VICR Options History — February 2016 In February 2016, VICR traded between $7.24 and $8.34. ATM implied volatility averaged 81.5%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded above realized volatility by 22.5% (HV 20d: 59.0%). Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.06.
Notable Days 2016-02-24 : Highest Volume — 152 contracts2016-02-12 : Largest IV spike — 155.3% change2016-02-12 : Highest IV Rank — 100.0%2016-02-12 : Largest Expected Move — 60.8%Monthly Statistics Metric Avg Min Max Open Close Price $7.67 $7.24 $8.34 $8.02 $8.34 ATM IV 81.5% 60.2% 212.0% 81.8% 113.0% Expected Move 23.0% 17.3% 60.8% 23.4% 32.4% HV 20d 59.0% 46.4% 64.2% 61.9% 46.4% HV 60d 46.5% 45.1% 48.3% 45.1% 48.3% IV Rank 39.0% 27.9% 100.0% 40.5% 53.0% IV Percentile 53.6% 35.7% 100.0% 55.6% 79.4% Term Structure -16.3% -193.0% 14.0% -42.1% 8.7% Skew 25d 4.0% -132.4% 38.7% -6.2% 38.7% Skew 10d 16.7% -41.7% 65.8% 2.6% 46.2% Call IV 25d 67.1% 43.6% 149.5% 82.4% 49.8% Put IV 25d 71.1% 17.1% 88.5% 76.1% 88.5% Bid-Ask Spread % 131.66 91.95 163.24 109.41 160.08 Gamma HHI 0.41 0.27 0.56 0.43 0.46 Net GEX 612 -86 860 831 779 Net DEX 131.0K 37.1K 151.4K 145.5K 151.4K Net VEX -177 -545 -110 -130 -110 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.69 1.24 0.89 0.69 Total Volume 124 112 152 132 152 Total OI 359 338 398 338 398
Daily Data (20 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 2016-02-01 $8.02 $0.00 81.8% 23.4% 61.9% 40.5% 0.0% -6.2% -42.1% 831 145.5K -130 0.89 109.41 N/A N/A 70 62 140 198 2016-02-02 $7.71 $0.00 66.5% 19.1% 62.9% 32.8% 0.0% 1.3% -24.4% 583 138.3K -150 0.89 127.21 N/A N/A 70 62 140 198 2016-02-03 $7.53 $0.00 69.2% 19.8% 62.9% 34.2% 0.0% -0.9% 13.0% 463 136.9K -139 0.89 91.95 N/A N/A 70 62 140 198 2016-02-04 $7.78 $0.00 62.2% 17.5% 64.2% 30.6% 0.0% 0.7% -3.8% 631 139.4K -144 0.89 140.36 N/A N/A 70 62 140 198 2016-02-05 $7.46 $0.00 74.2% 18.0% 63.7% 36.7% 0.0% 2.0% -5.7% 600 129.7K -171 1.24 129.31 N/A N/A 50 62 140 198 2016-02-08 $7.62 $0.00 80.4% 20.8% 62.0% 39.8% 0.0% 15.7% -2.6% 650 128.3K -213 1.24 131.95 N/A N/A 50 62 160 198 2016-02-09 $7.63 $0.00 67.0% 18.0% 61.9% 33.1% 0.0% -27.2% 14.0% 606 134.5K -157 1.24 134.11 N/A N/A 50 62 160 198 2016-02-10 $7.64 $0.00 79.2% 22.7% 60.7% 39.2% 0.0% 19.8% -7.5% 728 129.9K -192 1.24 138.94 N/A N/A 50 62 160 198 2016-02-11 $7.45 $0.00 83.1% 23.8% 60.0% 41.7% 0.0% 17.7% -12.8% 572 132.6K -155 1.24 116.09 N/A N/A 50 62 160 198 2016-02-12 $7.50 $0.00 212.0% 60.8% 59.3% 100.0% 0.0% -132.4% -193.0% -86 37.1K -545 1.24 163.24 N/A N/A 50 62 160 198 2016-02-16 $7.65 $0.00 73.8% 21.2% 59.7% 34.4% 0.0% 1.1% -12.3% 674 137.9K -133 1.24 121.72 N/A N/A 50 62 160 198 2016-02-17 $7.37 $0.00 83.1% 23.8% 59.9% 38.8% 0.0% 12.0% -7.2% 522 133.8K -123 1.24 113.75 N/A N/A 50 62 160 198 2016-02-18 $7.35 $0.00 67.0% 19.2% 59.4% 31.1% 0.0% 14.6% -5.2% 598 132.2K -138 1.24 126.44 N/A N/A 50 62 160 198 2016-02-19 $7.24 $0.00 87.9% 25.2% 59.4% 41.1% 0.0% 34.2% -45.8% 616 123.9K -185 1.24 162.10 N/A N/A 50 62 160 198 2016-02-22 $7.57 $0.00 60.2% 17.3% 58.7% 27.9% 0.0% 9.1% 2.9% 541 137.5K -126 1.24 149.27 N/A N/A 50 62 160 198 2016-02-23 $7.53 $0.00 65.2% 18.7% 56.6% 30.3% 0.0% 7.7% 0.5% 623 128.1K -190 1.24 128.05 N/A N/A 50 62 160 198 2016-02-24 $7.78 $0.00 73.3% 21.0% 52.9% 34.2% 0.0% 25.4% -10.7% 672 136.6K -159 0.69 135.57 N/A N/A 90 62 160 198 2016-02-25 $8.14 $0.00 62.9% 18.0% 54.1% 29.2% 0.0% 36.6% 1.6% 860 144.3K -182 0.69 118.36 N/A N/A 90 62 200 198 2016-02-26 $8.10 $0.00 67.8% 19.4% 54.0% 31.5% 0.0% 10.3% 6.1% 778 141.5K -206 0.69 135.27 N/A N/A 90 62 200 198 2016-02-29 $8.34 $0.00 113.0% 32.4% 46.4% 53.0% 0.0% 38.7% 8.7% 779 151.4K -110 0.69 160.08 N/A N/A 90 62 200 198
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