VICR Options History — November 2009

In November 2009, VICR traded between $6.75 and $8.49. ATM implied volatility averaged 45.9%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 12.7% (HV 20d: 58.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.05.

Notable Days

2009-11-09: Highest Volume — 945 contracts
2009-11-25: Largest IV spike — 23.7% change
2009-11-04: Highest IV Rank — 19.4%
2009-11-06: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.88	$6.75	$8.49	$6.75	$8.20
Max Pain	$5.50	$5.00	$7.50	$7.50	$5.00
ATM IV	45.9%	32.3%	56.6%	43.2%	34.9%
Expected Move	13.2%	9.3%	16.4%	12.4%	10.0%
HV 20d	58.6%	38.7%	63.7%	43.6%	58.4%
HV 60d	45.8%	37.5%	48.0%	37.7%	47.4%
IV Rank	8.2%	0.0%	19.4%	1.3%	3.1%
IV Percentile	4.5%	0.0%	17.9%	0.8%	0.8%
Term Structure	9.8%	-0.1%	22.3%	22.3%	16.2%
VWIV	49.9%	46.4%	53.8%	53.8%	46.4%
Bid-Ask Spread %	60.14	25.80	106.31	66.62	106.31
Gamma HHI	0.53	0.44	0.71	0.53	0.50
Net GEX	11.5K	3.0K	19.9K	3.0K	19.9K
Net DEX	-582.8K	-901.2K	164.6K	164.6K	-766.1K
Net VEX	-1.8K	-2.0K	-1.1K	-1.1K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.22	0.00	0.11
Total Volume	116.55	0	945	150	111
Total OI	2,515.45	1,748	3,042	1,748	2,618

Daily Data (20 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
2009-11-02	$6.75	$7.50	43.2%	12.4%	43.6%	1.3%	0.0%	0.0%	22.3%	3.0K	164.6K	-1.1K	0.00	66.62	N/A	N/A	150	0	1,084	664
2009-11-03	$6.78	$7.50	51.8%	14.9%	38.7%	12.9%	0.0%	0.0%	-0.1%	3.9K	46.7K	-1.2K	0.00	77.33	N/A	N/A	10	0	1,234	664
2009-11-04	$7.72	$7.50	56.6%	16.2%	61.6%	19.4%	0.0%	0.0%	4.1%	4.2K	-302.9K	-1.6K	0.11	62.09	N/A	N/A	190	20	1,244	664
2009-11-05	$7.83	$7.50	53.8%	15.4%	61.8%	15.5%	53.8%	0.0%	2.6%	6.3K	-376.1K	-1.8K	0.02	44.64	N/A	N/A	52	1	1,434	684
2009-11-06	$7.67	$5.00	55.0%	16.4%	61.0%	17.2%	0.0%	0.0%	1.8%	6.5K	-333.7K	-1.8K	0.00	35.55	N/A	N/A	115	0	1,485	684
2009-11-09	$7.84	$5.00	51.5%	13.7%	61.5%	12.5%	47.8%	0.0%	9.2%	9.2K	-423.6K	-1.7K	0.06	29.36	N/A	N/A	895	50	1,585	684
2009-11-10	$7.73	$5.00	43.4%	12.9%	61.6%	1.5%	0.0%	0.0%	10.8%	8.1K	-546.2K	-1.8K	0.00	72.02	N/A	N/A	100	0	1,850	734
2009-11-11	$7.84	$5.00	45.4%	13.9%	61.8%	4.2%	0.0%	0.0%	7.9%	9.1K	-609.2K	-2.0K	0.00	66.08	N/A	N/A	0	10	1,950	734
2009-11-12	$7.55	$5.00	51.8%	14.8%	62.6%	12.9%	51.8%	0.0%	5.3%	6.3K	-464.9K	-1.9K	0.00	25.80	N/A	N/A	264	0	1,950	744
2009-11-13	$7.96	$5.00	52.5%	15.0%	63.4%	13.8%	0.0%	0.0%	5.7%	10.9K	-741.1K	-2.0K	0.00	27.22	N/A	N/A	0	0	2,150	744
2009-11-16	$8.13	$5.00	46.6%	13.4%	63.7%	5.9%	46.4%	0.0%	10.2%	14.0K	-844.8K	-1.9K	0.00	72.70	N/A	N/A	15	0	2,150	744
2009-11-17	$7.91	$5.00	53.9%	15.4%	59.5%	15.7%	0.0%	0.0%	5.1%	10.8K	-735.7K	-1.9K	0.19	72.33	N/A	N/A	21	4	2,165	744
2009-11-18	$8.11	$5.00	47.4%	13.6%	59.7%	7.0%	0.0%	0.0%	9.4%	14.6K	-857.6K	-1.9K	0.00	41.64	N/A	N/A	0	50	2,185	744
2009-11-19	$8.04	$5.00	44.4%	12.7%	59.8%	2.9%	0.0%	0.0%	14.8%	14.0K	-826.1K	-1.9K	0.00	38.84	N/A	N/A	63	0	2,185	794
2009-11-20	$8.15	$5.00	40.4%	11.6%	57.7%	0.0%	0.0%	0.0%	16.0%	18.2K	-901.2K	-1.9K	0.00	74.74	N/A	N/A	0	0	2,248	794
2009-11-23	$8.49	$5.00	33.4%	9.6%	58.9%	0.0%	0.0%	0.0%	20.5%	16.5K	-853.2K	-1.9K	0.00	69.04	N/A	N/A	0	0	2,004	414
2009-11-24	$8.48	$5.00	32.3%	9.3%	58.6%	0.0%	0.0%	0.0%	14.5%	16.7K	-828.5K	-1.7K	0.22	84.53	N/A	N/A	90	20	2,004	414
2009-11-25	$8.30	$5.00	40.0%	11.5%	58.6%	9.1%	0.0%	0.0%	14.5%	18.2K	-744.2K	-1.8K	0.00	43.25	N/A	N/A	100	0	2,084	434
2009-11-27	$8.13	$5.00	39.7%	11.4%	59.4%	8.8%	0.0%	0.0%	4.3%	19.3K	-712.1K	-1.9K	0.00	92.67	N/A	N/A	0	0	2,184	434
2009-11-30	$8.20	$5.00	34.9%	10.0%	58.4%	3.1%	0.0%	0.0%	16.2%	19.9K	-766.1K	-1.8K	0.11	106.31	N/A	N/A	100	11	2,184	434