VICR Options History — November 2014

In November 2014, VICR traded between $11.64 and $13.33. ATM implied volatility averaged 48.4%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 17.9% (HV 20d: 66.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.17.

Notable Days

2014-11-13: Highest Volume — 587 contracts
2014-11-21: Largest IV spike — 103.0% change
2014-11-21: Highest IV Rank — 40.8%
2014-11-07: Largest Expected Move — 19.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.57	$11.64	$13.33	$13.33	$12.20
Max Pain	$8.55	$7.50	$10.00	$7.50	$10.00
ATM IV	48.4%	31.7%	83.9%	43.0%	41.1%
Expected Move	13.5%	10.8%	19.0%	13.4%	13.9%
HV 20d	66.3%	36.3%	81.3%	81.1%	36.3%
HV 60d	60.9%	58.0%	62.6%	62.6%	58.0%
IV Rank	20.9%	11.8%	40.8%	17.8%	17.0%
IV Percentile	28.0%	6.0%	65.1%	22.6%	19.8%
Term Structure	2.3%	-41.6%	50.5%	2.3%	-5.5%
VWIV	43.7%	34.5%	67.2%	38.5%	59.5%
Skew 25d	-1.0%	-140.0%	41.5%	-34.4%	41.5%
Skew 10d	2.1%	-143.5%	39.1%	5.1%	31.1%
Call IV 25d	59.2%	20.5%	179.2%	93.6%	20.5%
Put IV 25d	58.3%	37.8%	113.8%	59.2%	62.0%
Bid-Ask Spread %	108.14	83.12	132.39	105.76	124.16
Gamma HHI	0.51	0.27	0.86	0.67	0.55
Net GEX	-4.3K	-8.7K	-1.9K	-2.9K	-8.7K
Net DEX	-231.7K	-425.8K	-46.0K	-425.8K	-46.0K
Net VEX	-1.6K	-2.1K	-1.2K	-1.4K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.23	3.20	3.15	0.23
Total Volume	385.789	0	587	394	0
Total OI	1,035	908	1,222	967	1,222

Daily Data (19 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
2014-11-03	$13.33	$7.50	43.0%	13.4%	81.1%	17.8%	38.5%	-34.4%	2.3%	-2.9K	-425.8K	-1.4K	3.15	105.76	N/A	N/A	95	299	485	482
2014-11-04	$13.28	$7.50	59.5%	15.2%	80.9%	26.8%	47.9%	-13.6%	-8.6%	-2.9K	-363.4K	-1.5K	1.06	104.96	N/A	N/A	283	299	498	482
2014-11-05	$13.09	$7.50	42.0%	11.2%	81.3%	17.3%	34.5%	0.6%	-21.1%	-3.9K	-340.3K	-1.3K	1.06	99.91	N/A	N/A	283	299	498	482
2014-11-06	$13.05	$7.50	39.9%	11.7%	78.7%	16.1%	38.2%	3.5%	3.5%	-4.5K	-329.9K	-1.3K	1.06	83.70	N/A	N/A	283	299	498	482
2014-11-07	$12.90	$7.50	75.0%	19.0%	78.7%	35.2%	34.9%	2.2%	32.2%	-2.7K	-320.9K	-1.8K	1.06	108.66	N/A	N/A	283	299	498	482
2014-11-10	$13.21	$7.50	51.2%	11.7%	78.0%	22.3%	50.4%	-8.9%	-41.6%	-1.9K	-316.7K	-1.2K	1.06	132.39	N/A	N/A	283	299	497	482
2014-11-11	$13.00	$7.50	68.3%	13.3%	78.8%	31.6%	40.1%	-2.6%	-6.7%	-2.0K	-392.7K	-1.3K	1.06	102.75	N/A	N/A	283	299	511	397
2014-11-12	$13.11	$7.50	60.0%	11.6%	78.5%	27.0%	37.3%	-140.0%	16.8%	-3.6K	-324.7K	-1.4K	1.01	98.33	N/A	N/A	283	285	497	482
2014-11-13	$12.66	$7.50	51.8%	13.6%	80.2%	22.6%	44.1%	6.2%	-15.8%	-2.9K	-276.8K	-1.6K	1.07	101.61	N/A	N/A	283	304	497	503
2014-11-14	$12.84	$7.50	36.8%	12.3%	75.9%	14.4%	0.0%	-4.6%	-2.3%	-4.9K	-250.5K	-1.5K	0.00	108.69	N/A	N/A	0	0	497	543
2014-11-17	$12.35	$7.50	34.3%	12.9%	78.3%	13.3%	43.5%	-1.6%	7.9%	-4.2K	-212.2K	-1.6K	1.00	96.20	N/A	N/A	283	284	497	543
2014-11-18	$12.27	$10.00	31.7%	12.1%	78.6%	11.8%	42.8%	0.4%	3.6%	-6.0K	-169.7K	-1.5K	1.00	83.12	N/A	N/A	283	284	497	568
2014-11-19	$11.64	$10.00	36.2%	16.1%	49.1%	14.3%	36.0%	34.6%	2.1%	-4.6K	-120.4K	-1.8K	3.20	121.87	N/A	N/A	10	32	497	568
2014-11-20	$11.74	$10.00	41.3%	15.9%	48.9%	17.2%	40.5%	33.7%	50.5%	-2.6K	-75.7K	-1.8K	0.24	108.74	N/A	N/A	270	64	507	585
2014-11-21	$11.75	$10.00	83.9%	14.4%	48.9%	40.8%	67.2%	18.8%	11.5%	-3.0K	-99.7K	-2.1K	0.24	131.10	N/A	N/A	270	64	517	604
2014-11-24	$12.13	$10.00	38.0%	13.6%	50.1%	15.3%	0.0%	26.6%	-5.3%	-6.9K	-109.6K	-1.4K	0.00	116.84	N/A	N/A	0	0	495	594
2014-11-25	$12.12	$10.00	53.5%	10.8%	39.2%	23.9%	59.5%	4.4%	4.6%	-6.3K	-114.7K	-1.5K	0.23	121.71	N/A	N/A	238	54	495	594
2014-11-26	$12.12	$10.00	31.8%	12.9%	38.4%	11.9%	0.0%	14.7%	15.3%	-6.4K	-112.5K	-1.6K	0.00	104.09	N/A	N/A	0	153	495	594
2014-11-28	$12.20	$10.00	41.1%	13.9%	36.3%	17.0%	0.0%	41.5%	-5.5%	-8.7K	-46.0K	-2.1K	0.00	124.16	N/A	N/A	0	0	495	727