VICR Options History — November 2024

In November 2024, VICR traded between $45.81 and $60.38. ATM implied volatility averaged 51.5%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 21.6% (HV 20d: 73.1%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 6.57.

Notable Days

  • 2024-11-13: Highest Volume — 2,646 contracts
  • 2024-11-11: Largest IV spike — 110.9% change
  • 2024-11-12: Highest IV Rank — 61.1%
  • 2024-11-01: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.35$45.81$60.38$45.81$53.35
Max Pain$51.00$45.00$55.00$45.00$55.00
ATM IV51.5%28.9%79.7%54.9%47.9%
Expected Move14.2%12.5%15.7%15.7%13.7%
HV 20d73.1%60.0%85.6%60.8%68.8%
HV 60d57.1%52.1%59.0%52.1%57.7%
IV Rank27.0%0.0%61.1%30.6%22.9%
IV Percentile53.8%0.0%94.0%70.6%43.7%
Term Structure-1.4%-6.7%6.2%-6.7%-2.4%
VWIV50.4%42.7%58.1%54.6%48.0%
Skew 25d1.2%-3.5%7.5%-1.0%-0.1%
Skew 10d2.3%-16.4%14.9%-4.9%7.1%
Call IV 25d50.1%39.2%55.8%53.9%50.1%
Put IV 25d51.3%39.5%60.2%52.9%49.9%
Bid-Ask Spread %75.2143.0788.9343.0778.10
Gamma HHI0.390.310.580.480.33
Net GEX410.7K-77.4K1.4M1.2M27.0K
Net DEX-29.3M-65.1M-751.7K-16.3M-5.9M
Net VEX-55.0K-68.0K-32.4K-64.4K-56.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.570.0743.530.442.79
Total Volume802.3252,6469153
Total OI13,096.859,19518,71614,92610,287

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$45.81$45.0054.9%15.7%60.8%30.6%54.6%-1.0%-6.7%1.2M-16.3M-64.4K0.4443.07N/AN/A632812,1092,817
2024-11-04$46.98$45.0058.7%14.2%60.0%35.1%48.3%4.6%-0.4%1.4M-20.2M-62.7K1.4072.13N/AN/A476612,1382,830
2024-11-05$52.12$45.0065.3%14.6%69.2%43.2%51.5%-2.0%-2.7%1.3M-43.2M-59.5K0.0770.52N/AN/A1,2369112,1742,786
2024-11-06$57.73$45.0044.4%13.9%76.1%17.7%49.7%-2.5%-4.2%540.2K-61.4M-35.8K0.1780.30N/AN/A1,55725711,8922,787
2024-11-07$57.40$45.0040.0%13.2%75.4%12.5%52.6%7.5%1.4%511.8K-57.1M-37.0K0.0785.38N/AN/A3532511,3672,835
2024-11-08$58.88$45.0028.9%12.5%75.4%0.0%42.7%0.3%2.3%364.0K-60.4M-32.4K0.1388.93N/AN/A1,87925011,3452,823
2024-11-11$60.38$45.0061.0%13.5%74.9%38.5%50.8%1.4%6.2%455.5K-65.1M-36.6K7.0276.03N/AN/A4632312,0592,744
2024-11-12$57.79$45.0079.7%14.3%78.2%61.1%48.3%3.1%0.1%531.7K-58.9M-43.1K43.5388.73N/AN/A1982712,0602,815
2024-11-13$57.55$55.0050.2%14.4%76.7%25.6%48.7%0.2%-1.6%355.0K-57.2M-45.9K0.5988.92N/AN/A1,66298412,0673,612
2024-11-14$52.98$55.0049.4%14.2%84.6%24.7%51.3%-0.1%-1.2%991.5K-38.7M-68.0K1.5074.57N/AN/A16524813,0695,647
2024-11-15$51.58$55.0054.8%15.7%85.6%31.1%58.1%4.7%-3.7%-53.3K-38.2M-64.0K0.2375.37N/AN/A47510912,9515,641
2024-11-18$51.75$55.0050.3%14.4%83.3%25.8%46.6%4.7%-1.0%-77.4K-751.7K-61.0K10.9973.98N/AN/A911,0005,0334,788
2024-11-19$53.26$55.0050.9%14.6%83.0%26.5%51.3%1.6%-2.3%57.2K-5.9M-59.6K2.6264.61N/AN/A5951,5565,1024,093
2024-11-20$54.01$55.0049.5%14.2%70.7%24.7%50.3%3.4%-0.5%47.3K-7.1M-65.8K25.6066.14N/AN/A481,2295,6154,800
2024-11-21$54.34$55.0051.9%14.9%67.5%27.7%54.9%-3.5%-6.5%88.1K-8.7M-65.3K0.3776.68N/AN/A67255,6044,672
2024-11-22$55.44$55.0049.7%14.3%67.4%25.0%51.3%0.4%-3.2%108.2K-10.6M-63.3K0.3969.40N/AN/A1875,6124,693
2024-11-25$56.91$55.0047.6%13.7%67.1%22.5%50.0%0.2%1.1%177.2K-13.9M-59.8K23.7072.87N/AN/A102375,6154,697
2024-11-26$55.27$55.0048.1%13.8%67.7%23.1%52.4%0.5%-2.3%109.4K-10.4M-60.8K8.2082.48N/AN/A5415,6154,769
2024-11-27$53.55$55.0046.3%13.3%68.9%20.9%47.5%0.3%-0.6%31.1K-6.2M-58.2K1.5175.96N/AN/A1412135,6154,759
2024-11-29$53.35$55.0047.9%13.7%68.8%22.9%48.0%-0.1%-2.4%27.0K-5.9M-56.4K2.7978.10N/AN/A14395,5714,716