VICR Options History — June 2014 In June 2014, VICR traded between $7.02 and $8.63. ATM implied volatility averaged 89.9%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded above realized volatility by 37.2% (HV 20d: 52.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.05.
Notable Days 2014-06-06 : Highest Volume — 180 contracts2014-06-06 : Largest IV spike — 228.7% change2014-06-26 : Highest IV Rank — 78.4%2014-06-26 : Largest Expected Move — 44.9%Monthly Statistics Metric Avg Min Max Open Close Price $7.83 $7.02 $8.63 $7.17 $8.38 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 89.9% 39.1% 156.7% 49.6% 45.6% Expected Move 24.7% 11.2% 44.9% 14.2% 13.1% HV 20d 52.8% 48.1% 58.3% 50.7% 49.6% HV 60d 54.5% 51.7% 56.8% 53.5% 52.0% IV Rank 39.8% 10.1% 78.4% 16.6% 13.9% IV Percentile 78.1% 33.7% 98.0% 65.5% 51.6% Term Structure -20.5% -92.8% 58.8% 12.4% -7.3% VWIV 62.6% 62.6% 62.6% 62.6% 62.6% Skew 25d 6.0% -164.6% 66.4% 29.4% 27.2% Skew 10d 22.6% -164.6% 82.4% 20.5% 22.6% Call IV 25d 81.5% 34.1% 166.0% 49.2% 34.1% Put IV 25d 87.6% 1.5% 167.6% 78.6% 61.3% Bid-Ask Spread % 113.74 54.96 152.12 121.45 107.02 Gamma HHI 0.40 0.26 0.59 0.35 0.37 Net GEX 1.0K -1.3K 3.2K 140 -126 Net DEX 168.5K 15.5K 253.3K 225.6K 216.4K Net VEX -769 -1.3K -348 -349 -761 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.05 0.00 0.30 0.00 0.00 Total Volume 21.286 0 180 20 34 Total OI 1,508.333 1,290 1,644 1,290 1,644
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 2014-06-02 $7.17 $10.00 49.6% 14.2% 50.7% 16.6% 0.0% 29.4% 12.4% 140 225.6K -349 0.00 121.45 N/A N/A 20 0 903 387 2014-06-03 $7.03 $10.00 60.3% 17.3% 50.8% 22.8% 0.0% 20.3% -10.8% 259 213.5K -381 0.00 112.92 N/A N/A 0 0 923 387 2014-06-04 $7.02 $10.00 56.0% 16.1% 50.0% 20.3% 0.0% 37.7% 58.8% 1.3K 179.3K -554 0.00 70.87 N/A N/A 0 0 923 387 2014-06-05 $7.28 $10.00 46.2% 13.2% 52.0% 14.6% 0.0% 30.2% 11.2% 386 227.1K -348 0.00 131.01 N/A N/A 0 20 923 387 2014-06-06 $7.51 $10.00 151.8% 38.7% 52.9% 75.7% 62.6% 55.7% -92.2% 2.3K 128.2K -854 0.00 113.34 N/A N/A 180 0 923 407 2014-06-09 $7.44 $10.00 131.2% 25.9% 51.7% 63.8% 0.0% 25.9% -67.4% 1.8K 171.8K -682 0.00 112.23 N/A N/A 0 0 1,103 407 2014-06-10 $7.23 $10.00 143.8% 41.2% 50.4% 71.1% 0.0% -18.1% -43.7% 2.3K 57.1K -1.2K 0.00 107.02 N/A N/A 0 0 1,103 407 2014-06-11 $7.48 $10.00 88.7% 18.2% 50.1% 39.2% 0.0% 13.4% -14.7% 513 225.9K -401 0.00 123.56 N/A N/A 0 0 1,103 407 2014-06-12 $7.78 $10.00 83.6% 24.0% 50.8% 36.3% 0.0% -164.6% 20.3% -889 166.4K -559 0.00 114.58 N/A N/A 0 0 1,103 407 2014-06-13 $7.80 $10.00 138.3% 39.6% 48.1% 67.9% 0.0% -9.8% -46.8% 2.7K 43.2K -1.3K 0.00 108.69 N/A N/A 0 0 1,103 407 2014-06-16 $8.57 $10.00 85.9% 24.6% 57.7% 37.6% 0.0% 4.7% -92.8% 2.8K 54.9K -1.3K 0.00 127.06 N/A N/A 0 0 1,103 407 2014-06-17 $8.63 $10.00 84.8% 24.3% 57.6% 37.0% 0.0% 0.7% -57.0% 1.4K 205.0K -568 0.00 117.55 N/A N/A 65 0 1,103 407 2014-06-18 $8.47 $10.00 70.5% 20.2% 56.5% 28.7% 0.0% 34.6% -11.5% 1.3K 176.0K -693 0.00 112.73 N/A N/A 0 0 1,143 407 2014-06-19 $8.24 $10.00 145.2% 41.6% 57.4% 71.8% 0.0% -21.6% -72.3% 3.2K 15.5K -1.3K 0.00 110.92 N/A N/A 0 104 1,143 407 2014-06-20 $8.05 $10.00 61.8% 17.7% 58.3% 23.3% 0.0% -29.8% -23.0% 241 247.0K -711 0.00 128.86 N/A N/A 0 0 1,143 496 2014-06-23 $7.91 $10.00 49.2% 14.1% 58.1% 16.0% 0.0% 34.3% 8.3% 271 253.3K -622 0.00 54.96 N/A N/A 0 0 1,143 486 2014-06-24 $8.16 $10.00 100.0% 28.7% 53.1% 45.5% 0.0% 52.3% -50.8% -1.3K 201.4K -743 0.00 104.93 N/A N/A 11 0 1,143 486 2014-06-25 $8.11 $10.00 100.6% 28.8% 51.1% 45.9% 0.0% -60.7% 24.7% 1.1K 188.5K -955 0.00 136.54 N/A N/A 0 0 1,149 486 2014-06-26 $7.97 $10.00 156.7% 44.9% 51.0% 78.4% 0.0% 66.4% 2.7% 2.5K 134.2K -1.1K 0.30 152.12 N/A N/A 10 3 1,149 486 2014-06-27 $8.13 $10.00 39.1% 11.2% 50.8% 10.1% 0.0% -1.3% 21.1% -177 209.1K -784 0.00 120.28 N/A N/A 0 0 1,159 485 2014-06-30 $8.38 $10.00 45.6% 13.1% 49.6% 13.9% 0.0% 27.2% -7.3% -126 216.4K -761 0.00 107.02 N/A N/A 34 0 1,159 485
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