VICR Options History — May 2021

In May 2021, VICR traded between $75.51 and $90.03. ATM implied volatility averaged 39.6%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 5.9% (HV 20d: 45.5%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2021-05-19: Highest Volume — 372 contracts
  • 2021-05-10: Largest IV spike — 17.9% change
  • 2021-05-13: Highest IV Rank — 30.0%
  • 2021-05-13: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.82$75.51$90.03$88.31$90.03
Max Pain$86.25$80.00$95.00$90.00$80.00
ATM IV39.6%33.7%45.6%35.1%33.7%
Expected Move11.2%9.6%13.1%10.1%9.6%
HV 20d45.5%40.2%51.1%40.8%45.1%
HV 60d48.8%42.8%51.5%49.2%42.8%
IV Rank13.8%0.0%30.0%1.4%0.0%
IV Percentile10.8%0.0%41.7%0.8%0.0%
Term Structure0.2%-2.0%2.5%2.5%1.8%
VWIV38.2%33.7%45.8%36.2%33.7%
Skew 25d5.0%0.8%18.1%3.9%1.9%
Skew 10d11.0%-3.0%31.8%7.5%6.0%
Call IV 25d37.0%32.5%42.6%35.4%32.5%
Put IV 25d42.1%34.4%59.5%39.3%34.4%
Bid-Ask Spread %80.0658.7988.9684.7285.00
Gamma HHI0.170.110.240.240.18
Net GEX81.3K-449206.4K113.8K192.2K
Net DEX-2.3M-6.4M734.5K-2.7M-6.4M
Net VEX-16.9K-19.2K-13.4K-18.8K-18.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.043.710.330.44
Total Volume80.4183725259
Total OI2,096.951,7182,6161,9211,902

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$88.31$90.0035.1%10.1%40.8%1.4%36.2%3.9%2.5%113.8K-2.7M-18.8K0.3384.72N/AN/A39131,425496
2021-05-04$85.76$90.0037.5%10.8%41.7%8.1%37.0%3.8%0.7%76.2K-1.8M-17.5K2.0385.32N/AN/A29591,430505
2021-05-05$84.54$90.0037.6%10.8%40.6%8.3%37.7%4.1%0.7%42.2K-1.3M-17.7K0.0588.96N/AN/A5631,457557
2021-05-06$85.33$95.0038.7%11.1%40.2%11.3%35.9%6.7%1.3%53.0K-1.6M-18.3K0.1876.74N/AN/A1731,488560
2021-05-07$86.75$95.0037.2%11.2%40.6%7.1%35.6%4.3%0.8%71.5K-2.2M-18.6K0.2469.79N/AN/A1741,501559
2021-05-10$81.38$95.0043.8%10.3%45.3%25.0%34.9%7.1%0.6%19.0K-403.8K-15.6K0.2279.42N/AN/A78171,508562
2021-05-11$79.63$90.0045.2%11.9%45.2%28.6%39.4%6.4%-1.0%13.4K-61.8K-15.2K1.0077.21N/AN/A991,516564
2021-05-12$75.51$90.0044.1%12.6%48.5%25.8%41.5%18.1%-2.0%8.7K734.5K-13.4K2.5684.77N/AN/A34871,522569
2021-05-13$76.19$90.0045.6%13.1%48.4%30.0%45.8%5.8%-2.0%-449686.4K-13.8K1.3980.50N/AN/A41571,533612
2021-05-14$78.46$90.0039.3%11.3%50.0%12.9%0.0%5.6%1.0%11.6K281.9K-14.3K0.8674.11N/AN/A14121,566665
2021-05-17$78.38$90.0041.8%12.0%48.3%19.6%41.0%2.1%-0.1%11.5K304.6K-14.3K0.0579.06N/AN/A6231,577680
2021-05-18$78.75$80.0040.9%11.7%48.2%17.2%38.9%4.8%-0.3%26.9K123.5K-14.4K0.0978.62N/AN/A2321,634683
2021-05-19$81.24$80.0043.3%12.4%48.2%23.5%43.1%3.1%-0.7%38.8K-715.8K-15.4K0.0475.69N/AN/A358141,637690
2021-05-20$85.18$80.0039.4%11.3%51.1%13.0%38.5%5.5%2.4%70.5K-3.9M-18.9K0.1683.99N/AN/A89141,929687
2021-05-21$86.53$80.0038.9%11.2%47.2%11.8%37.9%4.7%0.2%137.9K-4.6M-18.5K0.7384.90N/AN/A59431,913691
2021-05-24$87.42$80.0039.3%11.3%45.3%12.8%38.6%5.3%-0.7%148.6K-4.8M-18.3K0.0758.79N/AN/A167121,377341
2021-05-25$88.90$80.0036.8%10.6%45.7%6.1%37.4%2.9%0.4%192.3K-5.9M-19.2K2.1483.50N/AN/A14301,519352
2021-05-26$88.51$80.0037.4%10.7%45.1%7.6%34.5%0.8%1.1%206.4K-5.8M-19.1K1.5587.95N/AN/A11171,521334
2021-05-27$89.51$80.0036.4%10.4%45.4%5.1%37.8%3.7%-1.9%192.6K-6.2M-18.7K3.7182.08N/AN/A7261,528349
2021-05-28$90.03$80.0033.7%9.6%45.1%0.0%33.7%1.9%1.8%192.2K-6.4M-18.8K0.4485.00N/AN/A41181,527375