VICR Options History — April 2012 In April 2012, VICR traded between $6.97 and $8.38. ATM implied volatility averaged 44.3%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 2.4% (HV 20d: 41.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-04-12 : Highest Volume — 75 contracts2012-04-12 : Largest IV spike — 37.9% change2012-04-30 : Highest IV Rank — 46.2%2012-04-09 : Largest Expected Move — 15.1%Monthly Statistics Metric Avg Min Max Open Close Price $7.64 $6.97 $8.38 $8.38 $6.97 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 44.3% 31.6% 52.4% 35.2% 52.4% Expected Move 13.1% 9.1% 15.1% 10.1% 15.0% HV 20d 41.9% 36.6% 46.8% 44.9% 42.6% HV 60d 46.1% 44.4% 47.4% 45.9% 44.8% IV Rank 33.6% 13.7% 46.2% 19.3% 46.2% IV Percentile 43.0% 8.3% 66.7% 16.7% 66.7% Term Structure 4.0% -4.3% 21.8% 13.4% -3.8% VWIV 50.5% 50.2% 50.9% 50.2% 50.9% Skew 25d 13.1% -11.6% 56.5% 3.4% 10.3% Skew 10d 26.0% -12.9% 86.1% -1.9% 6.4% Call IV 25d 45.5% 38.6% 54.3% 38.6% 54.3% Put IV 25d 58.6% 32.9% 108.0% 41.9% 64.6% Bid-Ask Spread % 32.20 25.00 41.95 40.11 37.22 Gamma HHI 0.77 0.50 0.92 0.50 0.80 Net GEX 4.8K 1.1K 13.0K 1.1K 1.8K Net DEX 154.0K 115.4K 196.5K 137.4K 168.7K Net VEX -539 -639 -400 -639 -400 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 10.7 0 75 1 0 Total OI 762.05 604 890 775 643
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 2012-04-02 $8.38 $7.50 35.2% 10.1% 44.9% 19.3% 0.0% 3.4% 13.4% 1.1K 137.4K -639 0.00 40.11 N/A N/A 0 1 347 428 2012-04-03 $7.98 $7.50 31.6% 9.1% 46.0% 13.7% 0.0% -11.6% 16.1% 3.5K 154.8K -600 0.00 41.95 N/A N/A 0 30 347 429 2012-04-04 $8.01 $7.50 32.0% 9.2% 46.0% 14.3% 0.0% -9.3% 21.8% 3.3K 164.1K -588 0.00 39.64 N/A N/A 0 0 347 437 2012-04-05 $7.83 $7.50 41.0% 11.8% 46.8% 28.4% 0.0% -8.6% -4.3% 2.9K 176.7K -601 0.00 38.70 N/A N/A 0 0 347 437 2012-04-09 $7.72 $7.50 43.0% 15.1% 45.6% 31.5% 0.0% 13.0% 3.0% 3.5K 183.2K -570 0.00 25.00 N/A N/A 3 0 347 437 2012-04-10 $7.61 $7.50 42.2% 14.0% 45.5% 30.2% 0.0% 11.0% 6.1% 4.2K 196.5K -507 0.00 26.57 N/A N/A 10 0 344 437 2012-04-11 $7.71 $7.50 36.4% 13.4% 43.8% 21.1% 0.0% 38.3% 8.2% 5.8K 170.7K -546 0.00 30.11 N/A N/A 0 0 354 422 2012-04-12 $7.85 $7.50 50.1% 14.4% 43.0% 42.7% 50.2% 13.4% -1.4% 5.0K 167.9K -474 0.00 28.33 N/A N/A 75 0 354 422 2012-04-13 $7.60 $7.50 48.2% 13.8% 44.4% 39.7% 0.0% 10.6% 2.8% 7.1K 145.1K -606 0.00 28.55 N/A N/A 0 0 429 422 2012-04-16 $7.69 $7.50 50.8% 14.6% 44.4% 43.7% 0.0% 12.2% -0.1% 8.4K 138.5K -564 0.00 29.36 N/A N/A 0 0 429 422 2012-04-17 $7.89 $7.50 47.8% 13.7% 38.4% 39.0% 0.0% 11.6% 3.3% 5.9K 115.4K -572 0.00 29.67 N/A N/A 0 0 429 422 2012-04-18 $7.60 $7.50 45.0% 12.9% 37.2% 34.6% 0.0% 9.5% 3.9% 10.5K 150.2K -519 0.00 28.50 N/A N/A 40 0 428 422 2012-04-19 $7.60 $7.50 47.4% 13.6% 36.8% 38.3% 0.0% 9.9% 1.9% 13.0K 128.6K -569 0.00 30.29 N/A N/A 0 0 468 422 2012-04-20 $7.62 $7.50 48.1% 13.8% 36.6% 39.5% 0.0% 7.3% -0.6% 9.6K 129.7K -566 0.00 31.09 N/A N/A 0 0 468 422 2012-04-23 $7.32 $7.50 50.9% 14.6% 38.2% 43.9% 50.9% 56.5% -0.7% 2.1K 142.6K -445 0.00 26.82 N/A N/A 0 45 279 325 2012-04-24 $7.50 $7.50 50.5% 14.5% 38.9% 43.3% 0.0% 54.4% 2.4% 1.8K 144.2K -533 0.00 33.26 N/A N/A 0 10 279 360 2012-04-25 $7.42 $7.50 45.7% 13.1% 38.7% 35.7% 0.0% 9.6% 1.0% 2.0K 159.6K -499 0.00 30.21 N/A N/A 0 0 279 370 2012-04-26 $7.20 $7.50 45.2% 13.0% 39.7% 35.0% 0.0% 9.5% 2.8% 2.0K 149.3K -507 0.00 32.36 N/A N/A 0 0 279 365 2012-04-27 $7.29 $7.50 43.3% 12.4% 40.2% 31.9% 0.0% 10.8% 3.3% 2.1K 156.7K -483 0.00 36.18 N/A N/A 0 0 279 364 2012-04-30 $6.97 $7.50 52.4% 15.0% 42.6% 46.2% 0.0% 10.3% -3.8% 1.8K 168.7K -400 0.00 37.22 N/A N/A 0 0 279 364
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