VICR Options History — December 2011

In December 2011, VICR traded between $7.50 and $8.37. ATM implied volatility averaged 49.6%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 18.0% (HV 20d: 67.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.20.

Notable Days

2011-12-21: Highest Volume — 60 contracts
2011-12-22: Largest IV drop — 31.7% change
2011-12-15: Highest IV Rank — 60.4%
2011-12-05: Largest Expected Move — 17.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.02	$7.50	$8.37	$7.88	$7.96
Max Pain	$12.26	$10.00	$12.50	$10.00	$12.50
ATM IV	49.6%	37.7%	61.5%	51.2%	39.5%
Expected Move	14.9%	10.8%	17.8%	14.7%	11.3%
HV 20d	67.6%	54.5%	74.1%	72.0%	54.5%
HV 60d	73.2%	64.0%	75.6%	74.3%	64.0%
IV Rank	41.9%	23.2%	60.4%	44.4%	26.0%
IV Percentile	61.4%	22.2%	88.5%	72.2%	29.0%
Term Structure	6.6%	-6.7%	19.1%	-4.0%	12.3%
Skew 25d	10.3%	-7.2%	23.6%	-3.6%	-7.2%
Skew 10d	19.1%	10.8%	27.0%	22.9%	19.1%
Call IV 25d	43.6%	36.2%	58.9%	56.7%	44.0%
Put IV 25d	54.0%	36.8%	61.3%	53.1%	36.8%
Bid-Ask Spread %	42.42	27.05	141.85	40.54	84.22
Gamma HHI	0.45	0.39	0.49	0.40	0.49
Net GEX	11	-474	506	-43	506
Net DEX	296.1K	261.1K	344.2K	266.1K	344.2K
Net VEX	-540	-643	-403	-589	-542
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.20	0.20	0.20	0.20
Total Volume	8.571	0	60	0	20
Total OI	946.619	883	1,043	911	1,043

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
2011-12-01	$7.88	$10.00	51.2%	14.7%	72.0%	44.4%	0.0%	-3.6%	-4.0%	-43	266.1K	-589	0.00	40.54	N/A	N/A	0	0	419	492
2011-12-02	$7.85	$10.00	52.3%	15.0%	67.1%	46.0%	0.0%	-3.6%	-6.7%	10	269.4K	-580	0.00	39.81	N/A	N/A	0	0	419	492
2011-12-05	$8.24	$12.50	48.1%	17.8%	68.4%	39.5%	0.0%	23.6%	2.6%	-305	263.2K	-631	0.00	30.90	N/A	N/A	0	0	419	492
2011-12-06	$8.37	$12.50	46.6%	16.3%	68.7%	37.1%	0.0%	20.8%	7.6%	-457	261.1K	-643	0.00	34.21	N/A	N/A	0	0	419	492
2011-12-07	$8.26	$12.50	49.3%	15.9%	68.6%	41.4%	0.0%	17.9%	9.2%	-358	265.6K	-606	0.00	34.97	N/A	N/A	0	0	419	492
2011-12-08	$7.80	$12.50	50.6%	16.3%	69.3%	43.5%	0.0%	16.3%	8.2%	15	273.6K	-504	0.00	33.50	N/A	N/A	0	0	419	492
2011-12-09	$8.23	$12.50	49.6%	16.3%	71.2%	41.9%	0.0%	18.2%	8.9%	-179	276.3K	-565	0.00	34.01	N/A	N/A	0	0	419	492
2011-12-12	$8.16	$12.50	57.4%	16.5%	69.5%	54.0%	0.0%	17.0%	8.2%	-135	278.3K	-524	0.00	36.17	N/A	N/A	0	0	419	492
2011-12-13	$7.85	$12.50	49.9%	17.0%	68.1%	42.2%	0.0%	16.0%	5.5%	43	278.9K	-497	0.00	36.26	N/A	N/A	0	0	419	492
2011-12-14	$7.50	$12.50	59.9%	16.6%	69.3%	57.9%	0.0%	10.0%	7.7%	288	283.0K	-417	0.00	34.64	N/A	N/A	0	0	419	492
2011-12-15	$7.73	$12.50	61.5%	17.6%	70.4%	60.4%	0.0%	13.1%	4.1%	156	283.0K	-444	0.00	33.36	N/A	N/A	0	0	419	492
2011-12-16	$7.74	$12.50	58.1%	16.7%	70.4%	55.1%	0.0%	12.1%	7.9%	247	288.4K	-419	0.00	36.94	N/A	N/A	0	0	419	492
2011-12-19	$7.65	$12.50	58.3%	16.7%	70.4%	55.4%	0.0%	11.2%	0.2%	329	288.2K	-403	0.00	36.05	N/A	N/A	0	40	391	492
2011-12-20	$8.30	$12.50	46.3%	13.3%	74.1%	36.7%	0.0%	15.4%	18.4%	-326	314.9K	-525	0.00	35.94	N/A	N/A	0	10	391	532
2011-12-21	$8.23	$12.50	55.8%	16.0%	72.4%	51.4%	0.0%	15.7%	2.2%	-474	315.4K	-547	0.20	36.39	N/A	N/A	50	10	391	542
2011-12-22	$8.37	$12.50	38.1%	10.9%	68.3%	23.8%	0.0%	2.8%	19.1%	88	313.3K	-552	0.00	44.55	N/A	N/A	0	50	441	552
2011-12-23	$8.21	$12.50	37.7%	10.8%	67.3%	23.3%	0.0%	10.4%	-2.5%	47	336.8K	-611	0.00	141.85	N/A	N/A	0	0	441	602
2011-12-27	$8.18	$12.50	37.7%	10.8%	62.4%	23.2%	0.0%	1.5%	15.9%	256	344.0K	-574	0.00	29.74	N/A	N/A	0	0	441	602
2011-12-28	$7.89	$12.50	49.0%	14.1%	63.1%	41.0%	0.0%	9.8%	10.4%	302	338.2K	-582	0.00	27.05	N/A	N/A	0	0	441	602
2011-12-29	$7.95	$12.50	45.2%	13.0%	54.9%	34.9%	0.0%	-0.4%	3.9%	218	336.9K	-590	0.00	29.65	N/A	N/A	0	0	441	602
2011-12-30	$7.96	$12.50	39.5%	11.3%	54.5%	26.0%	0.0%	-7.2%	12.3%	506	344.2K	-542	0.00	84.22	N/A	N/A	0	20	441	602