VICR Options History — December 2022

In December 2022, VICR traded between $51.14 and $55.69. ATM implied volatility averaged 52.3%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 1.1% (HV 20d: 51.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 5.04.

Notable Days

  • 2022-12-13: Highest Volume — 311 contracts
  • 2022-12-30: Largest IV drop — 26.1% change
  • 2022-12-12: Highest IV Rank — 37.7%
  • 2022-12-05: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.14$51.14$55.69$53.95$53.75
Max Pain$57.62$55.00$60.00$55.00$55.00
ATM IV52.3%33.1%65.6%52.6%33.1%
Expected Move14.3%9.5%15.3%15.1%9.5%
HV 20d51.2%36.5%73.4%72.3%36.6%
HV 60d74.4%64.3%94.3%94.3%64.8%
IV Rank20.0%0.0%37.7%20.1%0.0%
IV Percentile29.3%0.0%72.6%29.4%0.0%
Term Structure3.5%-11.1%14.9%0.0%7.6%
VWIV50.4%37.9%60.3%51.5%37.9%
Skew 25d6.7%-13.7%17.1%8.2%17.1%
Skew 10d13.5%-21.1%36.0%14.4%36.0%
Call IV 25d48.0%28.5%69.9%50.8%28.5%
Put IV 25d54.7%45.6%61.0%58.9%45.6%
Bid-Ask Spread %84.1274.14102.3481.04102.34
Gamma HHI0.190.140.390.140.21
Net GEX24.4K-46.9K147.1K19.0K32.1K
Net DEX955.6K-368.4K1.8M750.3K219.4K
Net VEX-16.1K-18.5K-13.7K-18.5K-14.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.040.0146.500.020.07
Total Volume8213112481
Total OI3,180.3812,6263,6143,0933,047

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$53.95$55.0052.6%15.1%72.3%20.1%51.5%8.2%0.0%19.0K750.3K-18.5K0.0281.04N/AN/A24441,5261,567
2022-12-02$52.67$55.0051.2%14.7%72.9%18.3%51.1%4.9%-1.6%29.2K1.1M-17.9K0.1392.23N/AN/A2431,7111,571
2022-12-05$51.63$60.0054.6%15.3%73.4%22.9%51.7%5.7%5.6%14.1K1.5M-16.5K0.4083.88N/AN/A30121,7241,574
2022-12-06$51.50$60.0055.6%14.7%71.9%24.2%49.4%6.9%14.9%13.8K1.5M-16.8K0.1379.06N/AN/A811,7401,584
2022-12-07$52.33$60.0060.6%14.7%72.1%31.0%51.8%2.0%11.2%25.5K1.3M-16.9K0.8875.89N/AN/A16141,7481,584
2022-12-08$53.75$60.0056.2%14.0%70.2%25.1%48.4%5.5%8.8%50.0K699.4K-17.2K0.0279.99N/AN/A11721,7381,592
2022-12-09$53.40$60.0056.0%14.8%63.0%24.7%50.4%5.9%4.3%56.8K809.4K-16.9K10.2081.07N/AN/A5511,7721,593
2022-12-12$54.53$60.0065.6%14.8%49.3%37.7%55.0%9.4%8.7%81.4K225.2K-16.5K3.1474.14N/AN/A14441,7761,545
2022-12-13$55.69$60.0062.9%14.8%46.0%34.1%58.0%5.5%7.7%107.9K-368.4K-16.9K18.4479.14N/AN/A162951,7881,581
2022-12-14$54.80$60.0051.2%14.7%46.0%18.3%0.0%7.0%7.3%94.0K231.4K-16.9K0.7079.36N/AN/A66461,7891,767
2022-12-15$53.54$60.0050.8%14.6%42.1%17.8%48.7%5.7%-0.5%147.1K595.0K-16.0K7.5085.38N/AN/A2151,8471,767
2022-12-16$53.18$60.0050.2%14.4%41.1%16.9%58.4%-13.7%3.5%-25.3K1.6M-14.9K46.5081.73N/AN/A2931,8471,745
2022-12-19$52.38$60.0052.8%15.1%40.4%20.5%50.5%8.0%-3.0%-46.9K1.8M-14.5K0.2579.93N/AN/A110271,2351,391
2022-12-20$53.09$55.0050.1%14.4%39.4%16.7%48.1%10.0%2.9%-26.0K1.4M-15.1K0.0282.88N/AN/A17641,3321,415
2022-12-21$54.91$55.0046.9%13.4%40.5%12.4%42.0%7.9%3.2%16.2K584.3K-16.1K0.0183.22N/AN/A7711,5021,414
2022-12-22$52.14$55.0052.8%15.1%44.0%20.4%60.3%0.2%-6.0%-12.3K1.3M-15.9K2.1389.37N/AN/A15321,5641,415
2022-12-23$52.27$55.0049.4%14.2%43.8%15.9%0.0%6.3%-0.4%-14.6K1.2M-15.5K0.0088.52N/AN/A0201,5791,424
2022-12-27$51.81$55.0050.4%14.5%36.5%17.2%46.9%15.2%6.0%-19.4K1.3M-15.5K0.3388.41N/AN/A621,5791,444
2022-12-28$51.14$55.0049.9%14.3%36.8%16.5%50.9%12.4%-11.1%-29.8K1.6M-13.7K5.0092.01N/AN/A6301,5821,429
2022-12-29$53.38$55.0044.8%12.8%36.5%9.6%46.2%10.1%3.5%-1.1K526.9K-14.5K0.0786.83N/AN/A8561,5881,372
2022-12-30$53.75$55.0033.1%9.5%36.6%0.0%37.9%17.1%7.6%32.1K219.4K-14.6K0.00102.34N/AN/A011,6711,376