VICR Options History — November 2021

In November 2021, VICR traded between $144.12 and $162.71. ATM implied volatility averaged 38.3%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 9.5% (HV 20d: 28.8%). Max pain ranged from $85.00 to $145.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2021-11-03: Highest Volume — 1,625 contracts
  • 2021-11-30: Largest IV spike — 17.4% change
  • 2021-11-30: Highest IV Rank — 47.8%
  • 2021-11-30: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$155.81$144.12$162.71$151.03$144.12
Max Pain$102.86$85.00$145.00$145.00$100.00
ATM IV38.3%34.7%47.1%36.8%47.1%
Expected Move10.9%9.9%13.5%10.5%13.5%
HV 20d28.8%23.9%31.9%31.9%29.2%
HV 60d29.6%28.5%31.6%28.5%31.6%
IV Rank25.0%15.7%47.8%21.1%47.8%
IV Percentile36.3%14.7%82.5%27.0%82.5%
Term Structure-0.0%-5.8%3.3%0.8%-1.3%
VWIV38.7%34.7%54.0%38.2%54.0%
Skew 25d2.2%-4.2%6.6%-0.1%6.6%
Skew 10d8.7%0.9%15.1%7.3%12.3%
Call IV 25d37.6%32.8%50.9%38.5%50.9%
Put IV 25d39.7%35.5%57.5%38.3%57.5%
Bid-Ask Spread %81.0373.6190.9275.7987.89
Gamma HHI0.170.130.480.130.15
Net GEX655.8K345.3K1.2M517.9K345.3K
Net DEX-20.9M-25.5M-13.0M-19.6M-13.0M
Net VEX-51.1K-55.7K-46.2K-53.4K-47.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.580.780.580.64
Total Volume1,346.3331,0721,6251,5951,089
Total OI3,099.4292,6103,3613,2382,643

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$151.03$145.0036.8%10.5%31.9%21.1%38.2%-0.1%0.8%517.9K-19.6M-53.4K0.5875.79N/AN/A1,0075882,437801
2021-11-02$151.74$145.0040.6%11.6%28.5%31.0%39.4%4.7%-5.8%523.6K-19.5M-55.7K0.5973.61N/AN/A1,0115932,453806
2021-11-03$155.83$145.0036.8%10.6%29.5%21.2%42.4%5.3%0.8%614.0K-22.6M-54.8K0.5886.08N/AN/A1,0305952,476805
2021-11-04$155.09$85.0039.8%10.0%29.3%28.9%36.2%2.9%0.4%598.9K-22.1M-53.9K0.7476.98N/AN/A8226062,465811
2021-11-05$154.70$85.0035.6%10.8%27.8%18.1%36.5%0.9%-0.1%600.5K-21.6M-54.2K0.7479.31N/AN/A8196072,466823
2021-11-08$159.04$85.0040.4%10.9%28.6%30.5%38.1%1.3%-0.0%662.4K-25.0M-53.2K0.7379.33N/AN/A8155932,465823
2021-11-09$157.89$90.0038.5%10.8%29.0%25.5%36.7%2.7%0.2%675.6K-21.9M-53.2K0.7281.93N/AN/A8205932,363822
2021-11-10$155.11$90.0036.7%10.5%29.7%20.9%37.8%2.9%-0.4%613.5K-20.0M-52.9K0.7380.67N/AN/A8195962,375824
2021-11-11$160.89$90.0034.9%10.0%31.7%16.2%34.7%2.6%0.8%775.9K-23.7M-51.6K0.6778.24N/AN/A8705842,363829
2021-11-12$161.15$100.0037.0%10.6%31.7%21.6%36.5%1.8%0.5%842.2K-24.9M-52.4K0.6976.21N/AN/A8656002,483840
2021-11-15$161.35$100.0037.0%10.6%31.7%21.7%37.1%0.7%0.0%881.4K-24.7M-53.4K0.7477.59N/AN/A8166002,501860
2021-11-16$161.54$100.0037.8%10.8%31.6%23.8%37.5%1.3%0.9%917.9K-24.8M-50.7K0.7179.55N/AN/A8526022,489860
2021-11-17$162.71$100.0036.9%10.6%31.6%21.4%37.0%4.3%0.6%1.0M-25.5M-50.4K0.7878.36N/AN/A7485862,469863
2021-11-18$162.38$100.0034.7%9.9%23.9%15.7%36.7%3.1%0.8%1.0M-25.1M-49.0K0.7879.17N/AN/A7535862,483864
2021-11-19$159.21$100.0036.2%10.4%25.6%19.7%36.2%2.9%0.1%1.2M-22.3M-49.5K0.7579.88N/AN/A7905892,490867
2021-11-22$154.52$100.0038.6%11.1%26.9%25.9%36.9%4.5%-4.3%408.9K-18.2M-48.1K0.6882.55N/AN/A6534412,029581
2021-11-23$153.60$100.0038.0%10.9%26.8%24.3%38.7%-4.2%-1.4%401.2K-17.6M-47.8K0.6982.98N/AN/A6464442,028608
2021-11-24$152.55$100.0037.8%10.8%26.1%23.7%35.0%-0.1%1.2%392.6K-17.0M-48.3K0.6986.04N/AN/A6464442,031610
2021-11-26$148.45$100.0042.9%12.3%27.1%36.9%43.2%-2.1%2.0%367.2K-15.0M-47.9K0.6790.92N/AN/A6474362,035610
2021-11-29$149.01$100.0040.1%11.5%26.9%29.7%44.7%3.6%3.3%384.3K-15.3M-46.2K0.6888.45N/AN/A6384342,027610
2021-11-30$144.12$100.0047.1%13.5%29.2%47.8%54.0%6.6%-1.3%345.3K-13.0M-47.1K0.6487.89N/AN/A6644252,032611