VICR Options History — October 2014 In October 2014, VICR traded between $8.70 and $13.61. ATM implied volatility averaged 72.9%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 11.1% (HV 20d: 61.8%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.10.
Notable Days 2014-10-20 : Highest Volume — 642 contracts2014-10-30 : Largest IV spike — 168.7% change2014-10-20 : Highest IV Rank — 58.1%2014-10-28 : Largest Expected Move — 17.1%Monthly Statistics Metric Avg Min Max Open Close Price $10.51 $8.70 $13.61 $8.70 $13.61 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 72.9% 30.2% 117.0% 114.1% 49.3% Expected Move 13.0% 10.9% 17.1% 12.4% 11.0% HV 20d 61.8% 39.5% 89.2% 39.5% 80.0% HV 60d 50.8% 42.2% 62.3% 42.2% 62.3% IV Rank 34.1% 10.8% 58.1% 56.5% 21.2% IV Percentile 52.5% 7.1% 82.1% 81.0% 33.7% Term Structure 7.0% -69.2% 131.5% -67.2% -14.0% VWIV 42.0% 30.6% 49.5% 41.3% 38.5% Skew 25d 11.3% -11.2% 45.1% 1.2% 8.4% Skew 10d 11.9% -12.1% 51.2% 22.7% 7.2% Call IV 25d 59.3% 25.1% 145.7% 66.8% 38.9% Put IV 25d 70.6% 40.5% 190.8% 68.0% 47.3% Bid-Ask Spread % 106.26 88.01 152.49 111.78 88.60 Gamma HHI 0.39 0.31 0.66 0.39 0.62 Net GEX 787 -4.6K 5.8K 1.8K -2.8K Net DEX -90.8K -393.1K 87.5K 87.5K -393.1K Net VEX -1.4K -1.8K -976 -976 -1.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.00 4.15 0.00 4.15 Total Volume 254.391 0 642 200 371 Total OI 1,113.87 918 1,321 1,035 957
Daily Data (23 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 2014-10-01 $8.70 $7.50 114.1% 12.4% 39.5% 56.5% 41.3% 1.2% -67.2% 1.8K 87.5K -976 0.00 111.78 N/A N/A 200 0 492 543 2014-10-02 $8.95 $7.50 111.3% 13.4% 40.5% 55.0% 0.0% 31.1% -12.6% 3.4K 43.7K -1.3K 0.00 120.67 N/A N/A 0 0 692 543 2014-10-03 $9.67 $7.50 102.8% 14.0% 47.9% 50.4% 0.0% 8.6% 131.5% 987 -54.2K -1.6K 0.00 152.49 N/A N/A 0 0 692 543 2014-10-06 $9.80 $7.50 53.6% 12.6% 47.4% 23.6% 0.0% 4.1% 2.2% 5.0K -16.6K -1.2K 0.00 99.05 N/A N/A 0 0 692 543 2014-10-07 $10.20 $7.50 89.6% 12.2% 48.8% 43.2% 38.4% 28.4% 17.5% 1.5K -79.2K -1.3K 0.00 110.96 N/A N/A 6 0 682 543 2014-10-08 $10.46 $7.50 61.6% 12.4% 48.3% 27.9% 43.7% 22.2% 2.2% 668 -117.4K -1.1K 0.88 109.45 N/A N/A 277 244 712 543 2014-10-09 $9.99 $7.50 82.2% 13.3% 51.5% 39.2% 0.0% 8.8% -9.2% 959 -22.2K -1.4K 0.00 90.33 N/A N/A 2 0 684 597 2014-10-10 $9.88 $7.50 37.9% 12.6% 51.8% 15.0% 0.0% 6.2% -3.1% 5.8K 23.0K -1.2K 0.00 93.56 N/A N/A 10 0 684 597 2014-10-13 $9.73 $7.50 86.1% 13.1% 51.6% 41.3% 0.0% 4.1% 8.4% 5.0K 31.9K -1.2K 0.00 102.63 N/A N/A 0 0 694 597 2014-10-14 $9.87 $7.50 65.0% 12.7% 51.7% 29.8% 40.7% 1.6% -13.4% 5.4K -765 -1.2K 0.87 88.01 N/A N/A 279 244 724 597 2014-10-15 $9.80 $7.50 97.2% 13.3% 51.9% 47.3% 42.2% 5.5% -3.5% 4.8K -47.1K -1.2K 0.81 95.70 N/A N/A 279 225 724 537 2014-10-16 $9.75 $7.50 87.3% 13.0% 51.9% 41.9% 0.0% -11.2% -69.2% 5.5K 16.3K -1.2K 0.00 112.29 N/A N/A 2 0 693 572 2014-10-17 $9.22 $7.50 51.6% 13.4% 54.8% 22.5% 0.0% 2.1% 8.5% 2.1K 55.4K -1.3K 0.00 93.83 N/A N/A 0 162 691 572 2014-10-20 $9.24 $7.50 117.0% 14.8% 54.4% 58.1% 45.3% 5.1% 95.5% 485 -34.8K -1.7K 0.72 130.14 N/A N/A 374 268 528 451 2014-10-21 $9.45 $7.50 60.0% 14.3% 54.6% 27.1% 48.8% 0.6% -7.0% -1.0K 27.3K -1.4K 0.72 97.51 N/A N/A 374 268 467 451 2014-10-22 $11.38 $7.50 75.3% 11.8% 85.2% 35.4% 49.5% 30.1% -20.2% -4.0K -137.6K -1.2K 0.94 100.16 N/A N/A 286 268 468 451 2014-10-23 $11.25 $7.50 58.4% 11.3% 85.0% 26.2% 39.2% 14.6% -3.6% -2.6K -176.4K -1.6K 1.37 91.70 N/A N/A 196 268 486 451 2014-10-24 $11.33 $7.50 45.4% 12.0% 84.9% 19.1% 30.6% 8.4% -5.8% -3.3K -146.6K -1.4K 1.37 93.28 N/A N/A 196 268 486 451 2014-10-27 $11.38 $7.50 30.2% 10.9% 85.0% 10.8% 0.0% 18.9% -0.6% -1.0K -186.9K -1.8K 0.00 119.65 N/A N/A 34 0 486 451 2014-10-28 $12.41 $7.50 55.0% 17.1% 89.2% 24.3% 40.9% 19.2% 23.3% -4.6K -292.8K -1.4K 0.00 114.67 N/A N/A 28 0 498 451 2014-10-29 $12.65 $7.50 39.7% 14.8% 82.4% 16.0% 41.1% -3.2% 88.2% -3.8K -329.9K -1.6K 4.01 120.04 N/A N/A 72 289 495 451 2014-10-30 $13.08 $7.50 106.7% 11.4% 82.5% 52.5% 47.6% 45.1% 13.8% -2.1K -338.7K -1.4K 4.01 107.47 N/A N/A 72 289 485 472 2014-10-31 $13.61 $7.50 49.3% 11.0% 80.0% 21.2% 38.5% 8.4% -14.0% -2.8K -393.1K -1.3K 4.15 88.60 N/A N/A 72 299 485 472
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