VICR Options History — November 2022

In November 2022, VICR traded between $48.50 and $59.04. ATM implied volatility averaged 59.0%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 14.5% (HV 20d: 73.5%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.30.

Notable Days

  • 2022-11-18: Highest Volume — 1,949 contracts
  • 2022-11-02: Largest IV spike — 31.5% change
  • 2022-11-02: Highest IV Rank — 69.9%
  • 2022-11-02: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.45$48.50$59.04$50.82$53.69
Max Pain$53.57$50.00$55.00$55.00$55.00
ATM IV59.0%47.8%88.5%67.3%53.6%
Expected Move16.7%13.7%25.4%19.3%15.4%
HV 20d73.5%65.2%77.5%77.1%73.7%
HV 60d94.7%91.5%97.0%93.1%94.7%
IV Rank30.6%13.6%69.9%42.3%21.5%
IV Percentile48.1%19.4%98.8%78.6%31.3%
Term Structure-3.0%-20.3%1.8%-9.3%-2.4%
VWIV59.2%49.5%77.3%65.6%53.9%
Skew 25d7.7%0.7%16.7%11.7%16.7%
Skew 10d10.2%-5.2%30.8%-3.1%1.2%
Call IV 25d53.9%40.1%62.0%57.1%40.1%
Put IV 25d61.5%52.7%72.9%68.7%56.8%
Bid-Ask Spread %75.6950.5597.9494.1097.94
Gamma HHI0.290.140.480.350.14
Net GEX128.6K-25.5K391.4K149.8K-2.6K
Net DEX-176.9K-6.4M1.8M-405.7K1.1M
Net VEX-18.7K-22.5K-16.1K-20.6K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.1218.891.470.12
Total Volume1,346.95201,9491,601128
Total OI4,224.812,5735,3284,6082,998

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$50.82$55.0067.3%19.3%77.1%42.3%65.6%11.7%-9.3%149.8K-405.7K-20.6K1.4794.10N/AN/A6479543,1381,470
2022-11-02$49.01$55.0088.5%25.4%77.5%69.9%77.3%10.8%-20.3%112.4K-69.3K-20.0K1.7697.92N/AN/A6561,1523,1651,472
2022-11-03$48.79$50.0063.3%16.8%77.5%37.2%59.8%7.0%-1.3%94.0K1.1M-19.1K1.7050.55N/AN/A6611,1263,1481,685
2022-11-04$48.50$50.0056.4%16.8%72.6%28.3%59.4%9.7%-2.1%78.9K1.4M-17.7K1.6668.08N/AN/A6851,1393,1401,675
2022-11-07$50.58$50.0066.1%17.9%74.3%40.9%59.4%6.6%-8.2%149.7K305.9K-18.8K1.5662.41N/AN/A6961,0833,1501,631
2022-11-08$50.85$50.0069.3%17.0%65.2%44.9%60.4%2.3%-2.7%165.1K-29.7K-18.7K1.5974.15N/AN/A6961,1053,1581,635
2022-11-09$48.50$50.0060.9%17.5%67.3%34.1%62.5%11.1%-1.4%89.7K1.2M-16.8K1.6283.65N/AN/A6831,1053,1581,655
2022-11-10$52.99$50.0053.4%15.3%73.0%24.4%57.2%13.3%-1.3%246.7K-638.8K-19.3K1.6168.14N/AN/A6921,1173,1591,656
2022-11-11$59.04$55.0054.6%15.7%74.5%25.9%55.4%4.3%1.7%324.8K-6.4M-22.5K1.4656.51N/AN/A7551,1063,1841,673
2022-11-14$55.82$55.0057.1%16.4%76.9%29.1%57.1%6.2%-1.5%391.4K-3.9M-21.1K1.5869.88N/AN/A7271,1493,3151,710
2022-11-15$56.63$55.0055.4%15.9%76.5%26.9%57.7%6.1%-0.2%388.1K-4.5M-21.6K1.7763.30N/AN/A6741,1963,3441,780
2022-11-16$53.51$55.0056.6%16.2%76.0%28.4%59.1%6.2%-0.8%325.9K-1.0M-19.4K1.9473.12N/AN/A6391,2423,3761,887
2022-11-17$52.18$55.0059.1%16.9%72.1%31.7%59.6%2.6%-3.6%243.8K-329.0K-19.1K1.9467.28N/AN/A6121,1863,3831,921
2022-11-18$53.53$55.0052.4%15.0%72.1%23.1%60.4%6.7%1.8%-6.3K893.8K-17.9K2.0368.17N/AN/A6431,3063,4071,921
2022-11-21$52.06$55.0057.4%16.5%72.8%28.1%55.5%4.5%-0.0%-25.5K1.7M-16.5K0.8070.15N/AN/A4863881,1941,379
2022-11-22$53.21$55.0051.9%14.9%71.4%19.2%54.3%0.7%-1.7%-1.0K1.1M-17.0K1.1988.48N/AN/A3634331,3181,382
2022-11-23$54.31$55.0047.8%13.7%71.5%13.6%49.5%5.9%0.5%2.0K813.4K-17.1K1.1074.67N/AN/A4144541,3511,415
2022-11-25$54.88$55.0054.2%15.5%71.5%22.3%0.0%11.0%-10.0%12.3K535.1K-18.0K0.0088.78N/AN/A001,4091,438
2022-11-28$51.29$55.0060.2%17.2%75.8%30.4%59.9%13.3%-1.4%-17.6K1.7M-16.1K18.8991.86N/AN/A91701,4101,439
2022-11-29$51.34$55.0053.4%15.3%74.7%21.3%0.0%4.2%1.8%-21.0K1.8M-17.4K0.2980.29N/AN/A721,4181,574
2022-11-30$53.69$55.0053.6%15.4%73.7%21.5%53.9%16.7%-2.4%-2.6K1.1M-18.1K0.1297.94N/AN/A114141,4241,574