VICR Options History — September 2023

In September 2023, VICR traded between $56.31 and $69.39. ATM implied volatility averaged 47.6%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 13.4% (HV 20d: 34.2%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2023-09-29: Highest Volume — 888 contracts
  • 2023-09-08: Largest IV spike — 17.0% change
  • 2023-09-26: Highest IV Rank — 40.9%
  • 2023-09-26: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.93$56.31$69.39$69.39$59.21
Max Pain$65.25$65.00$70.00$70.00$65.00
ATM IV47.6%40.6%55.9%40.6%50.4%
Expected Move13.7%11.7%16.0%11.7%14.4%
HV 20d34.2%28.9%39.0%34.3%33.5%
HV 60d102.1%101.6%102.5%102.0%102.0%
IV Rank25.6%13.1%40.9%13.1%31.0%
IV Percentile24.9%4.0%61.1%4.0%36.1%
Term Structure11.2%5.5%16.7%5.5%15.0%
VWIV47.6%41.1%55.4%41.1%49.4%
Skew 25d2.4%0.6%5.7%0.6%2.5%
Skew 10d0.3%-15.3%5.8%3.4%-2.1%
Call IV 25d47.1%41.3%52.1%42.1%49.8%
Put IV 25d49.5%42.7%54.2%42.7%52.3%
Bid-Ask Spread %67.9034.9786.3785.8181.44
Gamma HHI0.260.160.390.160.24
Net GEX-32.7K-98.4K40.4K-12.4K40.4K
Net DEX3.1M-861.9K6.3M-861.9K916.4K
Net VEX-50.3K-67.6K-42.4K-67.6K-50.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.036.640.080.03
Total Volume219.45488899888
Total OI7,577.456,3398,2408,2407,571

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$69.39$70.0040.6%11.7%34.3%13.1%41.1%0.6%5.5%-12.4K-861.9K-67.6K0.0885.81N/AN/A9274,2573,983
2023-09-05$67.77$65.0045.0%13.5%34.9%20.5%47.8%1.5%9.3%-44.1K1.1M-62.2K2.9577.34N/AN/A381124,2163,979
2023-09-06$66.71$65.0045.7%13.6%34.4%21.9%47.3%1.6%10.9%-46.7K2.1M-59.2K0.4376.81N/AN/A47204,1873,866
2023-09-07$63.95$65.0040.7%13.6%36.4%13.3%49.4%1.9%9.2%-98.4K5.0M-54.6K1.7478.59N/AN/A1813154,1933,855
2023-09-08$63.38$65.0047.7%14.0%36.3%25.2%49.0%2.7%8.0%-68.6K4.1M-55.2K0.1279.34N/AN/A162204,3013,708
2023-09-11$63.03$65.0047.6%13.3%36.2%25.2%46.8%1.7%9.7%-78.3K4.4M-52.4K0.2134.97N/AN/A155324,3763,623
2023-09-12$63.16$65.0049.8%13.1%36.3%28.8%44.7%1.9%11.7%-72.4K3.9M-52.2K0.1938.15N/AN/A64124,4973,602
2023-09-13$60.14$65.0046.1%13.2%39.0%22.5%46.3%1.9%11.8%-74.5K6.3M-47.3K1.5041.38N/AN/A1021534,5533,597
2023-09-14$60.53$65.0045.4%13.0%35.6%21.3%45.9%1.9%11.5%-62.1K4.4M-46.8K6.6453.87N/AN/A11734,6313,289
2023-09-15$58.47$65.0045.6%13.1%36.4%22.3%45.9%5.7%13.4%-50.4K5.7M-43.8K1.6962.70N/AN/A42714,6413,269
2023-09-18$58.55$65.0047.0%13.5%36.4%24.8%46.9%1.9%10.1%-58.8K3.9M-42.5K0.3857.88N/AN/A39153,3982,941
2023-09-19$59.28$65.0046.9%13.5%36.1%24.8%47.2%2.2%12.1%-50.1K3.4M-43.5K0.4538.05N/AN/A60273,4082,938
2023-09-20$58.31$65.0045.9%13.1%36.2%22.8%48.5%3.1%16.7%-59.0K3.7M-42.4K0.0486.37N/AN/A508223,4302,952
2023-09-21$57.86$65.0048.4%13.9%31.0%27.4%44.8%2.9%10.1%3.2K2.6M-48.4K0.3769.50N/AN/A186684,2312,954
2023-09-22$58.11$65.0047.8%13.7%28.9%26.2%46.0%5.7%15.3%23.6K1.9M-50.0K0.4085.88N/AN/A111444,4062,972
2023-09-25$58.13$65.0049.5%14.2%28.9%29.4%52.7%2.0%12.4%13.9K2.4M-47.4K0.6778.47N/AN/A46314,3632,998
2023-09-26$56.31$65.0055.9%16.0%29.7%40.9%55.4%1.1%7.2%-6.0K3.6M-43.8K0.3377.78N/AN/A87294,3702,987
2023-09-27$57.29$65.0054.0%15.5%30.2%37.4%46.1%3.8%11.4%8.0K3.0M-45.6K0.0681.89N/AN/A251154,4462,999
2023-09-28$59.06$65.0051.3%14.7%33.3%32.7%51.7%1.6%12.2%37.7K1.2M-49.4K0.2771.71N/AN/A199534,5533,009
2023-09-29$59.21$65.0050.4%14.4%33.5%31.0%49.4%2.5%15.0%40.4K916.4K-50.8K0.0381.44N/AN/A860284,5513,020