VICR Options History — January 2016

Name: VICR Options Analytics - January 2016
Creator: Options Analysis Suite

In January 2016, VICR traded between $7.46 and $9.12. ATM implied volatility averaged 85.3%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 43.9% (HV 20d: 41.4%). Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.70.

Notable Days

2016-01-15: Highest Volume — 209 contracts
2016-01-19: Largest IV spike — 104.0% change
2016-01-29: Highest IV Rank — 72.3%
2016-01-29: Largest Expected Move — 41.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.05	$7.46	$9.12	$9.12	$8.40
ATM IV	85.3%	53.0%	144.9%	90.1%	144.9%
Expected Move	22.9%	15.7%	41.5%	35.2%	41.5%
HV 20d	41.4%	35.1%	60.6%	37.0%	60.6%
HV 60d	40.0%	37.9%	45.0%	38.2%	45.0%
IV Rank	42.3%	26.0%	72.3%	44.7%	72.3%
IV Percentile	52.8%	26.2%	86.1%	56.0%	86.1%
Term Structure	-30.0%	-201.9%	29.9%	-3.5%	-76.1%
Skew 25d	0.8%	-80.3%	56.4%	-74.3%	56.4%
Skew 10d	19.5%	-83.8%	98.0%	-83.8%	38.0%
Call IV 25d	71.6%	39.0%	164.1%	164.1%	102.6%
Put IV 25d	72.4%	37.2%	159.0%	89.8%	159.0%
Bid-Ask Spread %	121.79	70.00	157.53	153.24	157.53
Gamma HHI	0.34	0.24	0.44	0.30	0.34
Net GEX	442	-641	991	-641	514
Net DEX	168.0K	56.2K	239.9K	212.1K	56.2K
Net VEX	-195	-434	-85	-434	-317
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.70	0.89	2.46	2.46	0.89
Total Volume	158.316	0	209	197	0
Total OI	349.053	278	413	393	278

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
2016-01-04	$9.12	$0.00	90.1%	35.2%	37.0%	44.7%	0.0%	-74.3%	-3.5%	-641	212.1K	-434	2.46	153.24	N/A	N/A	57	140	78	315
2016-01-05	$8.90	$0.00	58.0%	16.6%	36.8%	28.5%	0.0%	3.7%	11.1%	109	239.9K	-240	2.46	140.77	N/A	N/A	57	140	78	315
2016-01-06	$8.99	$0.00	53.0%	17.6%	37.0%	26.0%	0.0%	8.0%	-26.5%	-262	232.0K	-287	2.09	140.22	N/A	N/A	67	140	78	315
2016-01-07	$8.56	$0.00	88.5%	16.1%	37.8%	43.9%	0.0%	-24.9%	-24.9%	690	236.4K	-221	2.09	115.94	N/A	N/A	67	140	98	315
2016-01-08	$8.12	$0.00	116.8%	0.0%	41.6%	58.1%	0.0%	-80.3%	29.9%	325	199.9K	-345	2.09	153.85	N/A	N/A	67	140	98	315
2016-01-11	$8.18	$0.00	74.2%	21.3%	35.1%	36.7%	0.0%	-7.1%	-55.4%	719	194.3K	-176	2.09	140.46	N/A	N/A	67	140	98	275
2016-01-12	$7.89	$0.00	142.2%	18.7%	36.5%	70.9%	0.0%	19.8%	-7.0%	809	196.9K	-121	2.09	70.00	N/A	N/A	67	140	118	275
2016-01-13	$7.61	$0.00	65.4%	18.7%	37.1%	32.2%	0.0%	13.2%	-9.2%	695	194.7K	-111	2.09	82.41	N/A	N/A	67	140	118	275
2016-01-14	$7.80	$0.00	96.5%	27.7%	38.8%	47.9%	0.0%	15.8%	-74.9%	991	190.7K	-142	2.09	137.10	N/A	N/A	67	140	118	275
2016-01-15	$7.72	$0.00	60.7%	17.4%	36.7%	29.9%	0.0%	23.7%	0.1%	497	193.9K	-99	2.12	136.46	N/A	N/A	67	142	118	275
2016-01-19	$7.46	$0.00	123.8%	35.5%	36.6%	61.6%	0.0%	-7.4%	-201.9%	538	120.8K	-116	1.24	131.44	N/A	N/A	50	62	100	178
2016-01-20	$7.62	$0.00	69.3%	19.9%	37.9%	34.2%	0.0%	7.7%	-53.0%	466	106.3K	-223	1.24	130.38	N/A	N/A	50	62	100	178
2016-01-21	$7.51	$0.00	62.4%	17.9%	37.8%	30.7%	0.0%	3.5%	0.3%	404	120.2K	-135	1.24	72.25	N/A	N/A	50	62	100	178
2016-01-22	$7.90	$0.00	56.8%	16.3%	42.5%	27.9%	0.0%	39.7%	2.9%	396	147.9K	-97	1.24	121.08	N/A	N/A	50	62	100	198
2016-01-25	$7.56	$0.00	54.9%	15.7%	43.5%	26.9%	0.0%	7.3%	-9.4%	413	141.6K	-85	1.24	125.08	N/A	N/A	50	62	100	198
2016-01-26	$8.06	$0.00	64.9%	18.6%	50.6%	32.0%	0.0%	22.4%	5.3%	439	149.2K	-112	0.89	91.43	N/A	N/A	70	62	100	198
2016-01-27	$7.80	$0.00	117.2%	33.6%	51.4%	58.3%	0.0%	15.8%	-30.0%	642	120.1K	-307	0.89	134.15	N/A	N/A	70	62	140	198
2016-01-28	$7.74	$0.00	81.6%	23.4%	51.4%	40.4%	0.0%	-28.1%	-48.4%	656	139.7K	-146	0.89	80.31	N/A	N/A	70	62	140	198
2016-01-29	$8.40	$0.00	144.9%	41.5%	60.6%	72.3%	0.0%	56.4%	-76.1%	514	56.2K	-317	0.00	157.53	N/A	N/A	0	0	140	138