VICR Options History — September 2024

In September 2024, VICR traded between $34.75 and $42.30. ATM implied volatility averaged 52.2%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 8.0% (HV 20d: 44.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2024-09-30: Highest Volume — 1,675 contracts
  • 2024-09-26: Largest IV spike — 12.4% change
  • 2024-09-27: Highest IV Rank — 53.2%
  • 2024-09-27: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.41$34.75$42.30$35.77$42.19
Max Pain$35.50$35.00$40.00$40.00$35.00
ATM IV52.2%46.6%67.7%50.0%59.6%
Expected Move15.1%13.4%19.4%14.3%17.1%
HV 20d44.2%31.7%53.0%53.0%49.8%
HV 60d49.5%47.7%51.7%50.2%51.7%
IV Rank31.5%23.6%53.2%28.4%41.8%
IV Percentile63.3%41.7%85.3%61.1%76.6%
Term Structure3.9%-0.5%12.4%0.5%10.2%
VWIV52.2%46.7%67.2%50.5%60.5%
Skew 25d-4.7%-31.8%17.7%-6.9%-26.1%
Skew 10d-7.1%-71.3%30.6%-20.5%-71.3%
Call IV 25d56.0%47.8%88.2%48.6%82.6%
Put IV 25d51.3%36.1%72.3%41.7%56.5%
Bid-Ask Spread %78.8564.2391.1782.9173.18
Gamma HHI0.510.330.740.330.74
Net GEX137.6K43.7K242.7K43.7K237.5K
Net DEX-2.6M-8.5M-78.9K-78.9K-8.3M
Net VEX-18.1K-23.9K-14.0K-14.0K-22.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.008.000.130.09
Total Volume297.0591,6753701,675
Total OI4,313.653,1715,3793,1715,379

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$35.77$40.0050.0%14.3%53.0%28.4%50.5%-6.9%0.5%43.7K-78.9K-14.0K0.1382.91N/AN/A327431,8611,310
2024-09-04$35.78$40.0050.0%14.3%52.7%28.4%50.5%-6.4%2.3%63.8K-468.9K-15.5K0.3276.29N/AN/A1962,1721,328
2024-09-05$35.49$35.0049.0%14.6%52.6%27.0%50.6%-12.8%0.7%62.3K-261.0K-14.9K0.0284.63N/AN/A10622,1701,334
2024-09-06$35.30$35.0049.4%14.9%51.8%27.6%51.6%3.9%-0.5%63.3K-258.0K-15.2K0.5276.77N/AN/A148772,2701,336
2024-09-09$34.75$35.0048.4%14.3%51.9%26.1%49.5%17.7%1.0%67.1K-153.4K-14.7K0.2284.46N/AN/A209452,4171,340
2024-09-10$34.98$35.0048.6%14.5%51.0%26.4%46.7%-14.0%-0.4%80.2K-394.6K-15.9K0.9287.71N/AN/A49452,5821,385
2024-09-11$35.70$35.0049.7%14.2%50.8%27.9%50.2%-12.9%1.7%90.2K-804.6K-16.5K0.2182.19N/AN/A213442,6041,395
2024-09-12$36.70$35.0049.4%14.2%50.0%27.6%50.0%-7.4%9.7%127.7K-1.7M-18.5K0.0882.21N/AN/A7162,8171,415
2024-09-13$36.85$35.0049.7%14.3%36.8%28.0%52.2%2.6%2.2%135.6K-1.8M-18.4K3.0074.26N/AN/A7212,8721,418
2024-09-16$36.77$35.0051.5%14.8%35.7%30.4%51.4%-4.3%0.0%135.6K-1.7M-17.5K0.0075.14N/AN/A0102,8701,420
2024-09-17$36.91$35.0051.1%14.6%35.7%29.9%50.1%-2.9%0.9%138.5K-1.8M-17.6K0.0375.09N/AN/A18362,8701,426
2024-09-18$36.49$35.0049.9%14.3%35.2%28.3%50.7%12.2%2.4%137.0K-1.5M-16.8K8.0087.89N/AN/A182,9421,427
2024-09-19$37.55$35.0046.6%13.4%35.6%23.6%47.8%3.8%10.0%150.6K-2.3M-17.6K0.3880.18N/AN/A216832,9431,393
2024-09-20$37.37$35.0050.5%14.5%34.9%29.1%48.1%-1.1%12.4%126.9K-2.0M-16.7K0.1391.17N/AN/A505642,7441,481
2024-09-23$37.48$35.0053.0%15.2%31.7%32.6%50.4%-0.4%4.4%180.8K-2.5M-18.4K0.2564.23N/AN/A5221303,0901,458
2024-09-24$39.53$35.0053.8%15.4%37.3%33.7%50.7%-31.8%7.4%231.7K-5.7M-22.4K0.0085.16N/AN/A4103,6111,521
2024-09-25$38.66$35.0054.6%15.7%38.1%34.8%55.2%1.8%7.0%242.7K-4.6M-21.2K0.0965.84N/AN/A139123,6211,521
2024-09-26$42.30$35.0061.4%17.6%49.4%44.3%60.4%3.4%4.6%233.0K-8.5M-22.8K0.1972.32N/AN/A6111183,7111,532
2024-09-27$41.67$35.0067.7%19.4%49.9%53.2%67.2%-13.2%1.1%203.4K-7.7M-23.9K0.7575.29N/AN/A102773,6551,632
2024-09-30$42.19$35.0059.6%17.1%49.8%41.8%60.5%-26.1%10.2%237.5K-8.3M-22.5K0.0973.18N/AN/A1,5411343,6811,698