VICR Options History — January 2021

In January 2021, VICR traded between $86.33 and $101.86. ATM implied volatility averaged 47.2%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 5.6% (HV 20d: 41.7%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.21.

Notable Days

2021-01-15: Highest Volume — 393 contracts
2021-01-13: Largest IV drop — 38.2% change
2021-01-12: Highest IV Rank — 48.0%
2021-01-27: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.28	$86.33	$101.86	$90.07	$86.33
Max Pain	$91.58	$90.00	$95.00	$90.00	$95.00
ATM IV	47.2%	40.5%	67.2%	49.6%	55.5%
Expected Move	12.9%	11.6%	16.6%	12.9%	15.9%
HV 20d	41.7%	33.8%	46.9%	43.2%	43.8%
HV 60d	40.1%	38.8%	41.7%	39.0%	41.7%
IV Rank	18.4%	6.2%	48.0%	25.6%	26.2%
IV Percentile	32.0%	4.0%	85.3%	46.0%	67.1%
Term Structure	7.2%	-0.9%	11.5%	7.1%	-0.9%
VWIV	45.6%	42.8%	60.2%	44.2%	48.2%
Skew 25d	2.4%	-5.4%	8.3%	8.3%	1.8%
Skew 10d	5.5%	-12.2%	15.1%	9.3%	-12.2%
Call IV 25d	48.1%	43.0%	75.3%	45.5%	55.0%
Put IV 25d	50.5%	44.6%	72.7%	53.8%	56.8%
Bid-Ask Spread %	75.74	63.03	98.26	63.69	93.23
Gamma HHI	0.18	0.11	0.30	0.23	0.11
Net GEX	267.0K	121.6K	383.3K	338.1K	121.6K
Net DEX	-9.8M	-15.9M	-3.2M	-9.2M	-3.2M
Net VEX	-23.9K	-27.6K	-19.7K	-23.0K	-19.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	1.00	0.09	0.00
Total Volume	99	5	393	154	19
Total OI	2,384.895	1,793	2,886	2,714	2,082

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$90.07	$90.00	49.6%	12.9%	43.2%	25.6%	44.2%	8.3%	7.1%	338.1K	-9.2M	-23.0K	0.09	63.69	N/A	N/A	141	13	2,329	385
2021-01-05	$93.13	$90.00	45.7%	12.4%	44.1%	20.6%	0.0%	2.4%	5.8%	366.7K	-10.5M	-23.6K	0.16	69.15	N/A	N/A	49	8	2,316	389
2021-01-06	$97.88	$90.00	45.2%	12.1%	46.9%	19.9%	42.8%	3.0%	3.0%	383.3K	-13.1M	-23.4K	0.07	66.83	N/A	N/A	97	7	2,296	388
2021-01-07	$98.96	$90.00	42.3%	12.4%	46.8%	16.3%	46.3%	3.7%	6.0%	377.7K	-14.2M	-23.6K	0.11	63.03	N/A	N/A	140	15	2,341	392
2021-01-08	$99.47	$90.00	43.6%	12.0%	45.0%	17.9%	43.0%	3.6%	9.6%	336.7K	-14.0M	-23.1K	0.18	66.81	N/A	N/A	28	5	2,265	384
2021-01-11	$100.57	$90.00	53.3%	12.6%	44.8%	30.3%	44.7%	6.3%	5.3%	335.2K	-14.6M	-22.4K	0.01	67.51	N/A	N/A	140	1	2,285	387
2021-01-12	$101.86	$90.00	67.2%	12.3%	44.4%	48.0%	43.8%	3.4%	7.4%	329.1K	-15.3M	-23.1K	0.09	68.91	N/A	N/A	45	4	2,307	388
2021-01-13	$99.91	$90.00	41.5%	11.9%	45.6%	15.2%	44.3%	0.9%	8.3%	375.3K	-14.6M	-22.9K	0.04	74.36	N/A	N/A	91	4	2,343	385
2021-01-14	$101.82	$90.00	43.7%	12.5%	33.8%	13.4%	43.2%	4.7%	8.6%	365.6K	-15.9M	-24.6K	0.01	70.93	N/A	N/A	232	2	2,433	389
2021-01-15	$97.22	$90.00	44.2%	12.7%	38.2%	14.0%	46.2%	1.3%	6.1%	175.7K	-13.0M	-24.2K	0.13	71.42	N/A	N/A	348	45	2,497	389
2021-01-19	$99.67	$90.00	43.9%	12.6%	39.0%	11.2%	46.2%	3.0%	7.6%	196.3K	-7.1M	-26.5K	0.05	71.30	N/A	N/A	164	8	1,572	221
2021-01-20	$99.64	$90.00	40.5%	11.6%	38.2%	6.2%	47.5%	3.5%	9.8%	229.6K	-7.5M	-27.6K	1.00	76.80	N/A	N/A	10	10	1,728	228
2021-01-21	$99.02	$90.00	43.0%	12.3%	37.0%	8.5%	44.1%	1.7%	11.3%	229.4K	-7.3M	-26.7K	0.74	77.65	N/A	N/A	23	17	1,737	227
2021-01-22	$97.90	$95.00	42.2%	12.1%	36.8%	7.5%	43.7%	-3.3%	10.3%	225.5K	-6.9M	-27.3K	0.10	78.06	N/A	N/A	21	2	1,764	240
2021-01-25	$96.24	$95.00	43.2%	12.4%	37.2%	8.9%	43.2%	1.8%	11.5%	213.8K	-6.2M	-25.1K	0.22	83.94	N/A	N/A	54	12	1,783	242
2021-01-26	$92.56	$95.00	43.9%	12.6%	39.8%	9.9%	44.3%	7.5%	11.4%	183.5K	-5.1M	-24.0K	0.78	86.20	N/A	N/A	18	14	1,797	253
2021-01-27	$87.65	$95.00	57.8%	16.6%	44.1%	29.5%	60.2%	-2.5%	3.9%	141.2K	-4.0M	-22.0K	0.14	98.26	N/A	N/A	78	11	1,805	263
2021-01-28	$89.38	$95.00	51.4%	14.7%	43.0%	20.5%	0.0%	-5.4%	5.3%	148.7K	-4.1M	-21.9K	0.00	91.04	N/A	N/A	5	0	1,809	274
2021-01-29	$86.33	$95.00	55.5%	15.9%	43.8%	26.2%	48.2%	1.8%	-0.9%	121.6K	-3.2M	-19.7K	0.00	93.23	N/A	N/A	19	0	1,808	274