VICR Options History — September 2013

In September 2013, VICR traded between $7.86 and $8.66. ATM implied volatility averaged 33.4%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 5.3% (HV 20d: 28.1%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.27.

Notable Days

2013-09-23: Highest Volume — 113 contracts
2013-09-09: Largest IV spike — 43.3% change
2013-09-30: Highest IV Rank — 23.2%
2013-09-06: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.12	$7.86	$8.66	$7.89	$8.18
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	33.4%	25.0%	39.2%	31.6%	35.1%
Expected Move	9.9%	7.2%	11.9%	9.1%	10.1%
HV 20d	28.1%	20.4%	32.6%	32.6%	20.4%
HV 60d	43.6%	36.9%	48.0%	48.0%	37.2%
IV Rank	10.1%	3.1%	23.2%	6.1%	23.2%
IV Percentile	17.1%	1.2%	36.5%	7.1%	24.2%
Term Structure	3.0%	-13.0%	15.4%	14.1%	-0.5%
VWIV	41.2%	36.9%	45.5%	36.9%	45.5%
Skew 25d	0.1%	-39.9%	25.2%	2.7%	13.3%
Skew 10d	13.7%	-76.6%	70.9%	68.7%	20.0%
Call IV 25d	38.9%	19.3%	93.9%	33.7%	29.8%
Put IV 25d	39.0%	24.9%	54.9%	36.4%	43.1%
Bid-Ask Spread %	38.08	13.88	114.38	25.66	22.47
Gamma HHI	0.60	0.36	0.86	0.66	0.66
Net GEX	-2.1K	-4.3K	145	-1.3K	-2.3K
Net DEX	-74.5K	-150.1K	-5.8K	-92.0K	-42.1K
Net VEX	-1.1K	-1.2K	-979	-1.2K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.11	0.43	0.43	0.11
Total Volume	18.2	0	113	0	0
Total OI	2,015.1	1,906	2,175	1,906	2,175

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
2013-09-03	$7.89	$7.50	31.6%	9.1%	32.6%	6.1%	0.0%	2.7%	14.1%	-1.3K	-92.0K	-1.2K	0.00	25.66	N/A	N/A	0	0	646	1,260
2013-09-04	$7.89	$7.50	31.8%	9.1%	32.6%	6.2%	0.0%	-13.2%	-1.6%	-1.4K	-93.4K	-1.2K	0.00	13.88	N/A	N/A	0	0	646	1,260
2013-09-05	$7.96	$7.50	35.2%	10.1%	32.5%	8.1%	0.0%	5.3%	10.1%	-1.3K	-97.3K	-1.2K	0.00	25.52	N/A	N/A	0	0	646	1,260
2013-09-06	$7.93	$7.50	26.4%	11.9%	32.3%	3.1%	0.0%	-12.9%	0.9%	-1.3K	-104.5K	-1.2K	0.00	20.13	N/A	N/A	0	80	646	1,260
2013-09-09	$7.88	$7.50	37.8%	10.8%	31.7%	13.2%	0.0%	-23.8%	1.3%	-2.1K	-41.9K	-1.2K	0.00	79.15	N/A	N/A	0	0	646	1,340
2013-09-10	$7.92	$7.50	33.6%	10.6%	31.7%	9.9%	0.0%	5.0%	1.5%	-1.9K	-45.6K	-1.2K	0.00	114.38	N/A	N/A	0	0	646	1,340
2013-09-11	$7.89	$7.50	33.3%	10.6%	31.5%	9.6%	36.9%	-21.4%	1.2%	-1.9K	-37.6K	-1.2K	0.43	19.20	N/A	N/A	35	15	646	1,340
2013-09-12	$7.86	$7.50	39.2%	11.2%	31.4%	14.3%	0.0%	-2.6%	-1.5%	-2.9K	-5.8K	-1.1K	0.00	29.10	N/A	N/A	0	0	611	1,355
2013-09-13	$7.94	$7.50	37.4%	10.7%	31.0%	12.8%	0.0%	-39.9%	1.2%	-3.5K	-26.4K	-1.2K	0.00	23.84	N/A	N/A	0	1	611	1,355
2013-09-16	$8.05	$7.50	30.1%	8.6%	31.4%	7.2%	0.0%	-0.4%	9.5%	-4.3K	-65.0K	-1.0K	0.00	43.57	N/A	N/A	0	7	611	1,356
2013-09-17	$8.00	$7.50	34.3%	9.8%	31.4%	10.4%	0.0%	3.3%	8.0%	-3.5K	-51.2K	-1.1K	0.00	19.04	N/A	N/A	0	20	611	1,363
2013-09-18	$8.07	$7.50	33.4%	9.6%	31.4%	9.8%	0.0%	2.7%	6.1%	-2.9K	-62.8K	-1.0K	0.00	37.25	N/A	N/A	0	20	611	1,383
2013-09-19	$8.22	$7.50	29.8%	8.5%	27.3%	6.9%	0.0%	3.1%	12.2%	-3.1K	-68.4K	-1.0K	0.00	30.60	N/A	N/A	0	21	611	1,403
2013-09-20	$8.28	$7.50	37.9%	10.9%	23.3%	13.2%	0.0%	18.8%	1.4%	-3.4K	-62.6K	-1.1K	0.00	70.74	N/A	N/A	0	20	611	1,424
2013-09-23	$8.52	$7.50	36.7%	10.5%	23.9%	12.3%	45.5%	6.9%	5.8%	-3.3K	-80.5K	-1.1K	0.11	35.50	N/A	N/A	102	11	601	1,444
2013-09-24	$8.66	$7.50	31.7%	9.1%	24.2%	8.4%	0.0%	9.0%	-13.0%	145	-150.1K	-1.1K	0.00	22.77	N/A	N/A	0	0	699	1,444
2013-09-25	$8.54	$7.50	31.3%	9.0%	21.4%	8.1%	0.0%	5.2%	-6.2%	144	-139.3K	-1.1K	0.00	16.59	N/A	N/A	0	0	699	1,444
2013-09-26	$8.49	$7.50	37.3%	10.7%	20.4%	12.8%	0.0%	25.2%	-5.6%	-1.0K	-133.7K	-1.1K	0.00	58.02	N/A	N/A	0	12	699	1,444
2013-09-27	$8.26	$7.50	25.0%	7.2%	20.7%	6.8%	0.0%	16.0%	15.4%	83	-89.1K	-979	0.00	54.19	N/A	N/A	0	20	699	1,456
2013-09-30	$8.18	$7.50	35.1%	10.1%	20.4%	23.2%	0.0%	13.3%	-0.5%	-2.3K	-42.1K	-1.1K	0.00	22.47	N/A	N/A	0	0	699	1,476