VICR Options History — March 2024

In March 2024, VICR traded between $35.46 and $38.54. ATM implied volatility averaged 53.6%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 40.9% (HV 20d: 94.4%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.21.

Notable Days

  • 2024-03-01: Highest Volume — 437 contracts
  • 2024-03-13: Largest IV drop — 26.9% change
  • 2024-03-05: Highest IV Rank — 59.3%
  • 2024-03-05: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.05$35.46$38.54$37.52$38.00
Max Pain$40.25$40.00$45.00$45.00$40.00
ATM IV53.6%43.0%73.6%55.3%43.0%
Expected Move14.4%12.3%15.9%15.9%12.3%
HV 20d94.4%31.6%122.1%121.8%32.2%
HV 60d75.8%73.7%77.2%77.0%73.7%
IV Rank29.8%14.1%59.3%32.3%14.1%
IV Percentile53.1%9.1%90.9%65.5%9.1%
Term Structure9.7%-1.4%18.4%-1.4%17.6%
VWIV50.1%41.6%56.3%45.0%41.6%
Skew 25d-1.0%-10.5%3.5%-0.1%-3.8%
Skew 10d-1.1%-17.9%21.4%-7.7%-9.1%
Call IV 25d52.0%45.0%58.0%57.1%45.0%
Put IV 25d51.0%41.2%57.0%57.0%41.2%
Bid-Ask Spread %91.4882.2598.3882.2595.87
Gamma HHI0.320.240.510.280.34
Net GEX-6.6K-88.3K36.6K-16.6K36.6K
Net DEX1.1M80.5K2.1M1.5M299.8K
Net VEX-18.3K-21.4K-15.5K-21.4K-19.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.1810.860.8610.86
Total Volume154.84243743783
Total OI5,081.74,2095,5275,4285,023

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$37.52$45.0055.3%15.9%121.8%32.3%45.0%-0.1%-1.4%-16.6K1.5M-21.4K0.8682.25N/AN/A2352023,0712,357
2024-03-04$37.87$40.0065.4%15.8%121.9%47.2%55.4%-0.3%5.2%-4.9K940.9K-21.0K2.6887.84N/AN/A25673,0762,255
2024-03-05$36.97$40.0073.6%15.9%122.0%59.3%55.0%-1.3%4.3%-19.9K1.5M-20.1K2.2285.35N/AN/A18403,0912,288
2024-03-06$37.91$40.0058.7%15.2%122.1%37.3%53.4%-0.2%4.4%-11.3K1.1M-20.3K0.4988.91N/AN/A67333,0952,284
2024-03-07$37.98$40.0058.6%15.3%122.1%37.2%53.8%0.8%4.1%-10.7K1.2M-20.0K0.1988.92N/AN/A85163,1412,307
2024-03-08$36.77$40.0056.7%15.8%116.3%34.4%56.3%-0.6%2.7%-21.6K1.6M-19.0K0.8786.17N/AN/A103903,2172,310
2024-03-11$36.24$40.0067.1%14.7%116.0%49.8%52.6%-3.5%5.2%-39.4K2.1M-17.1K1.3490.93N/AN/A50673,1572,313
2024-03-12$35.98$40.0062.2%14.5%115.7%42.4%54.9%2.4%6.0%-42.7K1.8M-16.5K2.2387.28N/AN/A13293,1832,185
2024-03-13$35.89$40.0045.4%13.0%113.1%17.7%45.5%-1.0%11.2%-49.8K1.9M-16.0K0.1888.69N/AN/A112203,1922,175
2024-03-14$35.58$40.0047.1%13.5%109.2%20.2%50.5%3.5%14.9%-88.3K1.8M-15.5K8.4492.00N/AN/A413463,2032,135
2024-03-15$35.97$40.0050.5%14.5%108.2%25.2%53.1%0.8%11.7%5.2K1.2M-16.0K1.5690.96N/AN/A32503,2301,984
2024-03-18$35.83$40.0048.4%13.9%106.5%22.1%49.3%0.3%11.4%-6651.3M-15.5K0.2993.49N/AN/A133382,5541,655
2024-03-19$35.46$40.0048.7%14.0%106.5%22.6%50.2%2.1%13.2%-2.5K1.4M-15.5K7.7993.97N/AN/A282182,6491,667
2024-03-20$37.41$40.0048.5%13.9%109.0%22.3%47.0%1.8%12.1%15.8K622.9K-17.2K1.3794.50N/AN/A65892,6741,839
2024-03-21$38.54$40.0046.3%13.3%109.4%19.0%47.2%-0.9%18.4%29.2K80.5K-18.7K0.5095.60N/AN/A2401212,7111,926
2024-03-22$37.90$40.0050.1%14.4%41.1%24.6%46.6%-10.5%13.7%22.5K424.8K-20.3K0.6098.38N/AN/A50302,8871,971
2024-03-25$37.77$40.0049.7%14.2%31.6%24.0%48.5%-1.7%15.8%21.9K444.5K-19.3K0.7695.71N/AN/A68522,9241,974
2024-03-26$37.27$40.0046.4%13.3%31.9%19.2%48.2%-1.0%12.3%15.6K928.6K-17.5K0.5595.39N/AN/A38212,9681,983
2024-03-27$38.21$40.0050.1%14.4%32.1%24.6%47.1%-7.0%11.7%30.0K240.9K-19.4K0.5097.41N/AN/A54272,9792,001
2024-03-28$38.00$40.0043.0%12.3%32.2%14.1%41.6%-3.8%17.6%36.6K299.8K-19.0K10.8695.87N/AN/A7762,9972,026