VICR Options History — June 2021

In June 2021, VICR traded between $89.26 and $105.92. ATM implied volatility averaged 34.4%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 0.7% (HV 20d: 33.7%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2021-06-29: Highest Volume — 871 contracts
  • 2021-06-23: Largest IV drop — 18.5% change
  • 2021-06-07: Highest IV Rank — 19.8%
  • 2021-06-22: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.35$89.26$105.92$93.35$105.92
Max Pain$82.27$80.00$90.00$80.00$90.00
ATM IV34.4%29.6%41.2%34.3%32.6%
Expected Move9.8%8.5%11.0%9.8%9.3%
HV 20d33.7%26.9%44.5%44.5%32.1%
HV 60d40.1%37.7%43.3%43.3%38.8%
IV Rank5.1%0.0%19.8%1.7%7.1%
IV Percentile2.8%0.0%14.3%0.4%2.0%
Term Structure8.4%0.5%12.1%3.0%11.2%
VWIV33.8%28.9%39.1%35.8%32.5%
Skew 25d2.7%-2.2%10.3%4.0%0.2%
Skew 10d8.3%-5.3%22.5%5.0%5.5%
Call IV 25d33.2%30.3%37.8%33.5%32.4%
Put IV 25d35.8%28.5%44.3%37.4%32.5%
Bid-Ask Spread %88.9879.5294.3584.9889.02
Gamma HHI0.190.150.240.170.19
Net GEX191.8K94.2K353.0K190.4K353.0K
Net DEX-6.5M-12.2M-3.6M-7.6M-12.2M
Net VEX-18.0K-24.4K-15.0K-18.8K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.0012.500.820.65
Total Volume155.6822871102139
Total OI1,879.3641,4932,2471,9382,247

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$93.35$80.0034.3%9.8%44.5%1.7%35.8%4.0%3.0%190.4K-7.6M-18.8K0.8284.98N/AN/A56461,545393
2021-06-02$93.23$80.0034.6%9.9%42.9%2.6%39.1%10.3%0.5%187.4K-7.4M-19.7K0.0294.35N/AN/A23651,573426
2021-06-03$91.94$80.0038.2%10.9%42.9%12.0%36.0%-2.2%6.1%159.8K-6.1M-18.6K0.4579.52N/AN/A151681,458425
2021-06-04$93.26$80.0035.2%10.5%43.0%4.1%36.8%5.1%8.6%173.3K-6.7M-19.3K0.0584.81N/AN/A186101,535426
2021-06-07$95.76$80.0041.2%10.4%43.5%19.8%33.6%1.0%8.7%180.0K-6.9M-19.1K0.2685.17N/AN/A3591,463434
2021-06-08$95.11$80.0034.6%10.3%35.5%2.5%31.7%5.0%7.3%185.1K-6.6M-18.6K0.0081.26N/AN/A1601,480440
2021-06-09$93.00$80.0036.7%10.5%35.6%8.1%38.6%6.0%4.6%166.6K-5.8M-17.9K0.0088.68N/AN/A301,480440
2021-06-10$92.05$80.0036.0%10.3%28.4%6.2%32.9%4.1%8.6%154.1K-5.5M-17.6K0.0081.46N/AN/A4801,483440
2021-06-11$92.88$80.0032.9%9.4%28.4%0.0%31.6%5.3%7.8%165.5K-5.7M-16.9K0.5288.57N/AN/A23121,485439
2021-06-14$93.87$80.0034.3%9.8%27.5%3.5%33.8%-0.3%8.7%162.8K-6.1M-16.6K1.0090.74N/AN/A111,489451
2021-06-15$92.85$80.0033.9%9.7%28.2%2.6%37.6%3.4%8.6%148.9K-5.7M-16.2K12.5089.39N/AN/A2251,489451
2021-06-16$93.12$80.0033.1%9.5%28.2%0.5%33.7%4.5%10.7%164.9K-5.8M-16.0K0.6493.17N/AN/A45291,488453
2021-06-17$93.44$80.0034.2%9.8%26.9%3.2%33.2%2.0%9.4%183.9K-5.6M-16.2K0.4392.96N/AN/A1461,494461
2021-06-18$89.26$80.0036.5%10.5%28.7%9.2%35.0%5.7%9.1%94.2K-3.9M-15.1K0.0091.59N/AN/A7901,506464
2021-06-21$92.28$80.0035.7%10.2%30.4%7.1%33.1%2.8%10.5%119.6K-3.6M-15.0K0.0392.31N/AN/A3211,183310
2021-06-22$95.46$80.0038.4%11.0%32.2%14.2%36.1%3.8%6.8%164.2K-4.7M-15.7K0.1790.32N/AN/A127211,210311
2021-06-23$95.75$85.0031.3%9.0%31.9%0.0%30.7%-1.8%11.6%198.5K-5.0M-16.4K1.0691.67N/AN/A1942061,268325
2021-06-24$98.19$85.0031.3%9.0%32.6%0.0%30.9%-0.9%11.8%211.7K-5.8M-16.8K0.1693.19N/AN/A99161,279372
2021-06-25$99.97$90.0029.6%8.5%32.8%0.0%28.9%-0.9%12.1%252.7K-6.9M-17.9K0.2092.17N/AN/A82161,350388
2021-06-28$102.40$90.0032.6%9.3%33.5%7.1%31.3%-1.4%9.7%255.0K-8.1M-18.7K0.0188.32N/AN/A50961,394410
2021-06-29$104.61$90.0030.3%8.7%32.1%1.6%30.7%2.8%10.1%347.8K-11.4M-24.4K0.2793.89N/AN/A6881831,777411
2021-06-30$105.92$90.0032.6%9.3%32.1%7.1%32.5%0.2%11.2%353.0K-12.2M-23.9K0.6589.02N/AN/A84551,831416