VICR Options History — November 2012

In November 2012, VICR traded between $5.12 and $6.47. ATM implied volatility averaged 55.0%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 7.6% (HV 20d: 47.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2012-11-28: Highest Volume — 286 contracts
2012-11-05: Largest IV spike — 92.1% change
2012-11-12: Highest IV Rank — 32.6%
2012-11-14: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.62	$5.12	$6.47	$6.36	$5.35
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	55.0%	36.0%	80.4%	46.9%	52.2%
Expected Move	13.9%	10.3%	16.8%	13.5%	15.0%
HV 20d	47.3%	40.5%	52.3%	40.5%	47.7%
HV 60d	39.5%	35.8%	42.6%	36.0%	42.2%
IV Rank	17.9%	6.9%	32.6%	13.3%	16.3%
IV Percentile	66.3%	14.7%	97.2%	50.8%	71.4%
Term Structure	5.1%	-14.0%	24.4%	-14.0%	3.0%
VWIV	51.0%	47.4%	54.5%	54.5%	51.7%
Skew 25d	17.7%	-14.0%	28.5%	3.3%	17.4%
Skew 10d	28.9%	-1.6%	45.2%	15.1%	32.6%
Call IV 25d	39.2%	27.7%	48.6%	48.0%	43.9%
Put IV 25d	56.9%	33.9%	62.7%	51.3%	61.3%
Bid-Ask Spread %	25.19	13.97	39.83	16.25	39.47
Gamma HHI	0.52	0.43	0.63	0.63	0.46
Net GEX	905	-626	1.9K	1.9K	1.8K
Net DEX	98.0K	48.3K	128.1K	76.2K	48.3K
Net VEX	-239	-379	-126	-320	-321
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.00	1.82	1.33	0.00
Total Volume	30.524	0	286	35	40
Total OI	648	536	1,030	562	1,030

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
2012-11-01	$6.36	$5.00	46.9%	13.5%	40.5%	13.3%	0.0%	3.3%	-14.0%	1.9K	76.2K	-320	1.33	16.25	N/A	N/A	15	20	298	264
2012-11-02	$6.47	$5.00	36.0%	10.3%	41.0%	6.9%	0.0%	-14.0%	17.3%	1.7K	78.7K	-379	0.00	14.74	N/A	N/A	0	0	304	284
2012-11-05	$6.11	$5.00	69.1%	11.8%	43.8%	26.1%	0.0%	15.5%	-10.2%	1.7K	92.4K	-287	0.00	16.30	N/A	N/A	0	20	304	284
2012-11-06	$6.23	$5.00	69.8%	11.1%	44.5%	26.5%	0.0%	6.3%	-0.1%	1.6K	97.8K	-324	0.00	13.97	N/A	N/A	0	0	304	304
2012-11-07	$6.00	$5.00	66.8%	14.8%	45.9%	24.8%	0.0%	25.8%	5.0%	1.5K	102.2K	-285	0.00	33.21	N/A	N/A	0	0	304	304
2012-11-08	$5.94	$5.00	70.9%	12.5%	44.8%	27.1%	0.0%	14.1%	-0.8%	1.4K	105.9K	-272	0.00	15.10	N/A	N/A	0	0	304	304
2012-11-09	$5.80	$5.00	67.0%	14.8%	45.1%	24.9%	0.0%	23.8%	11.0%	1.3K	105.8K	-260	0.00	39.83	N/A	N/A	0	20	304	304
2012-11-12	$5.62	$5.00	80.4%	15.6%	45.3%	32.6%	0.0%	28.5%	3.9%	1.1K	94.6K	-238	0.00	26.21	N/A	N/A	0	0	304	277
2012-11-13	$5.30	$5.00	62.5%	15.5%	48.0%	22.3%	0.0%	25.5%	0.6%	910	101.3K	-184	0.00	28.40	N/A	N/A	0	0	304	277
2012-11-14	$5.25	$5.00	46.1%	16.8%	47.4%	12.7%	0.0%	22.8%	-2.3%	881	102.5K	-170	0.00	23.14	N/A	N/A	0	0	304	277
2012-11-15	$5.20	$5.00	54.8%	15.7%	46.2%	17.8%	0.0%	18.0%	4.8%	843	103.8K	-162	0.00	28.63	N/A	N/A	0	0	304	277
2012-11-16	$5.12	$5.00	56.7%	16.2%	45.1%	18.9%	0.0%	16.3%	-3.8%	866	96.6K	-126	0.00	20.51	N/A	N/A	0	0	304	257
2012-11-19	$5.48	$5.00	54.0%	15.5%	51.7%	17.3%	54.5%	25.1%	3.1%	998	95.3K	-170	0.00	28.44	N/A	N/A	0	75	284	252
2012-11-20	$5.65	$5.00	45.4%	13.0%	51.8%	12.4%	51.3%	27.9%	19.6%	504	97.4K	-224	0.00	32.69	N/A	N/A	0	40	284	322
2012-11-21	$5.55	$5.00	43.2%	12.4%	52.0%	11.1%	49.1%	26.2%	20.4%	147	112.0K	-232	0.00	35.63	N/A	N/A	0	20	284	362
2012-11-23	$5.52	$5.00	39.7%	11.4%	51.3%	9.0%	0.0%	19.6%	24.4%	-180	115.4K	-212	0.00	20.91	N/A	N/A	0	0	284	382
2012-11-26	$5.34	$5.00	50.3%	14.4%	52.3%	15.2%	0.0%	17.7%	0.4%	-549	123.4K	-183	0.00	23.68	N/A	N/A	0	0	284	382
2012-11-27	$5.33	$5.00	43.0%	12.3%	51.7%	11.0%	0.0%	15.6%	18.4%	-626	123.0K	-189	0.00	29.26	N/A	N/A	74	0	284	382
2012-11-28	$5.23	$5.00	52.1%	14.9%	51.8%	16.2%	52.0%	13.2%	1.7%	-615	128.1K	-174	0.00	18.87	N/A	N/A	286	0	356	382
2012-11-29	$5.25	$5.00	47.8%	13.7%	46.6%	13.7%	47.4%	23.6%	4.5%	1.8K	58.0K	-306	1.82	23.83	N/A	N/A	11	20	617	382
2012-11-30	$5.35	$5.00	52.2%	15.0%	47.7%	16.3%	51.7%	17.4%	3.0%	1.8K	48.3K	-321	0.00	39.47	N/A	N/A	40	0	628	402