VICR Options History — November 2011

In November 2011, VICR traded between $7.00 and $9.21. ATM implied volatility averaged 55.9%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 7.4% (HV 20d: 63.3%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2011-11-28: Highest Volume — 100 contracts
2011-11-09: Largest IV spike — 24.0% change
2011-11-21: Highest IV Rank — 67.2%
2011-11-21: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.34	$7.00	$9.21	$8.93	$8.02
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	55.9%	41.0%	65.8%	49.0%	54.7%
Expected Move	16.3%	11.1%	18.9%	14.1%	15.7%
HV 20d	63.3%	56.8%	72.6%	66.8%	72.6%
HV 60d	73.4%	71.2%	78.8%	78.8%	74.8%
IV Rank	51.6%	28.3%	67.2%	41.0%	49.8%
IV Percentile	77.4%	33.3%	95.2%	71.0%	76.2%
Term Structure	1.9%	-7.4%	17.0%	-2.9%	11.5%
Skew 25d	9.5%	-11.4%	60.4%	-11.4%	33.5%
Skew 10d	25.8%	-11.2%	101.8%	-11.2%	101.8%
Call IV 25d	53.6%	32.4%	66.3%	58.0%	49.7%
Put IV 25d	63.2%	39.4%	120.0%	46.6%	83.2%
Bid-Ask Spread %	38.96	24.35	55.88	40.58	24.35
Gamma HHI	0.51	0.40	0.75	0.75	0.40
Net GEX	-99	-1.4K	2.5K	2.2K	-69
Net DEX	332.4K	266.9K	372.7K	269.7K	266.9K
Net VEX	-752	-1.2K	-276	-1.2K	-624
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	11.571	0	100	0	0
Total OI	1,588.048	824	1,966	1,954	911

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-11-01	$8.93	$10.00	49.0%	14.1%	66.8%	41.0%	0.0%	-11.4%	-2.9%	2.2K	269.7K	-1.2K	40.58	N/A	N/A	0	0	1,352	602
2011-11-02	$8.63	$10.00	44.5%	12.8%	67.3%	33.9%	0.0%	0.9%	16.6%	-116	339.8K	-950	48.33	N/A	N/A	0	0	1,352	602
2011-11-03	$9.21	$10.00	45.9%	13.2%	68.6%	36.1%	0.0%	-2.8%	-0.4%	2.5K	269.3K	-1.2K	42.51	N/A	N/A	0	0	1,352	602
2011-11-04	$8.79	$10.00	41.0%	15.8%	64.4%	28.3%	0.0%	9.0%	0.5%	417	324.3K	-1.0K	30.81	N/A	N/A	0	0	1,352	602
2011-11-07	$8.76	$10.00	44.9%	15.5%	62.6%	34.5%	0.0%	10.2%	1.7%	292	333.4K	-942	34.39	N/A	N/A	0	0	1,352	602
2011-11-08	$8.87	$10.00	44.8%	11.1%	62.8%	34.3%	0.0%	6.9%	17.0%	814	345.9K	-929	55.88	N/A	N/A	0	0	1,352	602
2011-11-09	$8.44	$10.00	55.5%	17.0%	63.5%	51.1%	0.0%	20.1%	-1.1%	-658	363.3K	-767	45.88	N/A	N/A	0	0	1,352	602
2011-11-10	$8.71	$10.00	50.5%	14.5%	64.2%	43.2%	0.0%	21.9%	16.3%	-129	352.3K	-878	50.22	N/A	N/A	0	0	1,352	602
2011-11-11	$9.06	$10.00	58.9%	16.9%	65.9%	56.4%	0.0%	-0.0%	-7.4%	1.9K	323.5K	-977	41.69	N/A	N/A	91	0	1,352	602
2011-11-14	$8.57	$10.00	62.7%	18.0%	66.8%	62.3%	0.0%	0.4%	0.9%	-631	360.8K	-788	34.21	N/A	N/A	10	0	1,364	602
2011-11-15	$8.68	$10.00	63.0%	18.1%	63.8%	62.9%	0.0%	0.3%	-0.5%	-82	364.7K	-784	40.39	N/A	N/A	0	0	1,354	602
2011-11-16	$8.54	$10.00	59.5%	17.1%	61.4%	57.4%	0.0%	-6.4%	4.3%	-1.4K	365.2K	-774	40.03	N/A	N/A	0	0	1,354	602
2011-11-17	$8.45	$10.00	59.7%	17.1%	61.1%	57.7%	0.0%	-4.5%	-2.7%	-1.3K	372.7K	-704	42.97	N/A	N/A	0	0	1,354	602
2011-11-18	$8.50	$10.00	60.5%	17.3%	59.0%	58.9%	0.0%	14.1%	-1.2%	-1.4K	367.6K	-746	49.36	N/A	N/A	0	0	1,354	602
2011-11-21	$8.04	$10.00	65.8%	18.9%	57.4%	67.2%	0.0%	16.5%	-5.6%	-1.3K	349.0K	-525	44.80	N/A	N/A	0	20	297	542
2011-11-22	$7.71	$10.00	63.1%	18.1%	57.6%	62.9%	0.0%	11.6%	-2.9%	-1.1K	337.3K	-462	44.26	N/A	N/A	2	0	297	527
2011-11-23	$7.25	$10.00	61.8%	17.7%	56.8%	60.8%	0.0%	7.2%	1.3%	-867	334.8K	-356	27.27	N/A	N/A	0	0	299	527
2011-11-25	$7.00	$10.00	62.0%	17.8%	57.3%	61.2%	0.0%	2.8%	-2.4%	-697	333.7K	-276	27.13	N/A	N/A	20	0	299	527
2011-11-28	$7.55	$10.00	61.6%	17.7%	64.8%	60.6%	0.0%	60.4%	-1.9%	-568	337.0K	-341	26.01	N/A	N/A	100	0	319	517
2011-11-29	$7.35	$10.00	63.9%	18.3%	64.0%	64.2%	0.0%	9.7%	-0.8%	131	268.4K	-502	27.09	N/A	N/A	0	0	419	492
2011-11-30	$8.02	$10.00	54.7%	15.7%	72.6%	49.8%	0.0%	33.5%	11.5%	-69	266.9K	-624	24.35	N/A	N/A	0	0	419	492