VICR Options History — March 2021

In March 2021, VICR traded between $82.54 and $101.33. ATM implied volatility averaged 46.5%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 13.8% (HV 20d: 60.3%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.70.

Notable Days

  • 2021-03-15: Highest Volume — 559 contracts
  • 2021-03-08: Largest IV spike — 36.9% change
  • 2021-03-29: Highest IV Rank — 30.5%
  • 2021-03-29: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.94$82.54$101.33$101.33$85.97
Max Pain$80.65$75.00$90.00$90.00$85.00
ATM IV46.5%39.6%57.3%42.6%55.0%
Expected Move13.2%11.3%15.8%12.2%15.8%
HV 20d60.3%48.3%66.9%55.9%48.7%
HV 60d49.7%47.5%51.5%47.5%50.4%
IV Rank11.4%0.0%30.5%4.2%30.3%
IV Percentile30.5%0.0%71.0%7.9%69.0%
Term Structure5.1%-2.9%10.5%3.9%-2.9%
VWIV45.3%35.8%58.6%41.1%51.9%
Skew 25d6.1%-3.9%14.1%3.4%9.1%
Skew 10d12.6%-26.0%35.1%9.2%18.2%
Call IV 25d43.8%37.4%58.2%42.8%45.5%
Put IV 25d49.9%42.3%62.0%46.2%54.6%
Bid-Ask Spread %86.7777.2296.8692.6091.32
Gamma HHI0.150.110.240.130.13
Net GEX111.2K-15.4K300.5K188.2K4.4K
Net DEX-3.8M-7.0M-1.1M-6.9M-2.1M
Net VEX-17.5K-19.1K-14.3K-17.2K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.004.410.090.04
Total Volume105.348195593529
Total OI2,152.3041,7672,4831,7672,281

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$101.33$90.0042.6%12.2%55.9%4.2%41.1%3.4%3.9%188.2K-6.9M-17.2K0.0992.60N/AN/A3231,512255
2021-03-02$98.57$90.0041.5%11.9%56.6%2.7%43.9%4.5%2.5%180.4K-5.9M-16.4K0.2894.39N/AN/A50141,521256
2021-03-03$94.84$90.0048.6%13.9%58.6%13.0%45.7%9.8%-1.6%155.5K-5.0M-16.2K2.1696.35N/AN/A32691,538268
2021-03-04$89.82$75.0054.5%13.9%62.0%21.7%50.6%-3.9%5.8%130.8K-4.0M-17.6K4.4187.95N/AN/A391721,556307
2021-03-05$91.56$75.0041.8%13.3%60.9%3.1%45.2%-1.3%6.2%109.2K-3.6M-17.3K0.0989.62N/AN/A8881,581470
2021-03-08$89.27$75.0057.3%14.3%60.9%25.7%50.8%8.0%1.6%97.4K-3.1M-17.1K0.3886.00N/AN/A61231,623472
2021-03-09$93.61$75.0051.7%13.6%63.0%17.5%45.4%4.8%4.8%148.9K-4.5M-17.4K0.0079.32N/AN/A3801,671488
2021-03-10$95.15$75.0045.2%12.9%62.4%8.0%48.8%11.8%8.8%187.6K-5.3M-19.0K0.3081.34N/AN/A37111,709488
2021-03-11$99.58$75.0044.8%12.8%64.4%7.4%43.7%5.0%4.7%222.9K-6.9M-18.7K0.0078.25N/AN/A9201,699488
2021-03-12$98.81$75.0044.3%12.7%64.0%6.6%43.5%4.6%3.1%249.8K-7.0M-18.5K0.2178.23N/AN/A48101,772488
2021-03-15$96.19$75.0045.9%13.2%64.2%9.1%48.6%4.3%3.7%253.1K-5.8M-17.8K0.0178.22N/AN/A55541,810488
2021-03-16$94.22$75.0043.1%12.4%64.2%4.9%43.6%3.9%5.4%300.5K-5.3M-17.0K0.7677.22N/AN/A17131,972492
2021-03-17$94.15$75.0044.0%12.6%64.0%6.3%44.5%4.9%5.0%229.4K-5.2M-17.2K0.0084.16N/AN/A6501,987494
2021-03-18$88.97$75.0042.8%12.3%66.4%4.5%42.4%6.9%10.5%58.8K-2.6M-14.3K0.0777.71N/AN/A175121,934494
2021-03-19$87.58$80.0045.0%12.9%66.0%7.8%37.5%14.1%8.6%44.4K-1.9M-14.7K0.3487.77N/AN/A237811,977506
2021-03-22$88.74$85.0039.6%11.3%65.4%0.0%38.6%5.9%9.9%23.9K-2.9M-18.4K0.1584.92N/AN/A6291,555458
2021-03-23$84.48$85.0040.4%11.6%66.9%1.5%40.5%2.2%8.8%1.0K-1.7M-17.1K2.1389.02N/AN/A8171,567462
2021-03-24$83.31$85.0044.8%12.8%65.4%10.3%42.7%4.4%6.7%-2.7K-1.5M-17.2K1.1688.55N/AN/A25291,575473
2021-03-25$83.66$85.0045.2%13.0%62.4%11.1%50.0%5.7%7.6%785-1.4M-17.8K3.0792.17N/AN/A411261,590509
2021-03-26$85.35$85.0043.6%12.5%48.3%8.0%35.8%5.0%8.3%-4.5K-1.8M-19.1K0.0088.19N/AN/A2701,615607
2021-03-29$82.54$85.0055.1%15.8%48.4%30.5%49.4%14.0%3.9%-15.4K-1.1M-18.0K0.3695.61N/AN/A33121,621607
2021-03-30$83.99$85.0053.7%15.4%48.9%27.8%58.6%13.3%2.4%-6.7K-1.5M-18.9K0.1996.86N/AN/A1631,653614
2021-03-31$85.97$85.0055.0%15.8%48.7%30.3%51.9%9.1%-2.9%4.4K-2.1M-18.7K0.0491.32N/AN/A2811,666615