VICR Options History — April 2016

In April 2016, VICR traded between $9.00 and $10.51. ATM implied volatility averaged 54.0%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 2.7% (HV 20d: 56.7%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.96.

Notable Days

2016-04-29: Highest Volume — 175 contracts
2016-04-13: Largest IV drop — 57.2% change
2016-04-12: Highest IV Rank — 44.8%
2016-04-22: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.75	$9.00	$10.51	$10.13	$9.63
Max Pain	$11.88	$10.00	$17.50	$17.50	$10.00
ATM IV	54.0%	41.0%	95.8%	49.6%	51.6%
Expected Move	13.7%	11.2%	16.5%	14.2%	14.8%
HV 20d	56.7%	51.3%	63.4%	56.7%	51.3%
HV 60d	53.7%	49.2%	56.2%	55.0%	50.2%
IV Rank	25.0%	18.8%	44.8%	22.9%	23.8%
IV Percentile	29.7%	13.9%	71.8%	23.4%	30.6%
Term Structure	0.7%	-7.3%	10.9%	-7.3%	3.1%
VWIV	52.0%	46.3%	56.8%	53.8%	52.0%
Skew 25d	8.0%	-5.6%	62.9%	4.0%	-5.6%
Skew 10d	21.2%	-10.5%	104.1%	14.5%	-10.5%
Call IV 25d	45.5%	37.9%	59.4%	53.9%	59.4%
Put IV 25d	53.5%	40.8%	103.8%	57.9%	53.8%
Bid-Ask Spread %	91.26	56.36	117.64	117.64	104.01
Gamma HHI	0.66	0.42	0.91	0.44	0.62
Net GEX	1.5K	753	3.0K	2.8K	1.6K
Net DEX	102.3K	-14	151.8K	145.2K	114.5K
Net VEX	-219	-374	-151	-268	-354
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.44	1.15	1.15	0.88
Total Volume	111.762	52	175	116	175
Total OI	279.667	122	390	342	390

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
2016-04-01	$10.13	$17.50	49.6%	14.2%	56.7%	22.9%	53.8%	4.0%	-7.3%	2.8K	145.2K	-268	1.15	117.64	N/A	N/A	54	62	144	198
2016-04-04	$9.60	$0.00	49.0%	11.2%	58.3%	22.6%	0.0%	2.9%	-0.1%	3.0K	144.8K	-214	1.15	81.10	N/A	N/A	54	62	144	198
2016-04-05	$9.62	$0.00	56.8%	15.1%	56.6%	26.3%	0.0%	0.1%	-2.5%	2.3K	148.0K	-228	1.15	100.59	N/A	N/A	54	62	144	198
2016-04-06	$9.36	$0.00	53.7%	15.1%	57.2%	24.8%	0.0%	1.3%	-3.0%	2.1K	151.8K	-197	1.15	80.11	N/A	N/A	54	62	144	198
2016-04-07	$9.00	$0.00	71.8%	13.4%	58.2%	33.4%	0.0%	-2.7%	0.8%	1.6K	147.5K	-190	1.15	103.26	N/A	N/A	54	62	144	198
2016-04-08	$9.12	$0.00	59.4%	13.6%	58.2%	27.6%	0.0%	-0.9%	1.1%	1.9K	114.9K	-187	1.15	67.78	N/A	N/A	54	62	144	158
2016-04-11	$9.05	$0.00	76.8%	13.2%	55.5%	35.8%	0.0%	-2.0%	8.6%	753	122.8K	-166	1.15	110.30	N/A	N/A	54	62	144	158
2016-04-12	$9.01	$0.00	95.8%	14.6%	55.5%	44.8%	0.0%	0.3%	-0.1%	794	123.3K	-157	1.15	56.36	N/A	N/A	54	62	144	158
2016-04-13	$9.52	$0.00	41.0%	11.7%	58.3%	18.8%	0.0%	21.4%	10.9%	2.4K	119.8K	-157	1.15	67.98	N/A	N/A	54	62	144	158
2016-04-14	$9.28	$0.00	51.2%	14.7%	57.9%	23.6%	0.0%	19.6%	1.5%	779	126.8K	-161	1.15	91.68	N/A	N/A	54	62	144	158
2016-04-15	$9.93	$0.00	47.8%	13.7%	63.4%	22.0%	0.0%	9.0%	3.8%	947	138.4K	-151	1.15	72.74	N/A	N/A	54	62	144	158
2016-04-18	$10.04	$0.00	44.9%	12.9%	62.4%	20.6%	0.0%	7.3%	2.3%	1.1K	-14	-170	1.04	94.54	N/A	N/A	50	52	100	22
2016-04-19	$9.84	$0.00	42.4%	12.1%	62.5%	19.4%	0.0%	-0.8%	-4.9%	1.1K	23.7K	-178	0.52	99.73	N/A	N/A	50	26	100	48
2016-04-20	$9.98	$0.00	46.8%	13.4%	62.2%	21.6%	0.0%	7.4%	-0.3%	992	48.6K	-186	0.44	116.75	N/A	N/A	50	22	100	72
2016-04-21	$10.13	$0.00	43.6%	12.5%	53.4%	20.0%	0.0%	62.9%	1.9%	814	63.5K	-224	0.44	94.48	N/A	N/A	50	22	100	92
2016-04-22	$10.39	$0.00	57.7%	16.5%	53.8%	26.7%	0.0%	23.1%	-3.0%	860	67.4K	-208	0.44	106.23	N/A	N/A	50	22	100	92
2016-04-25	$10.26	$0.00	43.9%	12.6%	53.8%	20.2%	0.0%	9.9%	3.6%	936	84.5K	-216	0.73	82.69	N/A	N/A	30	22	100	112
2016-04-26	$10.45	$0.00	46.7%	13.4%	52.3%	21.5%	46.3%	5.0%	2.2%	1.2K	77.9K	-281	1.03	88.85	N/A	N/A	60	62	120	112
2016-04-27	$10.51	$10.00	50.6%	14.5%	51.9%	23.4%	50.9%	1.5%	2.6%	1.8K	75.9K	-337	1.00	74.67	N/A	N/A	82	82	150	152
2016-04-28	$9.93	$10.00	52.5%	15.1%	51.6%	24.3%	56.8%	4.6%	-6.4%	1.9K	108.1K	-374	1.00	104.87	N/A	N/A	82	82	201	188
2016-04-29	$9.63	$10.00	51.6%	14.8%	51.3%	23.8%	52.0%	-5.6%	3.1%	1.6K	114.5K	-354	0.88	104.01	N/A	N/A	93	82	202	188