VICR Options History — September 2015

In September 2015, VICR traded between $8.95 and $10.58. ATM implied volatility averaged 82.5%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded above realized volatility by 30.8% (HV 20d: 51.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 4.14.

Notable Days

2015-09-10: Highest Volume — 454 contracts
2015-09-25: Largest IV spike — 1504.1% change
2015-09-22: Highest IV Rank — 89.0%
2015-09-22: Largest Expected Move — 51.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.73	$8.95	$10.58	$9.71	$10.18
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	82.5%	6.3%	178.2%	10.4%	95.2%
Expected Move	23.3%	1.8%	51.1%	3.0%	27.3%
HV 20d	51.7%	46.3%	56.7%	49.6%	52.1%
HV 60d	47.1%	44.3%	50.2%	45.3%	47.5%
IV Rank	40.7%	2.2%	89.0%	4.3%	47.1%
IV Percentile	49.5%	1.6%	94.8%	2.8%	59.5%
Term Structure	22.4%	-125.8%	212.4%	141.1%	-57.5%
VWIV	79.6%	6.3%	130.9%	78.2%	106.3%
Skew 25d	2.7%	-66.6%	128.3%	24.5%	-14.9%
Skew 10d	36.8%	-49.7%	153.9%	57.2%	7.0%
Call IV 25d	95.8%	17.8%	181.6%	143.0%	110.1%
Put IV 25d	98.5%	9.5%	192.3%	167.5%	95.2%
Bid-Ask Spread %	134.17	98.75	151.03	149.03	141.99
Gamma HHI	0.43	0.28	0.56	0.45	0.40
Net GEX	-60	-1.2K	1.9K	-1.0K	526
Net DEX	205.7K	127.5K	285.0K	182.0K	265.1K
Net VEX	-614	-875	-236	-777	-442
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.14	3.63	5.22	3.85	3.63
Total Volume	352.667	0	454	354	384
Total OI	479	344	505	485	504

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
2015-09-01	$9.71	$0.00	10.4%	3.0%	49.6%	4.3%	0.0%	24.5%	141.1%	-1.0K	182.0K	-777	3.85	149.03	N/A	N/A	73	281	139	346
2015-09-02	$9.79	$0.00	97.6%	28.0%	47.3%	48.3%	0.0%	4.2%	116.2%	-925	127.5K	-875	4.12	141.11	N/A	N/A	73	301	139	346
2015-09-03	$9.49	$12.50	94.6%	10.2%	47.3%	46.8%	78.2%	3.7%	128.2%	-670	164.5K	-855	4.12	138.53	N/A	N/A	73	301	139	366
2015-09-04	$9.34	$12.50	87.5%	45.7%	47.3%	43.2%	51.9%	-9.8%	4.6%	-612	157.4K	-840	4.12	128.03	N/A	N/A	73	301	139	366
2015-09-08	$9.45	$12.50	117.2%	0.0%	46.3%	58.2%	0.0%	18.2%	-68.9%	-356	179.5K	-740	0.00	137.43	N/A	N/A	0	0	139	346
2015-09-09	$8.95	$12.50	62.9%	18.0%	48.7%	30.8%	77.8%	-0.6%	-10.4%	569	133.8K	-236	4.40	116.39	N/A	N/A	73	321	139	205
2015-09-10	$9.39	$12.50	16.8%	4.8%	51.5%	7.5%	17.5%	128.3%	124.9%	783	160.6K	-405	5.22	123.03	N/A	N/A	73	381	139	245
2015-09-11	$9.33	$12.50	81.3%	23.3%	50.8%	40.1%	84.5%	-28.3%	131.5%	45	170.3K	-788	5.22	144.28	N/A	N/A	73	381	139	335
2015-09-14	$9.74	$12.50	136.3%	39.1%	52.9%	67.9%	128.8%	59.8%	-81.5%	22	244.1K	-342	5.22	129.77	N/A	N/A	73	381	139	335
2015-09-15	$10.20	$12.50	58.7%	16.8%	55.8%	28.7%	0.0%	12.6%	62.4%	163	209.9K	-642	0.00	141.34	N/A	N/A	0	0	139	315
2015-09-16	$10.58	$12.50	9.5%	2.7%	56.7%	3.8%	126.7%	-66.6%	-3.2%	-547	210.8K	-652	4.12	147.83	N/A	N/A	73	301	139	335
2015-09-17	$10.50	$12.50	145.6%	41.7%	55.8%	72.6%	121.6%	-0.1%	-65.4%	-1.2K	201.1K	-829	4.12	151.03	N/A	N/A	73	301	139	355
2015-09-18	$9.81	$12.50	144.4%	41.4%	55.6%	71.9%	130.9%	-43.7%	-81.1%	-577	176.7K	-828	4.12	151.01	N/A	N/A	73	301	139	355
2015-09-21	$9.86	$12.50	106.0%	30.4%	54.3%	52.5%	61.2%	-25.3%	77.6%	-238	232.4K	-657	4.12	118.67	N/A	N/A	73	301	139	355
2015-09-22	$9.90	$12.50	178.2%	51.1%	53.4%	89.0%	71.5%	-27.8%	-125.8%	-622	240.3K	-599	4.12	98.75	N/A	N/A	73	301	139	355
2015-09-23	$9.44	$12.50	48.7%	14.0%	52.5%	23.6%	51.0%	2.1%	2.6%	701	285.0K	-246	3.63	104.36	N/A	N/A	83	301	139	355
2015-09-24	$9.46	$12.50	6.3%	1.8%	52.5%	2.2%	6.3%	10.7%	212.4%	1.9K	188.0K	-768	3.63	145.93	N/A	N/A	83	301	149	355
2015-09-25	$9.64	$12.50	101.9%	29.2%	52.2%	50.5%	100.2%	-6.7%	-21.7%	-101	241.3K	-576	3.63	142.28	N/A	N/A	83	301	149	355
2015-09-28	$9.70	$12.50	58.9%	16.9%	52.1%	28.8%	60.9%	9.4%	-2.2%	603	279.5K	-346	3.63	128.41	N/A	N/A	83	301	149	355
2015-09-29	$9.94	$12.50	74.8%	21.4%	51.5%	36.8%	77.3%	7.6%	-12.5%	310	270.5K	-446	3.63	138.41	N/A	N/A	83	301	149	355
2015-09-30	$10.18	$12.50	95.2%	27.3%	52.1%	47.1%	106.3%	-14.9%	-57.5%	526	265.1K	-442	3.63	141.99	N/A	N/A	83	301	149	355