VICR Options History — February 2017

In February 2017, VICR traded between $14.15 and $16.25. ATM implied volatility averaged 39.0%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 10.6% (HV 20d: 28.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.95.

Notable Days

2017-02-27: Highest Volume — 601 contracts
2017-02-27: Largest IV spike — 23.4% change
2017-02-27: Highest IV Rank — 35.0%
2017-02-27: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.96	$14.15	$16.25	$15.00	$16.25
Max Pain	$14.87	$12.50	$15.00	$12.50	$15.00
ATM IV	39.0%	33.0%	46.0%	37.5%	42.6%
Expected Move	11.4%	9.4%	13.2%	10.8%	12.2%
HV 20d	28.4%	22.5%	31.3%	30.5%	28.0%
HV 60d	36.0%	33.0%	40.1%	40.0%	33.7%
IV Rank	22.1%	11.4%	35.0%	13.6%	31.7%
IV Percentile	27.1%	4.4%	57.9%	17.9%	44.4%
Term Structure	-2.7%	-13.1%	11.4%	-0.1%	-3.2%
VWIV	38.6%	30.9%	43.4%	40.7%	39.2%
Skew 25d	6.2%	-3.3%	16.8%	4.4%	16.8%
Skew 10d	10.6%	-5.5%	16.0%	8.3%	11.4%
Call IV 25d	36.9%	31.2%	46.9%	36.0%	34.3%
Put IV 25d	43.1%	30.8%	53.0%	40.4%	51.1%
Bid-Ask Spread %	104.69	73.79	111.84	111.84	109.78
Gamma HHI	0.34	0.29	0.45	0.31	0.32
Net GEX	-85	-2.8K	4.4K	-1.6K	-2.1K
Net DEX	136.6K	-65.9K	262.7K	181.4K	-65.9K
Net VEX	-1.4K	-2.4K	-1.0K	-1.3K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.66	1.61	1.13	1.10
Total Volume	380.579	290	601	321	601
Total OI	755.789	608	1,114	608	1,114

Daily Data (19 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
2017-02-01	$15.00	$12.50	37.5%	10.8%	30.5%	13.6%	40.7%	4.4%	-0.1%	-1.6K	181.4K	-1.3K	1.13	111.84	N/A	N/A	151	170	227	381
2017-02-02	$14.73	$15.00	37.4%	11.3%	30.0%	13.6%	38.4%	4.0%	-0.6%	-1.2K	209.6K	-1.3K	1.13	100.75	N/A	N/A	151	170	227	381
2017-02-03	$15.00	$15.00	37.3%	11.8%	30.3%	13.5%	38.9%	9.4%	-3.1%	-1.1K	201.8K	-1.2K	1.42	101.99	N/A	N/A	120	170	227	381
2017-02-06	$14.70	$15.00	33.6%	11.2%	30.9%	11.7%	38.5%	1.6%	-2.5%	-104	195.9K	-1.3K	1.42	101.86	N/A	N/A	120	170	257	381
2017-02-07	$14.45	$15.00	39.6%	11.1%	31.3%	14.7%	39.1%	-3.3%	-0.9%	295	195.0K	-1.2K	1.42	103.20	N/A	N/A	120	170	257	381
2017-02-08	$14.30	$15.00	42.6%	12.2%	31.3%	16.1%	37.7%	6.6%	-6.2%	-563	262.7K	-1.0K	0.68	104.65	N/A	N/A	219	150	257	381
2017-02-09	$14.35	$15.00	33.0%	9.4%	29.4%	11.4%	33.2%	2.7%	0.7%	1.2K	179.8K	-1.3K	0.68	110.66	N/A	N/A	219	150	356	401
2017-02-10	$14.15	$15.00	34.8%	10.0%	28.6%	12.3%	30.9%	14.4%	-2.6%	1.4K	182.4K	-1.3K	0.68	108.40	N/A	N/A	219	150	356	401
2017-02-13	$14.30	$15.00	37.6%	10.8%	28.6%	13.7%	35.6%	1.5%	-3.2%	1.2K	165.8K	-1.2K	0.68	109.45	N/A	N/A	219	150	356	401
2017-02-14	$14.60	$15.00	41.7%	12.0%	28.9%	30.8%	40.4%	2.3%	-5.3%	1.7K	162.4K	-1.3K	0.68	101.59	N/A	N/A	219	150	356	421
2017-02-15	$15.00	$15.00	38.9%	11.1%	30.6%	28.1%	39.4%	9.8%	2.4%	1.2K	135.6K	-1.3K	0.66	107.40	N/A	N/A	229	150	356	421
2017-02-16	$15.00	$15.00	41.3%	11.8%	28.5%	30.5%	41.5%	5.7%	-2.7%	2.3K	90.3K	-1.4K	0.66	73.79	N/A	N/A	229	150	366	421
2017-02-17	$15.05	$15.00	38.3%	11.0%	28.3%	27.5%	39.0%	7.0%	-0.2%	4.4K	67.2K	-1.4K	0.66	109.64	N/A	N/A	229	150	366	421
2017-02-21	$15.15	$15.00	41.3%	11.9%	28.4%	30.5%	41.4%	9.3%	-3.3%	-2.5K	160.5K	-1.3K	0.79	109.99	N/A	N/A	189	150	311	421
2017-02-22	$15.15	$15.00	41.8%	12.0%	22.9%	30.9%	41.9%	4.3%	-10.0%	-2.7K	155.7K	-1.3K	0.79	110.63	N/A	N/A	189	150	311	421
2017-02-23	$15.45	$15.00	39.5%	11.3%	23.2%	28.7%	36.5%	7.5%	11.4%	-1.6K	114.0K	-1.2K	0.77	94.82	N/A	N/A	196	150	321	421
2017-02-24	$15.40	$15.00	37.3%	10.7%	22.5%	26.5%	36.8%	0.6%	-8.1%	958	-44.1K	-1.5K	1.61	108.38	N/A	N/A	196	315	438	421
2017-02-27	$16.15	$15.00	46.0%	13.2%	28.1%	35.0%	43.4%	13.4%	-13.1%	-2.8K	46.2K	-2.1K	1.10	110.19	N/A	N/A	286	315	438	606
2017-02-28	$16.25	$15.00	42.6%	12.2%	28.0%	31.7%	39.2%	16.8%	-3.2%	-2.1K	-65.9K	-2.4K	1.10	109.78	N/A	N/A	286	315	508	606