VICR Options History — September 2021

In September 2021, VICR traded between $123.84 and $138.15. ATM implied volatility averaged 36.6%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 13.8% (HV 20d: 22.8%). Max pain ranged from $90.00 to $120.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2021-09-13: Highest Volume — 286 contracts
  • 2021-09-07: Largest IV spike — 14.7% change
  • 2021-09-20: Highest IV Rank — 30.4%
  • 2021-09-20: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$129.64$123.84$138.15$123.84$135.07
Max Pain$106.67$90.00$120.00$115.00$120.00
ATM IV36.6%29.6%41.7%32.2%38.6%
Expected Move10.6%9.2%12.0%9.2%11.1%
HV 20d22.8%16.7%32.0%16.8%32.0%
HV 60d29.6%27.1%30.8%30.4%30.6%
IV Rank18.6%2.2%30.4%8.3%23.3%
IV Percentile23.7%0.8%43.3%4.0%33.3%
Term Structure4.3%0.6%12.7%3.2%6.1%
VWIV39.4%32.1%82.4%33.5%41.6%
Skew 25d4.1%-3.8%9.4%-1.1%7.1%
Skew 10d7.1%-6.8%22.4%4.3%11.8%
Call IV 25d34.9%27.1%41.0%33.8%37.2%
Put IV 25d39.0%32.7%47.6%32.7%44.3%
Bid-Ask Spread %85.5979.7593.0693.0690.66
Gamma HHI0.270.180.530.210.23
Net GEX342.4K222.8K702.4K247.5K336.8K
Net DEX-11.2M-14.1M-8.7M-8.9M-13.3M
Net VEX-29.0K-38.2K-24.4K-24.8K-37.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.006.000.000.00
Total Volume79132861713
Total OI2,064.2861,6932,2931,9042,207

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$123.84$115.0032.2%9.2%16.8%8.3%0.0%-1.1%3.2%247.5K-8.9M-24.8K0.0093.06N/AN/A1701,485419
2021-09-02$127.22$90.0030.1%10.0%18.7%3.5%33.5%-3.8%5.9%315.6K-10.3M-25.2K0.0184.46N/AN/A7111,493449
2021-09-03$127.78$90.0029.6%9.8%18.7%2.2%34.3%3.5%3.2%354.9K-10.6M-25.1K0.2980.13N/AN/A2881,510449
2021-09-07$126.91$90.0033.9%10.3%18.9%12.4%36.3%-0.4%2.9%350.3K-10.5M-24.7K0.4181.45N/AN/A27111,563450
2021-09-08$125.54$90.0035.8%10.2%18.7%16.6%36.0%5.4%3.5%309.5K-9.8M-25.7K0.4481.66N/AN/A39171,585456
2021-09-09$125.30$90.0037.1%10.6%18.5%19.7%35.1%3.1%1.8%332.4K-9.9M-25.9K0.0779.75N/AN/A5641,606464
2021-09-10$125.37$105.0036.2%10.4%18.5%17.5%82.4%9.4%3.7%362.1K-9.9M-25.8K6.0088.91N/AN/A3181,638471
2021-09-13$126.06$105.0038.9%11.1%18.0%23.8%37.6%6.4%0.6%408.5K-10.3M-25.8K0.2181.88N/AN/A237491,694474
2021-09-14$126.06$105.0035.5%10.2%17.9%16.0%32.1%4.2%3.1%446.3K-10.3M-24.4K0.0286.43N/AN/A6311,697474
2021-09-15$127.54$110.0034.7%9.9%17.1%14.0%34.2%5.5%5.2%320.8K-10.4M-26.2K0.3383.39N/AN/A2791,651519
2021-09-16$128.73$110.0036.7%10.5%16.7%18.7%36.6%5.8%4.9%402.2K-11.4M-26.4K0.1186.12N/AN/A6271,773520
2021-09-17$130.63$110.0037.6%10.8%17.0%20.9%34.6%2.8%4.0%702.4K-12.7M-26.3K0.4383.00N/AN/A132571,775518
2021-09-20$125.05$110.0041.7%12.0%23.9%30.4%42.5%6.2%0.6%222.8K-8.7M-26.7K2.9384.29N/AN/A671961,436257
2021-09-21$127.00$110.0038.7%11.1%24.0%23.5%40.4%5.4%1.4%230.7K-9.2M-27.3K0.1783.59N/AN/A1221,452294
2021-09-22$133.34$115.0037.3%10.7%29.2%20.0%39.5%2.6%7.1%262.9K-11.3M-32.9K0.0188.05N/AN/A12811,496475
2021-09-23$138.15$115.0039.8%11.4%29.7%26.0%38.3%2.8%2.9%282.3K-13.4M-32.1K0.0687.21N/AN/A11071,502477
2021-09-24$136.45$115.0038.9%11.1%30.2%23.8%35.1%-2.1%4.9%314.0K-13.6M-34.8K0.0389.16N/AN/A5921,606477
2021-09-27$137.39$115.0040.8%11.7%29.9%28.4%37.8%4.7%4.3%344.2K-14.1M-35.8K0.0487.40N/AN/A5421,669479
2021-09-28$133.93$115.0037.1%10.6%31.9%19.6%41.0%9.0%12.7%320.5K-12.5M-37.2K1.0089.86N/AN/A991,697481
2021-09-29$135.08$115.0037.6%10.8%31.9%20.8%41.6%8.7%7.3%323.0K-13.7M-38.2K0.1086.84N/AN/A4041,731481
2021-09-30$135.07$120.0038.6%11.1%32.0%23.3%0.0%7.1%6.1%336.8K-13.3M-37.9K0.0090.66N/AN/A1301,722485