VICR Options History — January 2022

In January 2022, VICR traded between $83.45 and $125.70. ATM implied volatility averaged 48.1%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 4.2% (HV 20d: 43.9%). Max pain ranged from $105.00 to $120.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2022-01-21: Highest Volume — 1,701 contracts
  • 2022-01-10: Largest IV spike — 17.2% change
  • 2022-01-25: Highest IV Rank — 88.3%
  • 2022-01-25: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.43$83.45$125.70$123.27$93.99
Max Pain$116.25$105.00$120.00$120.00$105.00
ATM IV48.1%38.3%62.0%39.7%56.1%
Expected Move13.7%11.0%17.8%11.4%16.1%
HV 20d43.9%37.9%61.1%56.3%61.1%
HV 60d42.9%40.6%50.5%40.6%50.5%
IV Rank51.2%25.0%88.3%28.7%72.6%
IV Percentile73.9%40.5%98.8%48.0%93.7%
Term Structure2.0%-4.9%6.5%2.1%1.8%
VWIV48.3%41.1%58.3%44.4%58.1%
Skew 25d4.7%-3.0%21.7%3.4%4.4%
Skew 10d7.6%-10.5%41.1%7.0%20.7%
Call IV 25d47.8%38.1%62.0%41.9%60.0%
Put IV 25d52.6%42.0%75.5%45.2%64.4%
Bid-Ask Spread %79.3660.7996.3590.8793.35
Gamma HHI0.150.070.330.170.09
Net GEX-91.1K-286.1K91.0K-43.2K-17.5K
Net DEX2.1M-6.4M9.8M-4.3M2.6M
Net VEX-33.6K-48.2K-21.5K-48.2K-29.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.201.181.180.55
Total Volume1,423.91,2011,7011,5511,494
Total OI3,266.72,1423,8663,6912,430

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$123.27$120.0039.7%11.4%56.3%28.7%44.4%3.4%2.1%-43.2K-4.3M-48.2K1.1890.87N/AN/A7108412,0591,632
2022-01-04$125.70$120.0038.3%11.0%43.8%25.0%41.1%3.9%2.2%91.0K-6.4M-47.2K0.8190.10N/AN/A7155762,0691,489
2022-01-05$123.68$120.0040.6%11.6%42.0%31.1%49.4%5.9%2.1%27.5K-5.1M-46.9K0.7491.14N/AN/A7525572,0721,497
2022-01-06$120.29$120.0044.4%13.0%43.0%40.9%44.9%1.5%1.4%-61.1K-3.0M-45.1K0.5160.79N/AN/A8594412,0601,484
2022-01-07$115.80$120.0041.1%11.7%41.5%32.5%43.2%-3.0%3.5%-150.6K-714.3K-43.2K0.4461.32N/AN/A1,0454552,0831,473
2022-01-10$112.03$120.0048.2%13.2%41.8%50.8%45.4%-0.3%3.7%-170.5K1.3M-40.0K0.4964.46N/AN/A9234532,2681,480
2022-01-11$115.20$120.0044.0%11.9%41.8%39.8%43.8%0.1%3.5%-177.4K-287.0K-40.8K0.3065.64N/AN/A9452812,2701,473
2022-01-12$113.26$120.0040.9%11.7%42.2%32.5%43.1%3.9%2.3%-204.2K599.7K-39.9K0.2666.07N/AN/A9522492,2941,469
2022-01-13$108.98$120.0041.1%11.8%43.9%32.9%47.5%4.1%6.4%-260.9K3.8M-33.5K0.2073.09N/AN/A1,1582302,2901,464
2022-01-14$108.21$120.0040.6%11.6%43.9%31.6%42.1%1.6%6.5%-286.1K4.3M-31.1K0.2173.42N/AN/A1,1912522,2141,464
2022-01-18$102.60$120.0044.5%12.7%46.5%41.8%46.6%3.5%6.1%-211.8K7.1M-26.3K0.3771.17N/AN/A1,1904462,2411,481
2022-01-19$100.47$120.0044.6%12.8%43.6%42.1%49.1%4.6%4.3%-192.9K8.3M-28.5K0.3874.28N/AN/A1,1864532,2471,569
2022-01-20$94.84$120.0048.7%14.0%44.3%53.0%42.3%12.8%-1.3%-101.5K9.8M-25.2K0.3978.63N/AN/A1,2264742,2571,609
2022-01-21$91.68$120.0051.5%14.8%42.9%60.4%47.7%1.6%-2.0%-15.7K8.6M-24.0K0.3677.16N/AN/A1,2524492,2881,497
2022-01-24$92.86$110.0059.0%16.9%41.9%80.2%53.6%-1.2%-4.4%-10.8K2.5M-24.9K0.5082.45N/AN/A8634291,409733
2022-01-25$89.08$110.0062.0%17.8%37.9%88.3%53.8%13.0%-4.9%-2.6K2.6M-26.5K0.5086.86N/AN/A8634291,427775
2022-01-26$88.85$110.0055.7%16.0%38.2%71.5%58.1%21.7%5.1%-15.8K3.0M-23.6K0.5096.34N/AN/A8394221,427775
2022-01-27$83.45$105.0059.7%17.1%40.5%82.2%54.1%-1.5%3.2%-8.1K3.2M-21.5K0.6096.35N/AN/A8745261,436777
2022-01-28$84.41$105.0061.5%17.6%41.5%86.8%58.3%14.8%-2.1%-10.5K3.5M-25.0K0.6093.72N/AN/A9265521,453899
2022-01-31$93.99$105.0056.1%16.1%61.1%72.6%58.1%4.4%1.8%-17.5K2.6M-29.8K0.5593.35N/AN/A9655291,484946