VICR Options History — January 2010

In January 2010, VICR traded between $8.64 and $9.92. ATM implied volatility averaged 48.2%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 13.3% (HV 20d: 34.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.36.

Notable Days

2010-01-15: Highest Volume — 540 contracts
2010-01-06: Largest IV spike — 35.9% change
2010-01-29: Highest IV Rank — 31.7%
2010-01-29: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.24	$8.64	$9.92	$9.53	$8.66
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	48.2%	37.9%	55.1%	45.6%	55.1%
Expected Move	14.5%	11.8%	15.8%	14.9%	15.8%
HV 20d	34.9%	26.7%	45.0%	45.0%	39.7%
HV 60d	48.7%	47.4%	50.4%	48.8%	48.6%
IV Rank	22.0%	7.7%	31.7%	18.5%	31.7%
IV Percentile	17.0%	3.6%	36.1%	10.3%	36.1%
Term Structure	-0.2%	-5.2%	6.1%	2.0%	3.8%
VWIV	52.5%	50.5%	54.2%	53.8%	50.5%
Bid-Ask Spread %	77.38	26.69	99.84	85.37	98.08
Gamma HHI	0.78	0.43	1.00	1.00	0.44
Net GEX	20.3K	-328	62.9K	36.8K	1.6K
Net DEX	-282.0K	-880.7K	-20.9K	-616.1K	-20.9K
Net VEX	-2.5K	-2.9K	-2.0K	-2.9K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	1.77	0.00	0.00
Total Volume	43.842	0	540	0	0
Total OI	2,400.947	1,667	3,060	2,960	1,824

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
2010-01-04	$9.53	$0.00	45.6%	14.9%	45.0%	18.5%	0.0%	0.0%	2.0%	36.8K	-616.1K	-2.9K	0.00	85.37	N/A	N/A	0	0	2,086	874
2010-01-05	$9.34	$0.00	37.9%	15.6%	35.4%	7.7%	0.0%	0.0%	-1.9%	34.9K	-373.4K	-2.6K	0.00	84.18	N/A	N/A	0	0	2,086	874
2010-01-06	$9.27	$0.00	51.5%	15.5%	26.9%	26.6%	0.0%	0.0%	-0.4%	29.2K	-482.0K	-2.8K	0.00	62.65	N/A	N/A	0	0	2,086	874
2010-01-07	$9.45	$0.00	48.1%	14.5%	26.7%	21.9%	0.0%	0.0%	2.8%	36.5K	-529.5K	-2.7K	0.00	26.69	N/A	N/A	0	0	2,086	874
2010-01-08	$9.92	$0.00	43.2%	14.9%	31.6%	15.1%	53.8%	0.0%	1.1%	62.9K	-880.7K	-2.9K	0.00	62.07	N/A	N/A	0	50	2,086	874
2010-01-11	$9.69	$10.00	44.1%	15.2%	29.7%	16.4%	0.0%	0.0%	-0.4%	62.3K	-574.3K	-2.6K	0.00	62.74	N/A	N/A	19	0	2,086	924
2010-01-12	$9.35	$10.00	52.2%	15.1%	32.9%	27.7%	0.0%	0.0%	-0.5%	32.9K	-283.9K	-2.3K	0.00	31.07	N/A	N/A	0	0	2,096	924
2010-01-13	$9.42	$10.00	54.3%	14.8%	32.8%	30.6%	0.0%	0.0%	0.7%	37.3K	-287.7K	-2.3K	0.00	90.47	N/A	N/A	0	0	2,096	924
2010-01-14	$9.50	$10.00	51.3%	14.7%	32.2%	26.4%	51.3%	0.0%	1.2%	45.4K	-368.0K	-2.3K	0.00	89.46	N/A	N/A	50	0	2,096	924
2010-01-15	$9.30	$10.00	54.2%	15.5%	33.2%	30.4%	54.2%	0.0%	-5.2%	1.4K	-106.8K	-2.0K	1.77	88.21	N/A	N/A	195	345	2,136	924
2010-01-19	$9.49	$10.00	50.5%	14.5%	32.8%	25.3%	50.5%	0.0%	-2.7%	-328	-186.9K	-2.6K	0.37	91.45	N/A	N/A	30	11	882	785
2010-01-20	$9.20	$10.00	51.0%	14.6%	35.0%	26.0%	0.0%	0.0%	-4.9%	516	-121.5K	-2.6K	0.00	72.73	N/A	N/A	0	0	912	796
2010-01-21	$8.80	$10.00	41.7%	12.0%	38.5%	13.0%	0.0%	0.0%	2.2%	435	-51.6K	-2.4K	0.00	99.84	N/A	N/A	0	0	912	796
2010-01-22	$8.86	$10.00	43.6%	12.5%	38.5%	15.7%	0.0%	0.0%	-3.6%	509	-55.3K	-2.4K	0.00	89.22	N/A	N/A	0	0	912	796
2010-01-25	$9.12	$10.00	53.5%	15.4%	37.4%	29.5%	0.0%	0.0%	-3.7%	426	-110.0K	-2.5K	0.00	94.72	N/A	N/A	3	0	912	799
2010-01-26	$8.99	$10.00	43.4%	12.4%	37.7%	15.4%	0.0%	0.0%	0.3%	444	-77.3K	-2.4K	0.00	80.48	N/A	N/A	130	0	915	799
2010-01-27	$8.98	$10.00	41.2%	11.8%	37.6%	12.4%	0.0%	0.0%	-0.5%	1.3K	-141.7K	-2.5K	0.00	98.17	N/A	N/A	0	0	1,025	799
2010-01-28	$8.64	$10.00	52.6%	15.1%	39.7%	28.2%	0.0%	0.0%	6.1%	1.4K	-90.6K	-2.4K	0.00	62.55	N/A	N/A	0	0	1,025	799
2010-01-29	$8.66	$10.00	55.1%	15.8%	39.7%	31.7%	0.0%	0.0%	3.8%	1.6K	-20.9K	-2.2K	0.00	98.08	N/A	N/A	0	0	1,025	799