VICR Options History — December 2012

In December 2012, VICR traded between $5.24 and $5.49. ATM implied volatility averaged 48.5%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 14.6% (HV 20d: 33.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.51.

Notable Days

2012-12-12: Highest Volume — 51 contracts
2012-12-13: Largest IV spike — 50.5% change
2012-12-17: Highest IV Rank — 18.5%
2012-12-11: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.37	$5.24	$5.49	$5.40	$5.42
Max Pain	$7.00	$5.00	$7.50	$5.00	$7.50
ATM IV	48.5%	34.1%	56.0%	35.7%	53.8%
Expected Move	14.6%	10.2%	17.2%	10.2%	15.4%
HV 20d	33.9%	21.7%	47.2%	47.2%	21.7%
HV 60d	40.0%	38.2%	42.1%	42.1%	38.2%
IV Rank	14.2%	5.8%	18.5%	6.7%	17.2%
IV Percentile	58.4%	7.5%	80.6%	13.1%	77.0%
Term Structure	4.5%	-6.7%	21.4%	21.4%	4.6%
VWIV	53.1%	39.6%	86.1%	39.6%	53.4%
Skew 25d	12.2%	-0.1%	21.6%	20.3%	8.6%
Skew 10d	29.7%	9.6%	38.9%	36.6%	37.4%
Call IV 25d	45.8%	32.8%	52.8%	44.9%	49.2%
Put IV 25d	58.0%	49.7%	65.2%	65.2%	57.8%
Bid-Ask Spread %	24.26	16.50	37.53	17.94	32.45
Gamma HHI	0.54	0.46	0.70	0.46	0.67
Net GEX	2.2K	1.6K	2.7K	2.4K	2.3K
Net DEX	42.1K	9.1K	82.0K	12.0K	77.8K
Net VEX	-219	-336	-117	-336	-117
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.00	1.82	0.00	0.00
Total Volume	10.95	0	51	11	0
Total OI	1,060.25	915	1,148	1,070	928

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
2012-12-03	$5.40	$5.00	35.7%	10.2%	47.2%	6.7%	0.0%	20.3%	21.4%	2.4K	12.0K	-336	0.00	17.94	N/A	N/A	11	0	668	402
2012-12-04	$5.37	$5.00	51.6%	14.8%	43.6%	15.9%	0.0%	18.3%	6.1%	2.5K	25.0K	-321	0.00	34.99	N/A	N/A	0	0	679	402
2012-12-05	$5.45	$5.00	45.7%	13.1%	43.3%	12.5%	39.6%	13.0%	13.9%	2.5K	13.8K	-295	0.00	18.51	N/A	N/A	10	0	679	402
2012-12-06	$5.35	$5.00	43.6%	12.5%	42.0%	11.3%	0.0%	18.0%	-2.6%	2.6K	26.8K	-320	0.00	16.61	N/A	N/A	0	0	689	402
2012-12-07	$5.24	$7.50	46.9%	15.2%	42.3%	13.2%	0.0%	20.5%	2.2%	2.4K	42.7K	-288	1.82	18.54	N/A	N/A	11	20	689	402
2012-12-10	$5.38	$7.50	34.1%	15.2%	43.3%	5.8%	0.0%	11.6%	2.2%	2.5K	14.6K	-247	0.00	20.03	N/A	N/A	0	0	700	422
2012-12-11	$5.49	$7.50	51.3%	17.2%	42.7%	15.8%	0.0%	15.2%	-6.7%	2.7K	9.1K	-289	0.00	25.41	N/A	N/A	0	0	700	422
2012-12-12	$5.33	$7.50	35.1%	15.0%	38.6%	6.4%	43.8%	10.6%	4.0%	2.4K	20.2K	-239	0.00	18.02	N/A	N/A	51	0	700	422
2012-12-13	$5.33	$7.50	52.9%	15.2%	38.4%	16.7%	0.0%	13.8%	2.5%	1.8K	48.9K	-248	0.00	17.46	N/A	N/A	40	0	673	422
2012-12-14	$5.30	$7.50	52.3%	15.0%	38.3%	16.3%	0.0%	13.7%	2.8%	1.6K	43.0K	-215	0.00	20.22	N/A	N/A	0	0	673	422
2012-12-17	$5.33	$7.50	56.0%	16.1%	37.9%	18.5%	86.1%	3.9%	-0.4%	1.7K	40.0K	-205	0.00	16.50	N/A	N/A	11	0	673	422
2012-12-18	$5.36	$7.50	54.9%	15.7%	28.8%	17.9%	48.2%	10.5%	1.4%	2.1K	31.5K	-173	1.82	19.47	N/A	N/A	11	20	684	422
2012-12-19	$5.35	$7.50	51.0%	14.6%	26.3%	15.6%	47.5%	21.5%	4.7%	1.8K	40.5K	-185	0.91	23.75	N/A	N/A	11	10	695	442
2012-12-20	$5.38	$7.50	52.3%	15.0%	25.8%	16.4%	0.0%	6.4%	2.9%	1.9K	38.6K	-185	0.00	25.53	N/A	N/A	0	0	706	442
2012-12-21	$5.32	$7.50	50.6%	14.5%	26.0%	15.4%	0.0%	21.6%	5.3%	1.7K	43.5K	-177	0.00	25.63	N/A	N/A	0	0	706	442
2012-12-24	$5.35	$7.50	53.4%	15.3%	23.3%	17.0%	0.0%	6.2%	2.7%	2.4K	82.0K	-157	0.00	27.20	N/A	N/A	0	0	614	301
2012-12-26	$5.42	$7.50	45.4%	13.0%	23.8%	12.3%	0.0%	6.6%	15.5%	2.3K	78.9K	-130	0.00	32.15	N/A	N/A	0	0	614	301
2012-12-27	$5.40	$7.50	51.6%	14.8%	22.7%	15.9%	53.4%	-0.1%	3.9%	2.3K	77.2K	-127	0.00	37.25	N/A	N/A	13	0	614	301
2012-12-28	$5.40	$7.50	52.8%	15.1%	22.7%	16.6%	0.0%	4.9%	3.1%	2.3K	76.9K	-130	0.00	37.53	N/A	N/A	0	0	627	301
2012-12-31	$5.42	$7.50	53.8%	15.4%	21.7%	17.2%	0.0%	8.6%	4.6%	2.3K	77.8K	-117	0.00	32.45	N/A	N/A	0	0	627	301