VICR Options History — May 2016

In May 2016, VICR traded between $9.02 and $10.20. ATM implied volatility averaged 48.2%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 3.3% (HV 20d: 44.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2016-05-05: Highest Volume — 176 contracts
2016-05-05: Largest IV spike — 35.0% change
2016-05-05: Highest IV Rank — 32.2%
2016-05-05: Largest Expected Move — 17.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.57	$9.02	$10.20	$9.76	$10.18
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	48.2%	35.1%	69.3%	49.7%	43.8%
Expected Move	13.4%	10.1%	17.3%	14.2%	12.6%
HV 20d	44.9%	39.3%	49.9%	47.8%	43.9%
HV 60d	50.0%	49.0%	51.5%	49.9%	49.6%
IV Rank	22.2%	16.0%	32.2%	22.9%	20.1%
IV Percentile	24.6%	11.1%	58.7%	26.2%	17.1%
Term Structure	2.1%	-8.4%	20.9%	0.2%	12.5%
VWIV	46.1%	36.5%	59.8%	51.0%	52.7%
Skew 25d	10.5%	-7.1%	79.8%	5.1%	16.5%
Skew 10d	25.7%	-4.8%	120.7%	9.0%	19.0%
Call IV 25d	48.2%	33.8%	67.4%	50.4%	42.6%
Put IV 25d	58.7%	39.8%	122.9%	55.5%	59.2%
Bid-Ask Spread %	87.39	44.25	118.47	61.67	91.67
Gamma HHI	0.54	0.44	0.70	0.60	0.50
Net GEX	1.0K	-113	2.1K	1.6K	464
Net DEX	145.9K	110.5K	176.7K	152.1K	169.8K
Net VEX	-308	-390	-232	-335	-268
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.56	0.88	0.88	0.63
Total Volume	158	144	176	175	150
Total OI	427.905	406	456	435	420

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
2016-05-02	$9.76	$10.00	49.7%	14.2%	47.8%	22.9%	51.0%	5.1%	0.2%	1.6K	152.1K	-335	0.88	61.67	N/A	N/A	93	82	212	223
2016-05-03	$9.47	$10.00	58.7%	16.8%	49.1%	27.2%	59.8%	11.2%	-7.2%	1.5K	135.6K	-390	0.88	113.97	N/A	N/A	93	82	212	223
2016-05-04	$9.30	$10.00	51.3%	14.7%	48.5%	23.7%	47.2%	8.7%	8.0%	1.8K	114.2K	-353	0.88	44.25	N/A	N/A	93	82	212	194
2016-05-05	$9.26	$10.00	69.3%	17.3%	46.4%	32.2%	59.7%	2.1%	-4.5%	1.2K	110.5K	-380	0.87	106.69	N/A	N/A	94	82	222	194
2016-05-06	$9.23	$10.00	47.1%	12.3%	46.2%	21.7%	38.6%	12.3%	4.2%	1.3K	124.5K	-324	0.87	69.98	N/A	N/A	94	82	223	194
2016-05-09	$9.32	$10.00	56.2%	14.1%	46.2%	26.0%	42.9%	-2.8%	-0.9%	1.6K	112.3K	-360	0.87	83.44	N/A	N/A	94	82	223	194
2016-05-10	$9.56	$10.00	52.5%	12.2%	46.9%	24.2%	42.8%	-0.6%	2.4%	1.6K	127.0K	-294	0.66	78.23	N/A	N/A	94	62	223	194
2016-05-11	$9.80	$10.00	43.4%	12.4%	43.5%	19.9%	42.5%	6.6%	4.8%	2.0K	127.8K	-364	0.66	83.26	N/A	N/A	94	62	223	214
2016-05-12	$9.62	$10.00	48.3%	13.9%	43.0%	22.3%	48.4%	0.5%	1.6%	2.1K	154.1K	-340	0.66	86.09	N/A	N/A	94	62	223	233
2016-05-13	$9.10	$10.00	41.4%	11.9%	40.1%	19.0%	36.7%	-2.3%	1.9%	1.3K	138.2K	-298	0.66	73.86	N/A	N/A	94	62	223	213
2016-05-16	$9.15	$10.00	50.7%	14.5%	39.9%	23.4%	44.7%	-4.1%	-6.9%	1.5K	138.3K	-288	0.66	60.88	N/A	N/A	94	62	223	213
2016-05-17	$9.29	$10.00	57.0%	16.3%	40.0%	26.4%	54.9%	2.6%	-4.3%	1.2K	132.1K	-328	0.66	118.47	N/A	N/A	94	62	223	213
2016-05-18	$9.20	$10.00	53.9%	15.5%	39.6%	24.9%	48.8%	0.9%	-8.4%	502	152.8K	-300	0.56	111.27	N/A	N/A	94	53	223	223
2016-05-19	$9.02	$10.00	45.8%	13.1%	39.3%	21.1%	40.4%	-7.1%	-6.0%	394	163.5K	-232	0.56	74.68	N/A	N/A	94	53	223	224
2016-05-20	$9.67	$10.00	40.5%	11.6%	46.4%	18.6%	38.1%	6.7%	10.7%	250	164.6K	-290	0.56	112.98	N/A	N/A	94	53	223	224
2016-05-23	$9.57	$10.00	39.0%	11.2%	46.4%	17.9%	36.5%	4.7%	2.7%	221	164.9K	-245	0.57	73.96	N/A	N/A	92	52	191	223
2016-05-24	$10.08	$10.00	35.1%	10.1%	49.9%	16.0%	39.1%	68.0%	20.9%	-113	164.0K	-293	0.57	97.91	N/A	N/A	92	52	191	223
2016-05-25	$10.07	$10.00	39.6%	11.4%	49.8%	18.1%	39.7%	8.6%	2.9%	332	169.7K	-251	0.63	109.05	N/A	N/A	92	58	191	223
2016-05-26	$10.06	$10.00	44.3%	12.7%	45.4%	20.4%	49.4%	79.8%	6.1%	279	170.4K	-282	0.63	92.52	N/A	N/A	92	58	191	229
2016-05-27	$10.20	$10.00	44.2%	12.7%	44.1%	20.3%	53.3%	2.9%	4.1%	263	176.7K	-245	0.63	90.40	N/A	N/A	92	58	191	229
2016-05-31	$10.18	$10.00	43.8%	12.6%	43.9%	20.1%	52.7%	16.5%	12.5%	464	169.8K	-268	0.63	91.67	N/A	N/A	92	58	191	229