-23.7K0.1791.32N/AN/A3663,333581
2020-12-11$83.23$70.0042.8%12.3%25.0%16.9%42.2%2.1%4.5%346.9K-14.6M-24.5K0.0482.65N/AN/A14053,315585
2020-12-14$84.52$70.0042.9%12.3%24.9%17.0%31.5%3.9%7.1%378.8K-15.5M-23.4K14.0083.30N/AN/A4563,314587
2020-12-15$92.62$70.0044.6%12.8%39.8%19.2%44.3%3.5%3.1%385.3K-21.5M-25.0K0.1077.54N/AN/A446463,313635
2020-12-16$92.00$70.0044.7%12.8%39.5%19.3%46.4%2.6%5.4%449.5K-21.6M-27.8K0.2379.60N/AN/A94223,498668
2020-12-17$92.26$70.0045.8%13.1%39.5%20.7%40.1%2.8%-4.9%474.2K-21.9M-27.2K0.0077.85N/AN/A10403,537677
2020-12-18$90.70$70.0045.9%13.2%40.2%20.9%46.9%3.8%-1.1%399.6K-21.4M-26.6K0.4480.24N/AN/A80353,578677
2020-12-21$93.67$75.0044.8%12.9%41.1%19.5%45.2%7.9%0.4%264.0K-10.8M-26.8K0.0485.24N/AN/A8132,156362
2020-12-22$95.39$75.0043.3%12.4%39.8%17.5%46.0%1.5%2.1%276.4K-12.0M-26.8K0.0487.61N/AN/A12052,194364
2020-12-23$94.53$70.0043.6%12.5%40.3%18.0%46.3%-0.1%0.9%281.3K-11.6M-25.6K2.5087.86N/AN/A252,202363
2020-12-24$93.90$70.0045.4%13.0%40.6%20.2%44.8%1.6%-3.3%277.3K-11.0M-26.3K0.0291.83N/AN/A4712,202367
2020-12-28$93.42$75.0043.3%12.4%40.8%17.5%45.1%-3.3%2.3%287.3K-10.7M-23.6K0.0492.50N/AN/A18372,173368
2020-12-29$90.05$75.0047.4%13.6%42.9%22.8%53.8%-1.6%-1.7%299.7K-9.2M-24.0K0.0790.13N/AN/A170122,216372
2020-12-30$92.02$75.0045.5%13.0%42.4%20.3%47.2%1.5%-0.8%327.4K-10.0M-24.1K0.0590.68N/AN/A6532,274383
2020-12-31$92.31$75.0050.2%14.4%42.0%26.3%0.0%-0.3%-7.1%329.8K-10.6M-25.6K0.0796.68N/AN/A1512,323384