VICR Options History — January 2012

In January 2012, VICR traded between $7.70 and $8.93. ATM implied volatility averaged 50.4%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 7.5% (HV 20d: 42.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.33.

Notable Days

2012-01-09: Highest Volume — 50 contracts
2012-01-12: Largest IV spike — 35.7% change
2012-01-12: Highest IV Rank — 59.5%
2012-01-12: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.08	$7.70	$8.93	$8.18	$8.93
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	50.4%	36.1%	60.9%	42.4%	36.1%
Expected Move	15.1%	10.4%	17.5%	12.2%	10.4%
HV 20d	42.9%	31.0%	55.3%	55.3%	38.5%
HV 60d	58.6%	55.0%	63.2%	63.2%	56.1%
IV Rank	43.0%	20.8%	59.5%	30.6%	20.8%
IV Percentile	59.6%	18.3%	88.1%	34.1%	18.3%
Term Structure	4.5%	-2.5%	20.4%	13.2%	10.5%
Skew 25d	16.2%	-4.6%	42.3%	-2.3%	8.1%
Skew 10d	39.9%	4.1%	81.9%	15.4%	35.2%
Call IV 25d	44.8%	36.6%	49.8%	44.6%	44.7%
Put IV 25d	61.1%	42.3%	92.2%	42.3%	52.8%
Bid-Ask Spread %	46.75	29.38	61.81	29.38	60.50
Gamma HHI	0.54	0.48	0.69	0.48	0.52
Net GEX	1.0K	-1.1K	3.8K	147	-1.1K
Net DEX	215.9K	12.6K	364.9K	356.5K	12.9K
Net VEX	-498	-579	-442	-579	-491
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.00	1.30	0.00	1.30
Total Volume	6.25	0	50	0	46
Total OI	821.95	355	1,113	1,063	380

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
2012-01-03	$8.18	$12.50	42.4%	12.2%	55.3%	30.6%	0.0%	-2.3%	13.2%	147	356.5K	-579	0.00	29.38	N/A	N/A	0	0	441	622
2012-01-04	$7.98	$12.50	40.6%	11.7%	53.2%	27.8%	0.0%	-4.6%	20.4%	546	359.3K	-541	0.00	30.36	N/A	N/A	0	0	441	622
2012-01-05	$7.98	$12.50	41.9%	12.0%	52.8%	29.8%	0.0%	-4.6%	20.0%	556	359.8K	-536	0.00	31.48	N/A	N/A	0	0	441	622
2012-01-06	$7.70	$0.00	49.6%	16.7%	54.0%	41.9%	0.0%	13.2%	-0.0%	473	352.7K	-532	0.00	45.02	N/A	N/A	0	0	441	622
2012-01-09	$7.81	$0.00	43.5%	16.8%	50.4%	32.3%	0.0%	39.0%	-0.4%	1.6K	364.9K	-487	0.00	44.93	N/A	N/A	50	0	441	622
2012-01-10	$7.82	$0.00	49.4%	16.3%	46.3%	41.5%	0.0%	14.6%	1.9%	2.0K	331.3K	-529	0.00	43.07	N/A	N/A	2	0	491	622
2012-01-11	$7.99	$0.00	44.9%	17.2%	47.0%	34.4%	0.0%	37.3%	0.4%	2.1K	328.5K	-524	0.00	44.97	N/A	N/A	0	0	491	622
2012-01-12	$8.14	$0.00	60.9%	17.5%	45.3%	59.5%	0.0%	35.0%	-2.5%	1.5K	326.6K	-511	0.00	45.28	N/A	N/A	0	0	491	622
2012-01-13	$7.91	$0.00	58.1%	16.7%	43.3%	55.1%	0.0%	15.7%	1.3%	2.6K	326.2K	-521	0.00	44.25	N/A	N/A	0	0	491	622
2012-01-17	$7.74	$0.00	60.4%	17.3%	42.8%	58.7%	0.0%	42.3%	-0.8%	3.8K	267.5K	-479	0.00	46.46	N/A	N/A	0	0	491	537
2012-01-18	$8.04	$0.00	58.3%	16.7%	44.9%	55.4%	0.0%	15.9%	1.4%	1.7K	257.1K	-486	0.00	48.66	N/A	N/A	2	0	491	537
2012-01-19	$7.93	$0.00	60.4%	17.3%	45.0%	58.8%	0.0%	15.4%	-1.0%	2.4K	256.2K	-477	0.00	48.94	N/A	N/A	0	0	491	537
2012-01-20	$7.90	$0.00	57.3%	16.4%	33.7%	53.8%	0.0%	13.0%	2.2%	2.7K	258.4K	-469	0.00	52.12	N/A	N/A	0	0	491	537
2012-01-23	$7.99	$0.00	55.5%	15.9%	34.0%	51.0%	0.0%	29.4%	1.5%	144	28.6K	-453	0.00	54.15	N/A	N/A	0	0	170	185
2012-01-24	$8.05	$0.00	49.7%	14.2%	33.5%	42.0%	0.0%	15.8%	6.8%	204	30.8K	-450	0.00	58.32	N/A	N/A	0	0	170	185
2012-01-25	$8.23	$0.00	48.0%	13.8%	33.8%	39.3%	0.0%	15.7%	10.0%	63	24.6K	-460	0.00	57.14	N/A	N/A	0	0	170	185
2012-01-26	$8.24	$0.00	53.9%	15.4%	33.8%	48.5%	0.0%	8.7%	0.7%	99	25.3K	-442	0.00	54.54	N/A	N/A	0	25	170	185
2012-01-27	$8.27	$0.00	57.3%	16.4%	31.0%	53.9%	0.0%	14.9%	-2.0%	-252	38.4K	-490	0.00	33.58	N/A	N/A	0	0	170	210
2012-01-30	$8.84	$0.00	39.3%	11.3%	38.5%	25.7%	0.0%	2.1%	5.9%	-962	12.6K	-505	0.00	61.81	N/A	N/A	0	0	170	210
2012-01-31	$8.93	$0.00	36.1%	10.4%	38.5%	20.8%	0.0%	8.1%	10.5%	-1.1K	12.9K	-491	1.30	60.50	N/A	N/A	20	26	170	210