VICR Options History — September 2009

In September 2009, VICR traded between $6.92 and $7.72. ATM implied volatility averaged 58.6%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 28.5% (HV 20d: 30.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2009-09-18: Highest Volume — 685 contracts
2009-09-02: Largest IV spike — 13.6% change
2009-09-30: Highest IV Rank — 21.3%
2009-09-30: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.22	$6.92	$7.72	$7.03	$7.72
Max Pain	$5.36	$5.00	$7.50	$7.50	$5.00
ATM IV	58.6%	48.5%	65.2%	49.3%	65.2%
Expected Move	17.1%	13.9%	18.7%	14.1%	18.7%
HV 20d	30.1%	25.8%	35.2%	35.2%	29.7%
HV 60d	43.6%	36.4%	57.6%	57.6%	36.4%
IV Rank	17.0%	11.9%	21.3%	12.5%	21.3%
IV Percentile	19.5%	2.4%	35.7%	4.8%	35.7%
Term Structure	0.5%	-6.9%	13.8%	13.8%	-4.9%
VWIV	60.2%	54.4%	65.2%	62.4%	65.2%
Bid-Ask Spread %	36.04	21.80	59.92	59.51	35.20
Gamma HHI	0.62	0.48	0.71	0.48	0.68
Net GEX	2.2K	970	2.7K	970	2.7K
Net DEX	-327.9K	-513.0K	-213.1K	-284.8K	-513.0K
Net VEX	-1.2K	-1.4K	-1.0K	-1.4K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.00	2.81	0.00	0.00
Total Volume	48.143	0	685	0	60
Total OI	2,275.667	2,102	2,371	2,261	2,193

Daily Data (21 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
2009-09-01	$7.03	$7.50	49.3%	14.1%	35.2%	12.5%	0.0%	0.0%	13.8%	970	-284.8K	-1.4K	0.00	59.51	N/A	N/A	0	0	1,301	960
2009-09-02	$6.92	$7.50	56.0%	16.1%	32.0%	17.1%	0.0%	0.0%	6.8%	1.0K	-258.4K	-1.3K	0.00	50.96	N/A	N/A	80	0	1,301	960
2009-09-03	$6.95	$7.50	48.5%	13.9%	31.7%	11.9%	0.0%	0.0%	7.1%	2.0K	-264.2K	-1.3K	0.00	46.39	N/A	N/A	0	0	1,381	960
2009-09-04	$7.12	$5.00	54.3%	17.9%	33.1%	15.9%	62.4%	0.0%	-0.7%	2.1K	-314.8K	-1.3K	0.00	51.82	N/A	N/A	4	0	1,381	960
2009-09-08	$7.10	$5.00	60.7%	18.0%	32.2%	18.1%	0.0%	0.0%	1.3%	2.3K	-314.5K	-1.3K	0.00	56.04	N/A	N/A	0	0	1,381	960
2009-09-09	$7.15	$5.00	53.6%	18.4%	31.5%	13.0%	0.0%	0.0%	-1.6%	2.2K	-325.5K	-1.2K	0.00	50.29	N/A	N/A	0	0	1,381	960
2009-09-10	$7.18	$5.00	59.9%	17.2%	31.4%	17.4%	0.0%	0.0%	1.0%	2.7K	-341.7K	-1.2K	0.00	23.53	N/A	N/A	0	0	1,381	960
2009-09-11	$6.96	$5.00	63.4%	18.2%	31.2%	19.9%	0.0%	0.0%	-3.6%	2.4K	-220.2K	-1.1K	0.00	25.19	N/A	N/A	0	0	1,381	960
2009-09-14	$7.02	$5.00	64.9%	18.6%	30.7%	21.0%	0.0%	0.0%	-6.9%	2.4K	-225.8K	-1.0K	0.00	24.17	N/A	N/A	0	50	1,381	960
2009-09-15	$7.04	$5.00	62.6%	17.9%	28.3%	19.4%	0.0%	0.0%	-4.1%	2.4K	-213.1K	-1.0K	0.00	28.78	N/A	N/A	0	0	1,381	990
2009-09-16	$7.23	$5.00	63.9%	18.3%	27.6%	20.3%	0.0%	0.0%	-5.3%	2.3K	-305.6K	-1.1K	0.00	25.54	N/A	N/A	0	0	1,381	990
2009-09-17	$7.27	$5.00	62.7%	18.0%	27.5%	19.5%	0.0%	0.0%	-2.2%	2.0K	-318.1K	-1.1K	0.00	24.92	N/A	N/A	0	0	1,381	990
2009-09-18	$7.35	$5.00	56.0%	16.1%	26.6%	14.7%	56.0%	0.0%	2.2%	2.3K	-333.9K	-1.0K	2.81	27.29	N/A	N/A	180	505	1,381	990
2009-09-21	$7.39	$5.00	54.3%	15.6%	25.8%	13.5%	54.4%	0.0%	5.2%	1.7K	-354.3K	-1.1K	0.00	36.09	N/A	N/A	60	0	1,157	945
2009-09-22	$7.27	$5.00	55.5%	15.9%	26.1%	14.3%	0.0%	0.0%	5.0%	2.5K	-351.3K	-1.1K	0.00	21.80	N/A	N/A	0	0	1,217	945
2009-09-23	$7.18	$5.00	59.6%	17.1%	26.5%	17.2%	0.0%	0.0%	0.3%	2.3K	-335.3K	-1.1K	0.00	29.45	N/A	N/A	0	0	1,217	945
2009-09-24	$7.09	$5.00	57.2%	16.4%	26.7%	15.6%	0.0%	0.0%	-0.3%	2.4K	-264.9K	-1.0K	0.00	25.64	N/A	N/A	0	50	1,217	945
2009-09-25	$7.34	$5.00	59.4%	17.0%	29.7%	17.1%	59.4%	0.0%	-0.8%	2.2K	-354.8K	-1.2K	0.00	23.62	N/A	N/A	2	0	1,217	990
2009-09-28	$7.71	$5.00	62.2%	17.8%	34.4%	19.1%	62.2%	0.0%	-1.5%	2.4K	-489.6K	-1.2K	0.00	59.92	N/A	N/A	0	10	1,219	990
2009-09-29	$7.70	$5.00	61.9%	17.7%	34.4%	18.9%	61.9%	0.0%	-0.4%	2.7K	-501.2K	-1.1K	0.00	30.76	N/A	N/A	0	10	1,219	980
2009-09-30	$7.72	$5.00	65.2%	18.7%	29.7%	21.3%	65.2%	0.0%	-4.9%	2.7K	-513.0K	-1.1K	0.00	35.20	N/A	N/A	60	0	1,219	974