VICR Options History — October 2012

In October 2012, VICR traded between $5.80 and $6.66. ATM implied volatility averaged 44.0%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 7.4% (HV 20d: 36.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.33.

Notable Days

2012-10-26: Highest Volume — 22 contracts
2012-10-11: Largest IV drop — 39.7% change
2012-10-18: Highest IV Rank — 21.3%
2012-10-18: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.28	$5.80	$6.66	$6.61	$6.38
Max Pain	$5.48	$5.00	$7.50	$7.50	$5.00
ATM IV	44.0%	33.5%	60.8%	41.7%	42.3%
Expected Move	12.2%	9.1%	17.4%	12.0%	12.1%
HV 20d	36.6%	33.3%	41.2%	37.3%	41.2%
HV 60d	39.7%	35.7%	42.2%	41.5%	36.2%
IV Rank	11.5%	5.4%	21.3%	10.2%	10.6%
IV Percentile	37.9%	6.3%	85.7%	28.6%	34.1%
Term Structure	5.9%	-15.3%	19.0%	14.2%	17.2%
VWIV	36.2%	36.2%	36.2%	36.2%	36.2%
Skew 25d	6.0%	-8.9%	22.8%	11.5%	7.8%
Skew 10d	11.0%	-5.9%	34.0%	17.5%	13.0%
Call IV 25d	41.9%	34.4%	50.8%	41.8%	38.8%
Put IV 25d	48.0%	38.1%	64.0%	53.3%	46.5%
Bid-Ask Spread %	27.26	12.58	68.05	14.90	15.81
Gamma HHI	0.49	0.35	0.65	0.39	0.65
Net GEX	831	-972	1.9K	-873	1.9K
Net DEX	117.9K	78.7K	157.1K	121.2K	79.1K
Net VEX	-393	-531	-287	-531	-300
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.00	1.00	0.00	0.00
Total Volume	3.667	0	22	0	0
Total OI	814.714	540	944	924	562

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
2012-10-01	$6.61	$7.50	41.7%	12.0%	37.3%	10.2%	0.0%	11.5%	14.2%	-873	121.2K	-531	0.00	14.90	N/A	N/A	0	0	439	485
2012-10-02	$6.47	$7.50	42.2%	12.1%	37.9%	10.5%	0.0%	5.5%	8.6%	-271	126.3K	-511	0.00	13.47	N/A	N/A	0	0	439	485
2012-10-03	$6.43	$7.50	45.1%	12.9%	37.0%	12.2%	0.0%	10.2%	-10.0%	-140	129.1K	-491	0.00	14.04	N/A	N/A	0	0	439	485
2012-10-04	$6.65	$7.50	43.8%	12.5%	35.2%	11.4%	0.0%	14.4%	8.1%	-972	123.2K	-509	0.00	14.29	N/A	N/A	0	0	439	485
2012-10-05	$6.66	$5.00	40.0%	14.8%	35.1%	9.2%	0.0%	-5.1%	-1.6%	-886	120.3K	-517	0.00	29.57	N/A	N/A	0	20	439	485
2012-10-08	$6.54	$5.00	43.8%	12.1%	34.7%	11.4%	0.0%	-8.9%	0.4%	-196	142.7K	-492	0.00	36.14	N/A	N/A	0	0	439	505
2012-10-09	$6.33	$5.00	47.6%	9.1%	36.3%	13.6%	0.0%	3.6%	15.9%	160	139.7K	-470	0.00	44.62	N/A	N/A	0	0	439	505
2012-10-10	$6.39	$5.00	55.5%	10.0%	36.1%	18.2%	0.0%	4.5%	9.3%	402	157.1K	-386	0.00	48.06	N/A	N/A	0	0	439	505
2012-10-11	$6.49	$5.00	33.5%	9.6%	34.3%	5.4%	0.0%	6.6%	16.1%	1.6K	147.8K	-417	0.00	68.05	N/A	N/A	3	0	439	489
2012-10-12	$6.27	$5.00	35.7%	10.2%	36.2%	6.7%	0.0%	-0.5%	13.6%	1.5K	146.5K	-403	0.00	48.21	N/A	N/A	0	0	442	489
2012-10-15	$6.35	$5.00	38.6%	11.1%	35.3%	8.4%	0.0%	8.0%	17.7%	1.6K	149.8K	-386	0.00	19.58	N/A	N/A	0	0	442	489
2012-10-16	$6.47	$5.00	37.6%	10.8%	33.3%	7.8%	0.0%	7.1%	14.7%	1.6K	115.4K	-400	0.00	50.31	N/A	N/A	0	0	442	440
2012-10-17	$6.23	$5.00	47.2%	13.5%	35.6%	13.4%	0.0%	5.3%	-10.5%	1.6K	121.7K	-358	0.00	19.26	N/A	N/A	0	0	442	440
2012-10-18	$6.01	$5.00	60.8%	17.4%	36.8%	21.3%	0.0%	20.3%	3.2%	1.6K	124.7K	-324	0.00	31.21	N/A	N/A	0	0	442	440
2012-10-19	$5.80	$5.00	46.1%	13.2%	38.2%	12.7%	36.2%	-5.0%	1.6%	1.5K	126.7K	-287	1.00	19.16	N/A	N/A	5	5	442	440
2012-10-22	$5.85	$5.00	44.8%	12.9%	38.4%	12.0%	0.0%	22.8%	7.7%	1.5K	78.7K	-295	0.00	19.17	N/A	N/A	0	11	298	242
2012-10-23	$5.97	$5.00	38.5%	11.0%	39.4%	8.4%	0.0%	7.3%	19.0%	1.5K	79.2K	-297	0.00	15.90	N/A	N/A	0	11	298	253
2012-10-24	$5.93	$5.00	43.8%	12.5%	39.4%	11.4%	0.0%	2.4%	6.9%	1.4K	83.0K	-293	0.00	20.32	N/A	N/A	0	0	298	264
2012-10-25	$6.03	$5.00	47.0%	13.5%	35.7%	13.3%	0.0%	4.7%	-12.9%	1.5K	81.4K	-294	0.00	17.73	N/A	N/A	0	0	298	264
2012-10-26	$6.04	$5.00	47.7%	13.7%	35.4%	13.7%	0.0%	4.3%	-15.3%	1.5K	81.5K	-294	0.00	12.58	N/A	N/A	22	0	298	264
2012-10-31	$6.38	$5.00	42.3%	12.1%	41.2%	10.6%	0.0%	7.8%	17.2%	1.9K	79.1K	-300	0.00	15.81	N/A	N/A	0	0	298	264