VICR Options History — January 2017

In January 2017, VICR traded between $14.55 and $15.80. ATM implied volatility averaged 37.0%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 4.5% (HV 20d: 32.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.94.

Notable Days

2017-01-24: Highest Volume — 323 contracts
2017-01-30: Largest IV spike — 34.1% change
2017-01-11: Highest IV Rank — 17.1%
2017-01-11: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.28	$14.55	$15.80	$15.50	$15.30
Max Pain	$12.75	$12.50	$15.00	$15.00	$12.50
ATM IV	37.0%	28.0%	44.5%	39.0%	36.9%
Expected Move	10.8%	8.0%	12.7%	11.2%	10.6%
HV 20d	32.6%	27.9%	42.1%	42.1%	32.0%
HV 60d	41.5%	39.7%	43.2%	41.6%	39.7%
IV Rank	13.4%	8.9%	17.1%	14.4%	13.3%
IV Percentile	15.4%	0.8%	41.3%	16.7%	14.3%
Term Structure	3.2%	-4.7%	14.8%	5.6%	2.5%
VWIV	38.3%	26.0%	44.6%	39.0%	35.5%
Skew 25d	6.6%	0.6%	22.7%	0.8%	4.9%
Skew 10d	8.0%	-1.0%	20.8%	-1.0%	7.0%
Call IV 25d	32.5%	27.5%	40.9%	40.9%	35.5%
Put IV 25d	39.0%	30.0%	51.2%	41.8%	40.4%
Bid-Ask Spread %	108.26	102.27	112.59	109.33	112.29
Gamma HHI	0.53	0.28	0.81	0.62	0.31
Net GEX	-14.1K	-33.7K	-1.9K	-17.7K	-1.9K
Net DEX	229.4K	171.7K	496.5K	245.6K	182.1K
Net VEX	-1.2K	-1.4K	-894	-1.4K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.81	1.28	0.81	1.13
Total Volume	293.65	254	323	283	321
Total OI	637.4	440	699	676	608

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
2017-01-03	$15.50	$15.00	39.0%	11.2%	42.1%	14.4%	39.0%	0.8%	5.6%	-17.7K	245.6K	-1.4K	0.81	109.33	N/A	N/A	156	127	159	517
2017-01-04	$15.80	$15.00	37.6%	10.8%	42.0%	13.7%	38.1%	22.7%	14.8%	-13.6K	196.3K	-1.4K	0.81	108.47	N/A	N/A	156	127	172	517
2017-01-05	$15.50	$12.50	35.7%	11.3%	32.0%	12.8%	41.4%	10.1%	2.5%	-16.5K	190.7K	-1.4K	0.81	107.25	N/A	N/A	156	127	172	517
2017-01-06	$15.55	$12.50	35.4%	11.7%	32.0%	12.6%	41.7%	11.5%	1.0%	-21.2K	199.2K	-1.4K	0.81	104.11	N/A	N/A	156	127	172	517
2017-01-09	$15.50	$12.50	36.6%	10.3%	31.8%	13.2%	36.5%	3.5%	5.9%	-17.3K	171.7K	-1.3K	0.81	102.27	N/A	N/A	156	127	172	517
2017-01-10	$15.30	$12.50	35.9%	11.0%	31.4%	12.9%	39.7%	3.0%	1.6%	-20.2K	201.2K	-1.3K	0.81	103.50	N/A	N/A	156	127	172	517
2017-01-11	$15.70	$12.50	44.5%	12.7%	30.3%	17.1%	44.6%	12.8%	-3.1%	-14.5K	195.1K	-1.3K	0.81	104.16	N/A	N/A	156	127	172	517
2017-01-12	$15.30	$12.50	38.9%	11.1%	27.9%	14.3%	39.1%	7.0%	0.0%	-26.5K	239.8K	-1.2K	0.81	107.48	N/A	N/A	156	127	172	517
2017-01-13	$15.45	$12.50	40.2%	11.5%	28.1%	15.0%	41.8%	9.7%	-0.1%	-21.1K	220.9K	-1.2K	0.81	107.28	N/A	N/A	156	127	172	517
2017-01-17	$15.08	$12.50	41.4%	11.9%	28.8%	15.6%	42.6%	4.7%	-4.7%	-30.5K	284.5K	-1.1K	0.88	108.33	N/A	N/A	156	137	172	517
2017-01-18	$15.10	$12.50	39.3%	11.3%	28.7%	14.5%	40.1%	4.9%	4.5%	-33.7K	266.5K	-1.1K	0.88	108.55	N/A	N/A	156	137	172	527
2017-01-19	$14.65	$12.50	34.0%	9.8%	30.2%	11.9%	39.1%	4.7%	1.4%	-28.8K	321.6K	-1.0K	0.88	111.07	N/A	N/A	156	137	172	527
2017-01-20	$14.55	$12.50	33.5%	9.6%	30.2%	11.6%	36.5%	2.6%	2.8%	-2.2K	496.5K	-938	0.88	109.66	N/A	N/A	156	137	172	527
2017-01-23	$14.60	$12.50	38.6%	11.1%	30.4%	14.2%	43.2%	0.8%	0.6%	-2.1K	198.1K	-894	1.06	110.59	N/A	N/A	123	131	139	301
2017-01-24	$15.30	$12.50	33.4%	9.6%	35.3%	11.6%	30.2%	6.7%	6.7%	-3.0K	188.6K	-981	1.11	109.05	N/A	N/A	153	170	139	321
2017-01-25	$15.55	$12.50	35.0%	10.0%	35.8%	12.4%	32.6%	8.5%	6.6%	-3.6K	191.8K	-1.2K	1.28	110.35	N/A	N/A	133	170	169	361
2017-01-26	$15.30	$12.50	39.2%	11.2%	35.1%	14.5%	42.7%	5.5%	-2.3%	-3.3K	214.1K	-1.3K	1.21	107.71	N/A	N/A	141	170	189	381
2017-01-27	$15.35	$12.50	28.0%	8.0%	33.7%	8.9%	26.0%	0.6%	11.8%	-2.3K	189.9K	-1.3K	1.13	111.06	N/A	N/A	151	170	197	381
2017-01-30	$15.30	$12.50	37.5%	10.8%	33.4%	13.7%	35.1%	6.7%	6.5%	-2.7K	194.0K	-1.3K	1.13	112.59	N/A	N/A	151	170	207	381
2017-01-31	$15.30	$12.50	36.9%	10.6%	32.0%	13.3%	35.5%	4.9%	2.5%	-1.9K	182.1K	-1.3K	1.13	112.29	N/A	N/A	151	170	227	381