VICR Options History — December 2021

In December 2021, VICR traded between $114.14 and $141.82. ATM implied volatility averaged 47.5%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 0.3% (HV 20d: 47.8%). Max pain ranged from $100.00 to $120.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2021-12-20: Highest Volume — 2,134 contracts
  • 2021-12-15: Largest IV drop — 33.9% change
  • 2021-12-14: Highest IV Rank — 98.1%
  • 2021-12-03: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.81$114.14$141.82$141.82$126.91
Max Pain$115.45$100.00$120.00$100.00$120.00
ATM IV47.5%37.7%66.5%48.9%39.1%
Expected Move12.8%10.8%15.5%14.0%11.2%
HV 20d47.8%27.3%57.8%29.4%57.2%
HV 60d39.4%31.6%41.9%31.7%40.5%
IV Rank48.9%23.5%98.1%52.5%27.1%
IV Percentile72.7%37.3%99.6%85.7%45.6%
Term Structure1.3%-6.1%5.2%-2.9%2.0%
VWIV47.1%40.8%57.1%49.0%45.7%
Skew 25d3.7%-2.1%14.9%6.1%1.2%
Skew 10d11.3%-1.4%32.2%18.6%18.4%
Call IV 25d44.1%35.9%56.1%47.8%41.9%
Put IV 25d47.7%37.9%59.3%54.0%43.2%
Bid-Ask Spread %83.5876.4798.2787.0390.43
Gamma HHI0.170.100.270.150.17
Net GEX68.2K-291.7K398.8K319.5K22.4K
Net DEX-4.5M-12.0M3.5M-12.0M-5.2M
Net VEX-45.8K-56.5K-35.5K-44.7K-54.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.392.230.641.17
Total Volume1,564.1821,0932,1341,0931,501
Total OI3,514.52,6244,6922,6453,866

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$141.82$100.0048.9%14.0%29.4%52.5%49.0%6.1%-2.9%319.5K-12.0M-44.7K0.6487.03N/AN/A6684252,030615
2021-12-02$141.75$100.0046.9%13.4%27.3%47.3%48.4%14.9%1.6%314.8K-11.3M-44.8K0.6095.22N/AN/A7084252,033616
2021-12-03$135.95$100.0054.2%15.5%30.3%66.3%57.1%3.2%-0.5%259.7K-9.3M-41.8K0.6198.27N/AN/A7034292,009615
2021-12-06$122.88$105.0054.3%14.2%45.1%66.5%52.3%8.3%0.1%166.1K-5.2M-35.5K0.3979.97N/AN/A1,2134782,022619
2021-12-07$127.62$105.0050.3%12.7%46.4%56.1%46.5%3.4%2.2%398.8K-10.5M-40.3K0.6176.76N/AN/A1,2377522,488682
2021-12-08$126.76$120.0050.2%13.0%46.4%55.9%46.2%3.5%3.2%236.1K-7.3M-42.7K0.8582.02N/AN/A1,0008502,394986
2021-12-09$120.61$120.0049.8%12.5%48.4%54.8%46.9%4.1%3.9%170.0K-4.1M-40.5K0.7777.80N/AN/A7846012,4341,048
2021-12-10$117.16$120.0052.2%12.7%45.0%61.1%45.9%3.1%1.6%78.4K-1.7M-38.4K0.7982.45N/AN/A7836182,4271,092
2021-12-13$120.48$120.0056.8%12.2%47.3%72.9%46.3%1.5%3.2%128.8K-3.5M-39.1K0.9279.40N/AN/A8577892,4461,201
2021-12-14$120.28$120.0066.5%12.5%47.2%98.1%43.5%4.3%5.2%112.2K-3.0M-44.7K0.7876.47N/AN/A8196402,5601,429
2021-12-15$118.91$120.0043.9%12.6%46.8%39.6%47.9%1.1%3.5%47.5K-2.1M-45.2K0.7785.07N/AN/A8146302,5581,477
2021-12-16$118.75$120.0042.5%12.2%46.4%36.0%43.5%-1.4%-1.1%56.3K-1.6M-46.5K1.1782.25N/AN/A8641,0132,5821,611
2021-12-17$120.46$120.0044.1%12.6%47.4%40.0%44.6%5.9%1.6%114.4K-505.7K-52.5K1.1883.60N/AN/A8731,0322,6282,064
2021-12-20$114.14$120.0054.0%15.5%49.3%65.9%53.8%5.6%-2.6%-197.9K3.5M-49.1K2.2377.29N/AN/A6601,4741,6781,744
2021-12-21$118.21$120.0047.2%13.5%52.3%48.2%52.2%4.3%-1.3%-69.4K-808.4K-44.3K0.6878.80N/AN/A6794621,7141,348
2021-12-22$121.20$120.0045.7%13.1%54.0%44.3%51.6%3.7%0.1%-36.3K-2.6M-46.0K0.6779.63N/AN/A6734511,7511,352
2021-12-23$124.04$120.0039.9%11.4%55.4%29.2%43.6%5.0%2.8%-5.3K-4.0M-45.0K1.7376.47N/AN/A6831,1821,7551,352
2021-12-27$128.92$120.0043.9%12.6%57.6%39.6%44.6%1.9%-6.1%-59.3K-6.1M-48.1K1.8585.78N/AN/A7031,3031,7981,888
2021-12-28$125.92$120.0039.3%11.3%57.8%27.6%44.5%3.4%5.1%-291.7K-2.6M-56.5K1.1688.97N/AN/A6787841,8462,462
2021-12-29$126.51$115.0037.7%10.8%57.2%23.5%40.9%-2.1%4.7%-202.7K-4.1M-51.7K0.7888.67N/AN/A9347331,8492,220
2021-12-30$126.43$115.0037.9%10.9%57.1%23.9%40.8%-0.8%2.3%-62.1K-5.6M-54.4K1.2086.33N/AN/A6868212,0601,970
2021-12-31$126.91$120.0039.1%11.2%57.2%27.1%45.7%1.2%2.0%22.4K-5.2M-54.9K1.1790.43N/AN/A6938082,0571,809