VICR Options History — October 2021

In October 2021, VICR traded between $138.14 and $152.00. ATM implied volatility averaged 41.7%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 6.7% (HV 20d: 35.1%). Max pain ranged from $120.00 to $140.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2021-10-26: Highest Volume — 1,651 contracts
  • 2021-10-11: Largest IV spike — 40.0% change
  • 2021-10-12: Highest IV Rank — 60.2%
  • 2021-10-06: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$145.06$138.14$152.00$138.14$152.00
Max Pain$135.00$120.00$140.00$120.00$140.00
ATM IV41.7%34.3%54.5%38.8%36.2%
Expected Move12.2%10.0%14.0%11.1%10.4%
HV 20d35.1%29.6%38.2%31.6%33.9%
HV 60d30.0%26.7%32.7%30.7%28.4%
IV Rank32.2%13.3%60.2%23.5%19.7%
IV Percentile48.7%11.5%88.5%34.5%24.2%
Term Structure-2.5%-7.2%7.1%7.1%1.1%
VWIV43.4%35.4%48.9%42.8%37.0%
Skew 25d4.5%0.1%8.3%8.3%4.7%
Skew 10d7.3%-15.8%17.5%7.7%7.5%
Call IV 25d40.7%34.3%46.6%34.4%35.1%
Put IV 25d45.2%35.9%51.6%42.7%39.8%
Bid-Ask Spread %69.6259.4991.2491.2469.96
Gamma HHI0.190.120.270.240.13
Net GEX401.3K257.0K503.5K379.7K503.5K
Net DEX-17.5M-21.2M-14.9M-14.9M-19.8M
Net VEX-44.3K-54.4K-37.3K-38.1K-54.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.028.368.360.59
Total Volume670.048121,6511031,579
Total OI2,602.812,2113,1382,2403,138

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$138.14$120.0038.8%11.1%31.6%23.5%42.8%8.3%7.1%379.7K-14.9M-38.1K8.3691.24N/AN/A11921,752488
2021-10-04$143.40$130.0042.8%13.8%33.7%33.0%46.6%5.4%-4.1%379.6K-17.2M-37.3K0.0265.63N/AN/A11121,763489
2021-10-05$138.39$130.0046.4%13.4%36.6%41.2%47.5%6.6%-5.6%360.0K-15.0M-37.6K0.3270.70N/AN/A237771,773568
2021-10-06$139.57$130.0042.4%14.0%36.1%32.0%48.9%2.7%-5.2%386.3K-15.8M-40.0K2.1159.49N/AN/A9191,841570
2021-10-07$142.18$130.0040.3%13.2%36.3%27.1%46.5%6.2%-3.7%399.0K-17.5M-41.5K0.3367.56N/AN/A931,883607
2021-10-08$139.06$130.0034.3%13.2%37.7%13.3%46.2%4.9%-4.5%421.0K-15.8M-41.0K0.0863.99N/AN/A171141,885610
2021-10-11$141.31$135.0048.0%13.5%37.9%45.2%46.7%3.9%-2.5%447.1K-16.7M-40.3K0.9365.01N/AN/A46431,865611
2021-10-12$141.91$135.0054.5%13.3%37.8%60.2%46.1%5.1%-3.0%487.1K-17.9M-43.9K0.0863.82N/AN/A1212,023623
2021-10-13$144.46$135.0045.6%13.1%38.0%39.6%46.3%6.5%-5.5%484.5K-19.6M-44.7K0.0669.67N/AN/A11072,063664
2021-10-14$146.80$135.0046.7%13.4%38.2%46.9%46.2%3.0%-7.1%436.2K-21.2M-43.0K0.1467.76N/AN/A354492,068664
2021-10-15$148.00$135.0040.5%11.6%38.0%30.9%40.0%6.4%-1.2%257.0K-21.2M-41.8K0.0280.63N/AN/A12122,009666
2021-10-18$149.26$135.0045.0%12.9%33.2%42.6%45.1%1.6%-2.1%319.2K-17.1M-43.8K2.8371.48N/AN/A521471,824387
2021-10-19$148.86$135.0044.9%12.9%33.3%42.3%45.3%6.2%-4.7%328.8K-17.4M-44.7K0.2065.72N/AN/A64131,882388
2021-10-20$150.00$140.0045.9%13.2%29.6%44.8%46.5%4.0%-7.2%358.2K-18.3M-45.9K0.4866.39N/AN/A9084331,974543
2021-10-21$142.44$140.0044.4%12.7%33.9%40.8%47.0%5.5%-1.0%332.8K-15.1M-44.9K0.5559.92N/AN/A9285131,987547
2021-10-22$144.25$140.0034.8%10.0%33.7%15.9%35.4%3.0%0.6%362.9K-15.7M-44.4K0.4775.43N/AN/A9604502,042633
2021-10-25$148.25$140.0035.4%10.2%34.8%17.6%35.9%3.7%-3.0%394.6K-17.3M-44.4K0.5473.71N/AN/A1,0375602,023621
2021-10-26$150.03$140.0036.3%10.4%33.1%19.9%39.2%3.6%-0.3%446.9K-18.5M-50.7K0.5270.25N/AN/A1,0885632,168757
2021-10-27$147.49$140.0037.1%10.6%34.1%21.9%37.8%3.8%-0.3%450.3K-17.5M-53.8K0.5271.36N/AN/A1,0745582,349778
2021-10-28$150.50$140.0035.9%10.3%34.5%18.9%37.7%0.1%-0.4%493.1K-19.0M-54.4K0.5272.20N/AN/A1,0845602,353780
2021-10-29$152.00$140.0036.2%10.4%33.9%19.7%37.0%4.7%1.1%503.5K-19.8M-54.2K0.5969.96N/AN/A9955842,347791