VICR Options History — February 2011

In February 2011, VICR traded between $14.97 and $17.28. ATM implied volatility averaged 43.8%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 9.8% (HV 20d: 34.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.62.

Notable Days

2011-02-23: Highest Volume — 839 contracts
2011-02-10: Largest IV spike — 52.1% change
2011-02-22: Highest IV Rank — 21.9%
2011-02-22: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.00	$14.97	$17.28	$15.32	$15.23
Max Pain	$15.26	$15.00	$17.50	$15.00	$15.00
ATM IV	43.8%	31.3%	51.7%	44.5%	45.0%
Expected Move	13.4%	12.2%	14.8%	12.7%	12.9%
HV 20d	34.0%	24.6%	52.7%	36.4%	51.0%
HV 60d	31.6%	27.8%	36.7%	34.0%	36.6%
IV Rank	15.6%	5.4%	21.9%	16.1%	16.5%
IV Percentile	42.7%	4.4%	82.9%	41.3%	42.1%
Term Structure	0.3%	-4.6%	5.4%	4.9%	-0.6%
VWIV	46.3%	42.3%	54.4%	44.4%	45.0%
Skew 25d	8.2%	-6.0%	19.7%	8.7%	19.7%
Skew 10d	11.7%	-9.6%	32.6%	12.1%	32.6%
Call IV 25d	40.0%	34.1%	47.3%	35.4%	37.1%
Put IV 25d	48.2%	40.2%	59.8%	44.1%	56.8%
Bid-Ask Spread %	84.99	75.50	96.34	96.34	92.41
Gamma HHI	0.32	0.26	0.47	0.47	0.26
Net GEX	-2.9K	-13.4K	3.0K	-8.5K	2.1K
Net DEX	-276.6K	-1.1M	651.4K	177.2K	466.3K
Net VEX	-6.3K	-6.9K	-5.6K	-6.7K	-6.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.00	3.25	0.00	0.00
Total Volume	138.526	0	839	66	23
Total OI	3,444.789	2,916	3,620	3,240	3,620

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
2011-02-01	$15.32	$15.00	44.5%	12.7%	36.4%	16.1%	44.4%	8.7%	4.9%	-8.5K	177.2K	-6.7K	0.00	96.34	N/A	N/A	66	0	1,572	1,668
2011-02-02	$15.52	$15.00	42.7%	12.2%	35.1%	14.7%	42.4%	9.2%	5.4%	-5.6K	6.4K	-6.8K	0.87	94.49	N/A	N/A	31	27	1,631	1,668
2011-02-03	$15.89	$15.00	44.7%	12.8%	35.7%	16.3%	0.0%	11.3%	4.8%	-5.3K	-188.6K	-6.7K	0.00	94.79	N/A	N/A	47	0	1,662	1,685
2011-02-04	$15.90	$15.00	43.9%	14.3%	32.5%	15.6%	0.0%	2.7%	-0.5%	-3.0K	-271.4K	-6.9K	0.00	78.97	N/A	N/A	0	10	1,709	1,685
2011-02-07	$16.05	$15.00	31.4%	14.0%	29.4%	5.5%	0.0%	3.6%	-0.4%	-1.6K	-458.9K	-6.3K	3.25	81.64	N/A	N/A	40	130	1,709	1,695
2011-02-08	$16.19	$15.00	38.6%	14.1%	28.3%	11.3%	48.1%	5.3%	-2.3%	-6.2K	-427.3K	-6.6K	0.00	80.81	N/A	N/A	40	0	1,689	1,825
2011-02-09	$16.23	$15.00	31.3%	14.3%	28.3%	5.4%	0.0%	7.9%	-2.7%	-2.0K	-541.7K	-6.5K	0.00	82.18	N/A	N/A	0	10	1,719	1,825
2011-02-10	$16.25	$15.00	47.6%	13.6%	28.2%	18.6%	0.0%	5.5%	-1.0%	-1.9K	-556.9K	-6.4K	0.00	84.62	N/A	N/A	0	10	1,719	1,835
2011-02-11	$16.27	$15.00	45.4%	13.0%	27.9%	16.8%	47.6%	7.9%	0.6%	-2.4K	-524.7K	-6.4K	0.00	83.61	N/A	N/A	0	20	1,719	1,845
2011-02-14	$16.26	$15.00	47.3%	13.6%	27.2%	18.4%	0.0%	4.9%	2.1%	-364	-548.3K	-6.1K	0.00	87.08	N/A	N/A	0	0	1,719	1,865
2011-02-15	$16.36	$15.00	47.1%	13.5%	26.9%	18.2%	51.0%	8.5%	-0.2%	-2.7K	-603.8K	-6.0K	0.00	82.53	N/A	N/A	237	0	1,719	1,865
2011-02-16	$16.37	$15.00	46.9%	13.4%	26.7%	18.0%	0.0%	9.1%	-0.3%	-2.4K	-597.9K	-5.9K	0.00	80.20	N/A	N/A	10	0	1,690	1,865
2011-02-17	$16.90	$15.00	45.7%	13.1%	25.0%	17.1%	46.3%	16.3%	-2.2%	-4.1K	-874.1K	-5.6K	0.00	77.48	N/A	N/A	20	0	1,700	1,865
2011-02-18	$17.28	$15.00	45.7%	13.1%	24.6%	17.1%	45.6%	16.4%	0.3%	-13.4K	-1.1M	-5.6K	0.88	82.23	N/A	N/A	243	215	1,688	1,865
2011-02-22	$16.94	$17.50	51.7%	14.8%	26.6%	21.9%	54.4%	17.6%	-4.6%	1.8K	-650.9K	-6.2K	0.03	75.50	N/A	N/A	325	10	1,415	1,501
2011-02-23	$14.99	$17.50	43.8%	12.6%	52.7%	15.5%	43.6%	-6.0%	1.8%	3.0K	335.4K	-5.7K	0.76	75.76	N/A	N/A	476	363	1,708	1,501
2011-02-24	$14.97	$15.00	46.6%	13.4%	52.3%	17.8%	44.8%	3.3%	-0.1%	1.3K	450.3K	-6.2K	2.73	92.65	N/A	N/A	37	101	1,776	1,690
2011-02-25	$15.00	$15.00	43.3%	12.4%	52.0%	15.1%	42.3%	4.3%	-0.1%	-3.9K	651.4K	-6.1K	0.09	91.56	N/A	N/A	129	12	1,746	1,793
2011-02-28	$15.23	$15.00	45.0%	12.9%	51.0%	16.5%	45.0%	19.7%	-0.6%	2.1K	466.3K	-6.2K	0.00	92.41	N/A	N/A	23	0	1,815	1,805