VICR Options History — December 2023

In December 2023, VICR traded between $37.52 and $46.34. ATM implied volatility averaged 46.3%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.9% (HV 20d: 45.5%). Max pain ranged from $35.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.74.

Notable Days

  • 2023-12-22: Highest Volume — 401 contracts
  • 2023-12-08: Largest IV spike — 29.3% change
  • 2023-12-05: Highest IV Rank — 39.7%
  • 2023-12-26: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.87$37.52$46.34$38.38$45.23
Max Pain$44.00$35.00$50.00$35.00$40.00
ATM IV46.3%40.6%60.1%45.7%43.2%
Expected Move12.5%11.7%13.5%13.1%12.4%
HV 20d45.5%41.8%48.2%47.8%41.8%
HV 60d78.4%76.9%79.6%77.1%79.3%
IV Rank19.5%11.1%39.7%18.6%14.9%
IV Percentile25.8%4.8%79.8%21.0%12.7%
Term Structure1.9%-4.5%4.0%-4.5%3.6%
VWIV45.9%40.8%54.7%46.1%43.9%
Skew 25d2.2%0.4%7.8%7.8%1.4%
Skew 10d-0.8%-28.4%16.0%16.0%-6.9%
Call IV 25d43.8%40.3%48.3%40.3%44.9%
Put IV 25d46.0%42.2%49.6%48.1%46.3%
Bid-Ask Spread %74.5229.6495.0555.4930.89
Gamma HHI0.250.140.420.290.31
Net GEX40.9K17.5K67.1K29.8K53.7K
Net DEX-1.2M-3.2M338.9K-15.4K-2.7M
Net VEX-19.1K-23.2K-16.4K-16.5K-22.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0010.000.001.85
Total Volume135.151140133111
Total OI4,323.653,8734,7094,1974,662

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$38.38$35.0045.7%13.1%47.8%18.6%46.1%7.8%-4.5%29.8K-15.4K-16.5K0.0055.49N/AN/A3302,8631,334
2023-12-04$38.56$50.0048.6%12.4%46.6%22.9%44.9%2.4%1.2%29.3K-122.3K-16.6K0.8790.59N/AN/A53462,8451,334
2023-12-05$37.52$45.0060.1%12.4%47.5%39.7%53.0%5.9%3.4%17.5K338.9K-16.4K0.5795.05N/AN/A65372,8701,379
2023-12-06$38.32$45.0048.0%12.4%48.2%21.9%43.1%0.4%1.2%31.3K4.5K-17.4K0.8690.34N/AN/A93802,9021,415
2023-12-07$39.02$45.0046.4%12.4%48.2%19.6%43.4%2.2%1.3%34.7K-156.6K-18.2K0.1953.56N/AN/A95182,9111,491
2023-12-08$38.41$45.0060.0%12.1%45.1%39.5%40.8%2.3%4.0%34.4K-17.3K-18.1K0.0892.78N/AN/A7762,9861,502
2023-12-11$38.69$45.0052.5%12.1%45.1%28.5%48.9%1.8%3.2%35.1K-70.4K-18.1K10.0091.35N/AN/A1102,9981,507
2023-12-12$38.59$45.0040.6%12.3%45.1%11.1%45.1%1.8%1.6%39.6K23.1K-17.8K0.7931.98N/AN/A57452,9991,514
2023-12-13$40.89$45.0040.9%11.7%42.9%11.5%42.2%1.3%1.9%67.1K-1.2M-18.6K1.6493.43N/AN/A911493,0291,561
2023-12-14$43.31$45.0043.1%12.4%47.1%14.8%44.5%0.4%2.1%48.5K-2.3M-19.6K1.1929.64N/AN/A1261503,0381,646
2023-12-15$42.67$45.0043.7%12.5%47.1%15.6%44.7%2.8%1.7%28.3K-2.0M-19.4K1.1992.37N/AN/A43513,0511,658
2023-12-18$42.83$45.0042.8%12.3%47.0%14.3%43.1%0.4%1.9%31.9K-1.1M-18.8K2.1594.63N/AN/A13282,5381,335
2023-12-19$43.86$45.0042.1%12.1%46.7%13.3%43.3%0.7%2.1%33.6K-1.4M-19.3K0.3966.88N/AN/A70272,5481,363
2023-12-20$42.73$45.0043.4%12.4%43.5%15.2%45.5%1.7%1.6%30.1K-976.7K-19.0K5.0081.50N/AN/A12602,5931,383
2023-12-21$44.43$45.0043.1%12.4%44.9%14.8%43.5%2.8%3.0%37.6K-1.6M-19.7K0.1980.42N/AN/A2652,6001,379
2023-12-22$45.60$45.0044.4%12.7%44.8%16.7%46.4%1.6%2.8%42.5K-2.0M-19.8K0.3886.12N/AN/A2911102,5981,374
2023-12-26$46.34$45.0046.9%13.5%43.1%20.4%52.3%3.1%1.1%63.3K-2.6M-21.3K0.5487.90N/AN/A1921032,9041,460
2023-12-27$46.03$40.0046.0%13.2%43.4%19.0%54.7%0.6%1.9%66.8K-3.2M-23.2K4.0555.08N/AN/A20813,0641,354
2023-12-28$46.08$40.0045.2%13.0%43.2%17.8%47.9%1.9%2.5%63.1K-3.1M-22.4K2.9390.32N/AN/A581703,0701,415
2023-12-29$45.23$40.0043.2%12.4%41.8%14.9%43.9%1.4%3.6%53.7K-2.7M-22.7K1.8530.89N/AN/A39723,1281,534