VICR Options History — September 2022

In September 2022, VICR traded between $57.85 and $80.04. ATM implied volatility averaged 59.8%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 42.4% (HV 20d: 102.2%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2022-09-07: Highest Volume — 1,197 contracts
  • 2022-09-13: Largest IV spike — 60.8% change
  • 2022-09-13: Highest IV Rank — 73.2%
  • 2022-09-15: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.61$57.85$80.04$63.55$59.56
Max Pain$70.95$65.00$75.00$65.00$65.00
ATM IV59.8%44.5%90.9%54.3%67.9%
Expected Move17.1%13.3%24.5%15.6%19.5%
HV 20d102.2%65.2%133.0%67.7%125.8%
HV 60d77.4%60.3%89.7%66.1%89.5%
IV Rank33.5%13.1%73.2%30.2%43.4%
IV Percentile61.2%29.0%99.2%54.4%86.1%
Term Structure2.2%-12.9%17.5%-4.0%-0.5%
VWIV63.2%50.8%120.1%57.6%66.4%
Skew 25d13.1%-4.9%77.6%4.5%-4.9%
Skew 10d23.0%-2.0%46.4%11.2%10.3%
Call IV 25d55.6%43.6%69.5%59.3%69.5%
Put IV 25d68.7%54.5%131.5%63.8%64.7%
Bid-Ask Spread %94.6986.39102.8389.2097.29
Gamma HHI0.300.140.660.400.15
Net GEX101.1K-18.7K411.3K152.7K2.6K
Net DEX399.8K-9.5M2.8M884.9K2.0M
Net VEX-25.4K-30.0K-21.5K-24.6K-22.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.005.001.401.49
Total Volume502.667121,1974391,002
Total OI3,671.7142,9404,5193,7393,171

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$63.55$65.0054.3%15.6%67.7%30.2%57.6%4.5%-4.0%152.7K884.9K-24.6K1.4089.20N/AN/A1832562,3871,352
2022-09-02$63.40$65.0054.8%15.7%67.7%30.8%60.5%6.7%8.0%154.6K1.0M-28.4K0.0096.46N/AN/A5502,5061,554
2022-09-06$61.96$75.0057.9%18.1%67.7%34.5%60.3%18.0%-7.2%137.6K1.6M-26.4K1.5486.39N/AN/A4226522,5431,552
2022-09-07$64.52$75.0052.4%18.1%68.9%23.8%54.9%13.4%-12.9%197.7K563.4K-26.2K1.2190.61N/AN/A5426552,5631,551
2022-09-08$65.70$75.0054.7%16.5%65.2%26.3%56.9%15.6%-8.1%253.6K-588.3K-28.3K1.8995.77N/AN/A9172,7061,556
2022-09-09$68.43$75.0044.5%15.2%67.2%13.1%51.1%14.2%5.1%347.5K-2.6M-29.7K0.4192.30N/AN/A34142,7151,564
2022-09-12$70.27$75.0056.5%17.0%66.4%28.7%61.0%13.1%-6.9%411.3K-4.7M-30.0K1.6691.17N/AN/A44732,7431,576
2022-09-13$65.13$75.0090.9%17.0%68.1%73.2%58.1%11.4%6.6%241.5K-1.3M-28.0K1.4689.86N/AN/A4436452,7551,576
2022-09-14$65.39$75.0063.7%18.3%67.7%37.9%54.7%15.2%-0.7%224.8K-663.3K-28.8K0.3192.23N/AN/A2682,7881,628
2022-09-15$80.04$75.0085.6%24.5%101.4%66.3%120.1%77.6%10.4%93.6K-9.5M-28.4K1.5793.10N/AN/A46722,7971,633
2022-09-16$62.69$75.0046.6%13.4%133.0%15.8%50.8%12.0%12.6%-11.4K1.4M-25.0K1.5394.92N/AN/A4697192,8421,677
2022-09-19$62.05$70.0061.4%17.6%132.8%35.0%60.7%4.0%-0.8%-8.3K2.1M-23.8K1.0691.05N/AN/A36381,4951,445
2022-09-20$62.52$70.0055.2%15.8%130.7%27.0%60.2%2.3%1.6%-9.6K2.1M-23.8K5.0096.70N/AN/A2101,5221,460
2022-09-21$62.01$70.0057.6%16.5%130.7%30.1%66.2%2.2%8.0%-11.9K1.9M-23.7K2.3598.88N/AN/A20471,5241,457
2022-09-22$60.24$70.0046.5%13.3%130.6%15.7%67.8%6.0%17.5%-16.4K2.5M-22.7K0.27102.83N/AN/A1131,5431,478
2022-09-23$58.83$70.0060.5%17.3%129.7%33.8%63.9%12.3%4.2%-14.1K2.8M-21.9K1.1198.61N/AN/A19211,5511,477
2022-09-26$57.85$70.0063.9%18.3%129.4%38.2%64.8%15.5%-7.7%-18.7K2.6M-21.5K1.4198.88N/AN/A4085771,5671,471
2022-09-27$59.55$70.0063.5%18.2%130.2%37.8%61.7%16.7%1.8%-12.9K2.6M-22.5K1.2094.86N/AN/A4825791,6001,473
2022-09-28$62.72$65.0051.4%14.7%132.1%22.1%56.9%2.0%14.0%9.9K1.4M-24.4K1.5598.94N/AN/A3745801,6851,476
2022-09-29$59.49$65.0065.3%18.7%133.0%40.1%73.1%17.3%5.1%-1.4K2.2M-22.5K1.6498.46N/AN/A3655981,6831,464
2022-09-30$59.56$65.0067.9%19.5%125.8%43.4%66.4%-4.9%-0.5%2.6K2.0M-22.5K1.4997.29N/AN/A4035991,6831,488