VICR Options History — March 2016 In March 2016, VICR traded between $8.57 and $10.75. ATM implied volatility averaged 49.7%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 5.6% (HV 20d: 44.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.74.
Notable Days 2016-03-04 : Highest Volume — 206 contracts2016-03-09 : Largest IV spike — 405.7% change2016-03-01 : Highest IV Rank — 41.2%2016-03-01 : Largest Expected Move — 25.3%Monthly Statistics Metric Avg Min Max Open Close Price $9.95 $8.57 $10.75 $8.57 $10.49 Max Pain $17.50 $17.50 $17.50 $17.50 $17.50 ATM IV 49.7% 9.9% 88.1% 88.1% 50.5% Expected Move 14.0% 3.5% 25.3% 25.3% 14.5% HV 20d 44.1% 37.0% 54.8% 44.0% 54.8% HV 60d 50.5% 48.6% 54.8% 48.6% 54.8% IV Rank 22.9% 4.0% 41.2% 41.2% 23.3% IV Percentile 24.8% 5.6% 63.9% 63.9% 25.8% Term Structure 5.7% -18.9% 97.3% -18.9% 4.3% VWIV 43.8% 12.0% 54.7% 49.2% 31.4% Skew 25d 17.9% -2.5% 51.0% 15.7% 32.8% Skew 10d 38.5% -5.2% 106.7% 69.9% 46.1% Call IV 25d 44.0% 32.2% 50.8% 50.3% 46.3% Put IV 25d 61.8% 41.8% 101.7% 66.0% 79.1% Bid-Ask Spread % 92.73 53.03 154.15 138.56 114.69 Gamma HHI 0.42 0.33 0.50 0.46 0.44 Net GEX 2.1K 581 3.2K 1.2K 2.5K Net DEX 139.9K 102.5K 152.5K 148.6K 148.0K Net VEX -312 -480 -200 -200 -255 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.43 1.15 0.69 1.15 Total Volume 153.591 116 206 152 116 Total OI 347.909 328 398 398 342
Daily Data (22 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 2016-03-01 $8.57 $0.00 88.1% 25.3% 44.0% 41.2% 0.0% 15.7% -18.9% 1.2K 148.6K -200 0.69 138.56 N/A N/A 90 62 200 198 2016-03-02 $8.99 $0.00 78.6% 22.5% 43.7% 36.6% 0.0% 16.5% -18.8% 581 117.1K -383 0.69 148.11 N/A N/A 90 62 200 198 2016-03-03 $9.13 $17.50 78.5% 12.5% 42.2% 36.6% 49.2% 26.6% 5.1% 1.7K 134.2K -364 0.69 118.05 N/A N/A 90 62 200 198 2016-03-04 $9.55 $17.50 44.3% 14.4% 43.3% 20.4% 52.1% 20.7% 7.8% 2.0K 119.3K -480 0.43 93.33 N/A N/A 144 62 200 198 2016-03-07 $9.92 $17.50 47.0% 15.2% 39.6% 21.7% 52.7% 5.1% 1.8% 1.9K 137.5K -379 0.43 127.41 N/A N/A 144 62 170 198 2016-03-08 $9.79 $17.50 9.9% 3.5% 40.7% 4.0% 12.0% 0.0% 97.3% 2.3K 102.5K -460 0.53 154.15 N/A N/A 116 62 156 198 2016-03-09 $9.96 $17.50 50.3% 14.4% 40.5% 23.2% 50.5% 6.9% -1.9% 1.6K 146.8K -296 0.53 84.68 N/A N/A 116 62 130 198 2016-03-10 $10.09 $17.50 49.6% 14.2% 40.2% 22.9% 49.8% 8.8% -0.4% 1.7K 147.1K -298 0.53 126.80 N/A N/A 116 62 130 198 2016-03-11 $10.52 $17.50 39.3% 11.3% 38.6% 18.0% 35.1% 40.0% 13.8% 2.4K 148.4K -300 0.53 74.04 N/A N/A 116 62 130 198 2016-03-14 $10.46 $17.50 39.8% 11.4% 39.3% 18.2% 33.7% 45.8% 15.3% 2.4K 142.3K -319 0.69 53.03 N/A N/A 90 62 134 198 2016-03-15 $10.05 $17.50 46.0% 13.2% 44.1% 21.2% 46.1% 6.9% 5.4% 2.0K 144.8K -298 0.69 68.45 N/A N/A 90 62 134 198 2016-03-16 $10.30 $17.50 50.9% 14.6% 39.9% 23.5% 46.7% 51.0% 3.4% 2.1K 146.3K -306 0.69 72.04 N/A N/A 90 62 134 198 2016-03-17 $10.31 $17.50 52.0% 14.9% 39.7% 24.0% 53.7% 9.2% -2.3% 2.0K 138.3K -318 0.69 86.69 N/A N/A 90 62 134 198 2016-03-18 $10.64 $17.50 51.7% 14.8% 38.1% 23.9% 48.0% 7.0% 1.4% 2.2K 144.4K -314 0.67 98.19 N/A N/A 93 62 134 198 2016-03-21 $10.75 $17.50 48.0% 13.8% 37.0% 22.1% 44.4% 18.7% -2.9% 2.3K 140.6K -318 0.69 81.86 N/A N/A 90 62 134 198 2016-03-22 $10.47 $17.50 42.8% 12.3% 39.4% 19.6% 38.9% 42.8% 12.6% 2.6K 141.8K -298 0.69 71.45 N/A N/A 90 62 134 198 2016-03-23 $9.58 $17.50 40.2% 11.5% 53.8% 18.4% 40.8% 3.6% 7.7% 2.4K 141.2K -248 0.69 72.79 N/A N/A 90 62 134 198 2016-03-24 $9.75 $17.50 42.6% 12.2% 52.3% 19.6% 44.0% 2.5% 5.1% 2.1K 152.5K -244 1.15 58.83 N/A N/A 54 62 134 198 2016-03-28 $9.64 $17.50 52.1% 14.9% 52.5% 24.1% 52.5% 10.3% -4.9% 2.2K 143.9K -261 1.15 64.31 N/A N/A 54 62 144 198 2016-03-29 $10.04 $17.50 41.0% 11.8% 53.3% 18.8% 40.2% -2.5% 0.2% 3.2K 151.5K -244 1.15 66.37 N/A N/A 54 62 144 198 2016-03-30 $9.89 $17.50 50.4% 14.4% 53.5% 23.3% 54.7% 6.3% -5.8% 2.4K 141.3K -283 1.15 66.18 N/A N/A 54 62 144 198 2016-03-31 $10.49 $17.50 50.5% 14.5% 54.8% 23.3% 31.4% 32.8% 4.3% 2.5K 148.0K -255 1.15 114.69 N/A N/A 54 62 144 198
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