VICR Options History — November 2008

In November 2008, VICR traded between $4.11 and $7.68. ATM implied volatility averaged 88.4%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded below realized volatility by 61.7% (HV 20d: 150.1%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.19.

Notable Days

2008-11-13: Highest Volume — 1,046 contracts
2008-11-12: Largest IV spike — 38.5% change
2008-11-21: Highest IV Rank — 50.9%
2008-11-21: Largest Expected Move — 30.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.58	$4.11	$7.68	$7.68	$5.79
Max Pain	$4.47	$2.50	$5.00	$2.50	$5.00
ATM IV	88.4%	62.4%	105.0%	90.2%	90.9%
Expected Move	25.5%	21.0%	30.1%	25.9%	26.1%
HV 20d	150.1%	138.3%	173.4%	173.4%	142.2%
HV 60d	121.6%	111.1%	131.3%	111.4%	131.0%
IV Rank	39.4%	21.5%	50.9%	40.7%	41.2%
IV Percentile	91.6%	56.3%	98.8%	96.0%	92.9%
Term Structure	-3.9%	-9.8%	4.4%	-6.8%	2.8%
VWIV	88.2%	73.4%	96.9%	87.9%	94.5%
Skew 25d	12.3%	-11.3%	51.7%	8.3%	13.3%
Skew 10d	17.5%	-27.5%	38.2%	30.4%	29.3%
Call IV 25d	72.4%	48.5%	92.7%	67.5%	78.0%
Put IV 25d	84.7%	60.7%	111.7%	75.9%	91.3%
Bid-Ask Spread %	70.01	19.74	107.76	69.00	83.76
Gamma HHI	0.43	0.32	0.55	0.45	0.34
Net GEX	14.4K	7.5K	27.6K	26.7K	12.6K
Net DEX	-714.9K	-1.5M	-334.5K	-1.5M	-921.8K
Net VEX	-4.4K	-7.4K	-2.7K	-7.4K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	1.67	0.00	0.00
Total Volume	174.737	0	1,046	55	0
Total OI	4,795.579	4,699	4,921	4,731	4,900

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
2008-11-03	$7.68	$2.50	90.2%	25.9%	173.4%	40.7%	0.0%	8.3%	-6.8%	26.7K	-1.5M	-7.4K	0.00	69.00	N/A	N/A	55	0	4,585	146
2008-11-04	$7.60	$2.50	85.8%	24.6%	162.7%	37.7%	0.0%	6.9%	-7.5%	27.6K	-1.5M	-7.4K	0.00	27.31	N/A	N/A	10	0	4,640	146
2008-11-05	$7.51	$2.50	83.3%	23.9%	161.8%	35.9%	0.0%	-8.5%	-5.3%	27.2K	-1.5M	-7.3K	0.00	72.73	N/A	N/A	0	0	4,640	146
2008-11-06	$6.46	$2.50	74.1%	21.2%	160.9%	29.5%	0.0%	3.1%	-7.0%	20.4K	-919.1K	-5.8K	0.00	92.33	N/A	N/A	0	0	4,621	146
2008-11-07	$5.86	$5.00	62.4%	23.9%	165.0%	21.5%	0.0%	11.4%	-4.3%	16.1K	-668.5K	-4.7K	0.00	65.89	N/A	N/A	0	0	4,621	146
2008-11-10	$5.35	$5.00	79.2%	22.7%	142.7%	33.1%	0.0%	4.3%	-1.9%	12.9K	-472.5K	-3.8K	0.00	94.96	N/A	N/A	27	0	4,621	146
2008-11-11	$5.46	$5.00	74.2%	22.2%	142.3%	29.6%	0.0%	6.8%	3.7%	14.1K	-543.5K	-4.2K	0.00	96.96	N/A	N/A	0	0	4,636	146
2008-11-12	$4.92	$5.00	102.8%	25.2%	138.3%	49.3%	87.9%	20.1%	-8.7%	10.6K	-343.2K	-3.2K	0.00	73.57	N/A	N/A	0	15	4,636	146
2008-11-13	$5.60	$5.00	73.4%	21.0%	145.9%	29.1%	73.4%	32.4%	4.4%	14.9K	-572.4K	-4.2K	0.05	107.76	N/A	N/A	1,000	46	4,636	141
2008-11-14	$5.11	$5.00	78.1%	22.4%	148.6%	32.3%	0.0%	23.3%	-1.1%	12.0K	-480.2K	-3.5K	0.00	81.58	N/A	N/A	0	0	4,621	160
2008-11-17	$4.92	$5.00	96.9%	27.8%	146.2%	45.3%	96.9%	28.2%	-5.1%	10.9K	-475.8K	-3.6K	1.67	20.64	N/A	N/A	30	50	4,636	160
2008-11-18	$4.80	$5.00	93.9%	26.9%	146.2%	43.2%	0.0%	-11.3%	-4.7%	9.9K	-403.0K	-3.3K	0.00	19.74	N/A	N/A	0	0	4,666	200
2008-11-19	$4.39	$5.00	94.9%	27.2%	144.7%	43.9%	94.5%	15.7%	-5.0%	8.4K	-375.7K	-3.0K	0.04	57.32	N/A	N/A	736	28	4,666	200
2008-11-20	$4.11	$5.00	94.2%	27.0%	141.2%	43.5%	0.0%	2.1%	-3.3%	7.5K	-334.5K	-2.7K	0.00	102.61	N/A	N/A	200	0	4,678	228
2008-11-21	$4.63	$5.00	105.0%	30.1%	146.3%	50.9%	0.0%	14.4%	-9.8%	9.2K	-482.6K	-3.4K	0.00	61.37	N/A	N/A	611	0	4,693	228
2008-11-24	$5.16	$5.00	104.0%	29.8%	150.9%	50.2%	0.0%	51.7%	-0.6%	11.1K	-627.6K	-3.8K	0.00	80.60	N/A	N/A	0	0	4,481	218
2008-11-25	$5.07	$5.00	100.1%	28.7%	148.7%	47.5%	0.0%	4.2%	-6.7%	10.4K	-603.2K	-3.7K	0.00	60.28	N/A	N/A	502	0	4,495	218
2008-11-26	$5.64	$5.00	96.6%	27.7%	144.3%	45.1%	0.0%	8.3%	-6.5%	11.8K	-847.5K	-4.2K	0.00	61.81	N/A	N/A	0	10	4,505	218
2008-11-28	$5.79	$5.00	90.9%	26.1%	142.2%	41.2%	0.0%	13.3%	2.8%	12.6K	-921.8K	-4.4K	0.00	83.76	N/A	N/A	0	0	4,672	228