VICR Options History — September 2012 In September 2012, VICR traded between $6.01 and $6.81. ATM implied volatility averaged 60.4%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 27.4% (HV 20d: 33.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2012-09-25 : Highest Volume — 20 contracts2012-09-24 : Largest IV spike — 320.4% change2012-09-04 : Highest IV Rank — 100.0%2012-09-04 : Largest Expected Move — 56.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.48 $6.01 $6.81 $6.14 $6.67 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 60.4% 35.5% 196.5% 196.5% 39.9% Expected Move 16.3% 10.1% 56.3% 56.3% 11.5% HV 20d 33.0% 27.1% 38.8% 29.2% 37.6% HV 60d 44.4% 40.4% 48.4% 47.3% 41.4% IV Rank 21.0% 6.6% 100.0% 100.0% 9.2% IV Percentile 49.6% 11.1% 100.0% 100.0% 23.0% Term Structure 1.9% -91.4% 22.2% -91.4% 12.1% Skew 25d 2.4% -15.3% 19.4% 11.7% 9.2% Skew 10d 2.1% -15.4% 19.5% 19.5% 9.6% Call IV 25d 41.3% 30.8% 52.1% 39.2% 40.8% Put IV 25d 43.7% 36.3% 52.6% 50.9% 50.0% Bid-Ask Spread % 46.99 9.92 165.43 165.43 36.97 Gamma HHI 0.38 0.34 0.48 0.35 0.37 Net GEX -585 -1.8K 1.2K -381 -1.2K Net DEX 121.7K 83.4K 147.2K 83.4K 116.9K Net VEX -653 -881 -545 -881 -575 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 2.474 0 20 0 0 Total OI 996.842 904 1,037 1,013 924
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 2012-09-04 $6.14 $7.50 196.5% 56.3% 29.2% 100.0% 0.0% 11.7% -91.4% -381 83.4K -881 0.00 165.43 N/A N/A 0 0 473 540 2012-09-05 $6.01 $7.50 55.4% 15.9% 27.1% 18.2% 0.0% -6.8% -21.2% 828 143.6K -571 0.00 17.88 N/A N/A 0 0 473 540 2012-09-06 $6.30 $7.50 41.7% 12.0% 31.2% 10.2% 0.0% 4.9% -12.5% -70 141.1K -569 0.00 80.47 N/A N/A 0 10 473 540 2012-09-07 $6.36 $7.50 48.5% 12.3% 28.9% 14.1% 0.0% -11.3% 0.7% -425 120.9K -720 0.00 25.02 N/A N/A 0 0 473 550 2012-09-10 $6.22 $7.50 57.1% 12.0% 29.8% 19.2% 0.0% 2.3% 15.1% 178 143.9K -583 0.00 9.92 N/A N/A 0 10 473 550 2012-09-11 $6.34 $7.50 55.9% 10.1% 30.3% 18.5% 0.0% 7.4% 19.0% -201 147.2K -606 0.00 12.07 N/A N/A 0 0 473 560 2012-09-12 $6.43 $7.50 66.8% 12.8% 30.2% 24.8% 0.0% -15.3% 0.2% -53 133.2K -662 0.00 23.47 N/A N/A 0 0 473 560 2012-09-13 $6.65 $7.50 45.9% 13.2% 32.0% 12.7% 0.0% -5.1% 4.6% -1.2K 117.5K -729 0.00 25.12 N/A N/A 0 0 473 560 2012-09-14 $6.67 $7.50 46.5% 13.3% 31.7% 13.0% 0.0% -5.0% 4.6% -1.4K 116.6K -721 0.00 26.29 N/A N/A 0 7 473 560 2012-09-17 $6.48 $7.50 56.1% 16.1% 33.2% 18.5% 0.0% 0.0% 11.5% -689 120.1K -725 0.00 150.32 N/A N/A 0 0 473 564 2012-09-18 $6.72 $7.50 47.3% 13.6% 35.2% 13.4% 0.0% -2.4% 2.9% -1.3K 123.8K -692 0.00 25.70 N/A N/A 0 0 473 564 2012-09-19 $6.73 $7.50 47.4% 13.6% 34.5% 13.5% 0.0% -1.3% 3.7% -1.5K 120.7K -705 0.00 25.07 N/A N/A 0 0 473 564 2012-09-20 $6.57 $7.50 42.4% 12.2% 35.4% 10.6% 0.0% 16.2% 22.2% -789 128.4K -663 0.00 12.14 N/A N/A 0 0 473 564 2012-09-21 $6.60 $7.50 35.5% 10.2% 35.3% 6.6% 0.0% 11.0% 21.7% -1.2K 110.6K -615 0.00 12.96 N/A N/A 0 0 473 522 2012-09-24 $6.50 $7.50 149.1% 42.7% 35.7% 72.5% 0.0% 0.0% 0.0% 1.2K 100.9K -626 0.00 158.44 N/A N/A 0 0 419 485 2012-09-25 $6.49 $7.50 36.3% 10.4% 35.7% 7.1% 0.0% 5.1% 15.2% -560 127.7K -545 0.00 12.05 N/A N/A 20 0 419 485 2012-09-26 $6.51 $7.50 37.5% 10.7% 35.7% 7.7% 0.0% 0.5% 10.2% -598 119.9K -568 0.00 37.24 N/A N/A 0 0 439 485 2012-09-27 $6.81 $7.50 41.0% 11.8% 38.8% 9.8% 0.0% 19.4% 16.4% -1.8K 95.1K -649 0.00 36.25 N/A N/A 0 0 439 485 2012-09-28 $6.67 $7.50 39.9% 11.5% 37.6% 9.2% 0.0% 9.2% 12.1% -1.2K 116.9K -575 0.00 36.97 N/A N/A 0 0 439 485
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