VICR Options History — September 2007

In September 2007, VICR traded between $10.99 and $12.58. ATM implied volatility averaged 47.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 3.4% (HV 20d: 43.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 6.78.

Notable Days

2007-09-24: Highest Volume — 1,077 contracts
2007-09-07: Largest IV spike — 63.5% change
2007-09-12: Highest IV Rank — 26.3%
2007-09-10: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.82	$10.99	$12.58	$11.96	$12.12
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	47.3%	35.0%	60.3%	41.7%	45.1%
Expected Move	13.8%	10.0%	17.9%	12.0%	12.9%
HV 20d	43.9%	35.7%	55.5%	55.5%	43.1%
HV 60d	50.5%	48.3%	51.9%	49.0%	51.9%
IV Rank	19.0%	12.1%	26.3%	15.9%	17.8%
IV Percentile	53.8%	17.6%	81.6%	42.3%	48.4%
Term Structure	6.0%	-8.3%	14.9%	4.9%	11.5%
VWIV	45.8%	40.8%	54.1%	54.1%	43.0%
Bid-Ask Spread %	81.41	38.57	110.30	107.77	38.57
Gamma HHI	0.50	0.38	0.64	0.46	0.46
Net GEX	34.2K	6.8K	84.0K	36.1K	21.7K
Net DEX	82.2K	-1.1M	1.1M	40.2K	-32.8K
Net VEX	-8.8K	-10.7K	-7.4K	-10.7K	-8.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.78	0.00	52.85	0.00	0.00
Total Volume	148.158	0	1,077	0	10
Total OI	7,815.211	6,754	8,500	7,987	7,204

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-09-04	$11.96	$12.50	41.7%	12.0%	55.5%	15.9%	0.0%	0.0%	4.9%	36.1K	40.2K	-10.7K	0.00	107.77	N/A	N/A	0	0	5,133	2,854
2007-09-05	$11.59	$12.50	45.5%	13.0%	55.5%	18.0%	0.0%	0.0%	2.8%	33.2K	487.2K	-9.6K	0.00	88.80	N/A	N/A	20	0	5,133	2,854
2007-09-06	$11.71	$12.50	35.0%	10.0%	45.6%	12.1%	0.0%	0.0%	2.3%	32.0K	641.5K	-9.2K	0.32	110.30	N/A	N/A	730	230	5,153	2,854
2007-09-07	$11.25	$12.50	57.2%	17.5%	41.9%	24.6%	54.1%	0.0%	-8.3%	24.2K	709.4K	-9.5K	0.12	76.46	N/A	N/A	91	11	5,526	2,974
2007-09-10	$10.99	$12.50	54.4%	17.9%	35.7%	23.0%	0.0%	0.0%	-6.7%	21.2K	1.1M	-8.9K	3.17	44.06	N/A	N/A	6	19	5,409	3,074
2007-09-11	$11.41	$12.50	40.1%	13.4%	38.2%	15.0%	47.5%	0.0%	8.6%	28.8K	825.4K	-8.9K	4.80	66.15	N/A	N/A	20	96	5,414	2,927
2007-09-12	$11.12	$12.50	60.3%	16.3%	38.7%	26.3%	0.0%	0.0%	-0.8%	24.5K	570.7K	-8.0K	0.00	73.46	N/A	N/A	0	0	5,401	2,517
2007-09-13	$11.19	$12.50	58.2%	16.7%	37.8%	25.2%	0.0%	0.0%	-0.9%	26.6K	502.7K	-8.0K	0.00	76.95	N/A	N/A	0	0	5,401	2,517
2007-09-14	$11.50	$12.50	47.4%	13.6%	38.3%	19.1%	0.0%	0.0%	8.7%	32.2K	404.6K	-8.3K	0.00	68.28	N/A	N/A	0	0	5,401	2,517
2007-09-17	$11.16	$12.50	57.2%	16.4%	39.3%	24.6%	0.0%	0.0%	-3.3%	20.4K	676.3K	-7.4K	0.00	77.25	N/A	N/A	0	0	5,401	2,517
2007-09-18	$11.86	$12.50	49.0%	14.0%	45.8%	20.0%	0.0%	0.0%	7.2%	41.4K	-22.9K	-8.6K	0.00	86.93	N/A	N/A	0	0	5,401	2,517
2007-09-19	$12.36	$12.50	48.0%	13.8%	47.8%	19.4%	47.5%	0.0%	9.8%	63.7K	-698.0K	-9.1K	0.00	86.18	N/A	N/A	180	0	5,401	2,517
2007-09-20	$12.34	$12.50	45.3%	13.0%	47.5%	17.9%	44.9%	0.0%	11.0%	69.0K	-617.3K	-8.7K	0.00	80.72	N/A	N/A	60	0	5,381	2,517
2007-09-21	$12.54	$12.50	41.8%	12.0%	46.2%	15.9%	43.0%	0.0%	14.9%	84.0K	-1.0M	-8.8K	6.50	78.59	N/A	N/A	20	130	5,391	2,517
2007-09-24	$12.58	$12.50	41.4%	11.9%	45.9%	15.7%	40.8%	0.0%	14.9%	37.4K	-1.1M	-8.3K	52.85	94.74	N/A	N/A	20	1,057	4,247	2,507
2007-09-25	$12.32	$12.50	44.0%	12.6%	45.3%	17.2%	0.0%	0.0%	11.8%	6.8K	-245.6K	-9.4K	0.00	96.00	N/A	N/A	0	0	4,247	3,307
2007-09-26	$12.31	$12.50	43.0%	12.3%	43.8%	16.6%	43.0%	0.0%	14.4%	22.2K	-289.2K	-8.6K	0.00	95.51	N/A	N/A	115	0	4,247	2,907
2007-09-27	$12.30	$12.50	44.9%	12.9%	42.7%	17.7%	0.0%	0.0%	11.1%	24.3K	-286.4K	-8.6K	0.00	100.04	N/A	N/A	0	0	4,297	2,907
2007-09-28	$12.12	$12.50	45.1%	12.9%	43.1%	17.8%	0.0%	0.0%	11.5%	21.7K	-32.8K	-8.2K	0.00	38.57	N/A	N/A	0	10	4,297	2,907