VICR Options History — July 2021

In July 2021, VICR traded between $102.56 and $115.75. ATM implied volatility averaged 38.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 6.8% (HV 20d: 32.0%). Max pain ranged from $85.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2021-07-27: Highest Volume — 654 contracts
  • 2021-07-23: Largest IV drop — 26.8% change
  • 2021-07-21: Highest IV Rank — 43.5%
  • 2021-07-21: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.26$102.56$115.75$106.57$115.75
Max Pain$93.57$85.00$100.00$90.00$100.00
ATM IV38.8%29.4%47.8%32.7%37.5%
Expected Move11.9%9.4%13.7%9.4%10.7%
HV 20d32.0%27.3%39.7%31.2%39.7%
HV 60d37.4%36.3%38.6%38.1%37.7%
IV Rank22.1%0.0%43.5%7.2%19.0%
IV Percentile24.7%0.0%65.5%2.4%15.9%
Term Structure-1.9%-8.4%9.6%9.6%-0.5%
VWIV42.2%34.3%50.2%36.6%37.2%
Skew 25d3.1%-2.9%9.5%4.2%-1.2%
Skew 10d8.2%-6.3%31.0%6.1%-6.3%
Call IV 25d39.9%30.5%49.0%32.2%35.4%
Put IV 25d43.0%31.0%51.2%36.4%34.2%
Bid-Ask Spread %76.5365.4193.8492.0785.99
Gamma HHI0.200.100.510.190.15
Net GEX295.9K106.5K465.6K338.1K293.3K
Net DEX-9.5M-12.9M-4.8M-12.0M-10.0M
Net VEX-22.5K-27.1K-18.8K-24.5K-26.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.048.080.830.75
Total Volume162.857396546477
Total OI2,324.3811,6682,7692,2732,769

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$106.57$90.0032.7%9.4%31.2%7.2%36.6%4.2%9.6%338.1K-12.0M-24.5K0.8392.07N/AN/A35291,805468
2021-07-02$108.47$90.0035.0%10.0%31.3%12.7%34.3%0.5%6.7%330.4K-12.7M-22.9K0.0593.84N/AN/A291141,776496
2021-07-06$107.72$85.0040.0%13.1%30.9%24.7%46.1%8.1%-3.0%389.3K-12.9M-24.9K0.0470.09N/AN/A22392,007510
2021-07-07$106.49$85.0035.3%12.6%31.2%13.4%40.4%2.7%0.3%385.8K-11.1M-21.8K0.4966.59N/AN/A43211,887515
2021-07-08$105.20$85.0029.4%12.2%30.2%0.0%40.6%9.5%-2.0%412.5K-10.4M-21.5K1.1470.33N/AN/A58661,911530
2021-07-09$106.90$85.0031.6%12.7%29.7%5.1%50.2%4.7%-3.3%411.2K-11.1M-21.3K1.1767.06N/AN/A18211,902555
2021-07-12$107.78$85.0035.1%12.4%29.7%13.6%42.7%3.6%-1.6%436.9K-11.7M-20.5K0.9765.41N/AN/A34331,891556
2021-07-13$107.10$85.0034.4%13.4%30.1%11.9%45.0%2.5%-8.4%431.7K-11.2M-20.0K0.3168.56N/AN/A70221,910587
2021-07-14$107.59$85.0043.2%12.4%29.4%32.6%44.6%2.7%-3.4%465.6K-11.7M-19.0K1.1266.21N/AN/A43481,879585
2021-07-15$106.00$90.0044.2%12.7%30.4%35.0%44.5%3.3%-6.0%282.5K-10.2M-18.8K1.6277.39N/AN/A781261,905631
2021-07-16$105.65$100.0044.3%12.7%30.6%35.3%44.4%0.7%-5.2%403.3K-10.2M-20.1K0.0975.52N/AN/A129111,962728
2021-07-19$102.56$100.0047.3%13.6%27.3%42.4%49.1%3.1%-5.2%106.5K-4.8M-19.9K1.0570.77N/AN/A1001051,281387
2021-07-20$108.56$100.0046.4%13.3%31.3%40.3%50.0%5.4%-4.3%148.5K-6.3M-21.9K0.1173.95N/AN/A186211,314491
2021-07-21$109.47$100.0047.8%13.7%29.8%43.5%46.4%7.7%-6.1%168.7K-6.7M-23.2K0.1974.09N/AN/A129251,478492
2021-07-22$108.78$100.0047.4%13.6%30.1%42.6%46.9%-2.9%-6.5%173.3K-7.1M-25.6K0.3070.05N/AN/A138411,605498
2021-07-23$107.03$100.0034.7%10.0%30.3%12.5%34.3%1.3%0.2%153.8K-6.2M-23.1K0.7188.78N/AN/A69491,644528
2021-07-26$112.41$100.0034.9%10.0%33.9%13.0%34.8%0.8%0.4%237.0K-8.3M-23.8K0.1679.07N/AN/A130211,644528
2021-07-27$107.65$100.0038.4%11.0%37.4%21.4%43.5%6.1%-1.1%157.3K-6.4M-22.5K8.0881.66N/AN/A725821,632522
2021-07-28$110.82$100.0037.8%10.8%38.0%19.9%37.8%1.2%-1.2%226.7K-7.9M-24.5K0.2085.02N/AN/A4591,715542
2021-07-29$114.90$100.0036.9%10.6%39.7%17.6%36.8%1.1%0.0%262.2K-9.5M-27.1K0.1484.60N/AN/A175241,7211,025
2021-07-30$115.75$100.0037.5%10.7%39.7%19.0%37.2%-1.2%-0.5%293.3K-10.0M-26.2K0.7585.99N/AN/A44331,7441,025