VICR Options History — August 2021

In August 2021, VICR traded between $117.03 and $123.76. ATM implied volatility averaged 34.3%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.0% (HV 20d: 32.3%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2021-08-02: Highest Volume — 229 contracts
  • 2021-08-16: Largest IV spike — 11.7% change
  • 2021-08-16: Highest IV Rank — 21.1%
  • 2021-08-16: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.27$117.03$123.76$118.24$123.22
Max Pain$112.50$100.00$115.00$100.00$115.00
ATM IV34.3%28.6%38.3%35.9%30.9%
Expected Move9.9%8.2%11.0%10.3%8.9%
HV 20d32.3%17.8%40.0%39.9%17.8%
HV 60d32.4%30.5%37.9%37.8%30.5%
IV Rank11.9%0.0%21.1%15.3%5.4%
IV Percentile9.3%0.0%21.8%11.5%2.0%
Term Structure1.9%-4.6%7.8%0.4%4.4%
VWIV34.9%28.8%37.3%36.3%34.6%
Skew 25d2.7%-5.7%9.6%-1.2%3.5%
Skew 10d5.7%-2.6%20.7%1.2%12.9%
Call IV 25d33.8%27.0%40.3%36.7%33.2%
Put IV 25d36.5%33.6%40.5%35.4%36.8%
Bid-Ask Spread %80.9367.0891.9584.0891.95
Gamma HHI0.240.150.510.190.18
Net GEX383.8K187.2K737.4K366.6K236.3K
Net DEX-10.7M-13.3M-8.0M-11.4M-8.6M
Net VEX-27.3K-31.1K-24.8K-25.5K-25.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.0012.000.202.50
Total Volume67.636622922956
Total OI2,769.2731,7803,3892,8021,896

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$118.24$100.0035.9%10.3%39.9%15.3%36.3%-1.2%0.4%366.6K-11.4M-25.5K0.2084.08N/AN/A191381,7531,049
2021-08-03$117.03$100.0035.1%10.1%40.0%13.5%34.4%5.8%1.7%350.9K-10.6M-25.9K0.6088.54N/AN/A70421,7821,077
2021-08-04$119.21$100.0038.1%10.9%39.9%20.7%37.3%2.4%-4.1%407.2K-12.3M-29.2K0.4785.83N/AN/A70331,9531,101
2021-08-05$120.64$110.0033.8%10.6%39.4%10.4%35.7%9.6%4.5%437.7K-12.8M-29.5K1.1575.57N/AN/A46531,9621,140
2021-08-06$121.28$110.0034.3%10.1%39.2%11.7%35.6%0.7%1.9%455.3K-13.3M-30.9K0.2472.20N/AN/A3382,0061,173
2021-08-09$120.97$115.0035.6%10.3%39.3%14.6%36.1%1.5%1.8%468.6K-13.0M-31.1K0.4767.08N/AN/A40192,0291,205
2021-08-10$119.42$115.0036.2%9.9%39.7%16.1%32.3%6.1%1.4%444.2K-11.9M-30.1K0.0374.38N/AN/A3112,0371,200
2021-08-11$118.62$115.0035.0%10.0%39.9%13.2%36.6%1.3%1.5%443.2K-11.5M-29.5K1.8569.00N/AN/A13242,0391,219
2021-08-12$118.99$115.0035.1%10.1%39.2%13.5%35.4%1.7%1.7%465.3K-11.6M-29.0K0.5973.30N/AN/A32192,0441,224
2021-08-13$117.93$115.0034.3%9.8%39.5%11.6%37.2%1.2%1.0%427.2K-10.6M-27.3K0.6374.82N/AN/A16102,0291,225
2021-08-16$119.06$115.0038.3%11.0%37.2%21.1%0.0%3.8%-4.6%474.9K-11.7M-27.1K0.0076.52N/AN/A602,0521,243
2021-08-17$117.56$115.0035.9%10.3%32.9%15.4%35.2%3.1%0.4%386.2K-10.1M-25.6K0.0180.22N/AN/A14912,0461,253
2021-08-18$119.49$115.0035.3%10.1%33.2%13.9%36.5%5.7%3.8%524.9K-11.5M-26.5K0.4585.76N/AN/A22102,0461,253
2021-08-19$119.56$115.0036.9%10.6%33.0%17.7%36.3%5.4%0.5%582.5K-11.4M-25.8K0.0181.76N/AN/A10012,1361,253
2021-08-20$120.87$115.0035.3%10.1%32.1%13.9%33.2%5.1%-0.3%737.4K-12.4M-26.2K0.0284.72N/AN/A19032,1301,252
2021-08-23$122.56$115.0032.2%9.2%28.0%6.7%0.0%1.9%3.5%187.2K-8.2M-26.2K0.0083.01N/AN/A1501,394386
2021-08-24$123.76$115.0033.6%9.6%21.6%9.9%33.8%-0.6%3.6%232.7K-9.0M-26.8K0.0385.80N/AN/A6321,457389
2021-08-25$121.19$115.0032.6%9.3%22.2%7.5%32.9%1.1%3.5%193.8K-8.0M-25.3K1.3884.35N/AN/A13181,468389
2021-08-26$120.56$115.0032.1%9.2%18.9%6.4%36.4%-5.7%4.8%194.1K-8.0M-26.5K12.0084.94N/AN/A2241,473391
2021-08-27$122.63$115.0030.5%8.7%19.6%2.5%33.5%3.9%3.2%216.5K-8.4M-25.9K1.0086.38N/AN/A881,479403
2021-08-30$123.06$115.0028.6%8.2%18.3%0.0%28.8%2.7%7.8%211.1K-8.3M-24.8K3.0090.26N/AN/A261,479409
2021-08-31$123.22$115.0030.9%8.9%17.8%5.4%34.6%3.5%4.4%236.3K-8.6M-25.5K2.5091.95N/AN/A16401,483413