SMCI Options History — September 2007 In September 2007, SMCI traded between $0.83 and $1.00. ATM implied volatility averaged 51.5%. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 23.9% (HV 20d: 27.6%). Max pain ranged from $1.00 to $1.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.26.
Notable Days 2007-09-12 : Highest Volume — 420 contracts2007-09-11 : Largest IV drop — 43.6% change2007-09-05 : Largest Expected Move — 20.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.93 $0.83 $1.00 $0.84 $0.98 Max Pain $1.00 $1.00 $1.00 $1.00 $1.00 ATM IV 51.5% 32.6% 69.9% 56.5% 46.4% Expected Move 15.4% 12.6% 20.0% 16.2% 13.3% HV 20d 27.6% 18.8% 35.2% 21.8% 35.2% Term Structure -1.1% -11.1% 9.7% 9.7% 4.0% VWIV 52.0% 50.4% 53.6% 53.6% 50.4% Bid-Ask Spread % 78.23 57.44 91.81 64.08 91.81 Gamma HHI 0.71 0.39 0.91 0.39 0.84 Net GEX 1.0K 70 2.5K 309 1.5K Net DEX -38.9K -72.6K -9.1K -13.0K -62.1K Net VEX -220 -349 -94 -94 -349 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.26 0.00 1.50 0.00 0.00 Total Volume 103.158 0 420 30 100 Total OI 1,217.368 600 1,800 600 1,800
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 Vol Put Vol Call OI Put OI 2007-09-04 $0.84 $1.00 56.5% 16.2% 21.8% 0.0% 0.0% 0.0% 9.7% 309 -13.0K -94 0.00 64.08 30 0 460 140 2007-09-05 $0.83 $1.00 69.9% 20.0% 21.9% 0.0% 0.0% 0.0% -11.1% 325 -13.9K -102 0.00 66.45 0 0 490 140 2007-09-06 $0.84 $1.00 55.3% 15.8% 21.0% 0.0% 0.0% 0.0% 9.0% 325 -13.9K -99 0.00 57.44 0 200 490 140 2007-09-07 $0.85 $0.00 48.6% 16.5% 18.8% 0.0% 0.0% 0.0% -5.7% 70 -9.1K -129 0.00 70.57 50 0 490 340 2007-09-10 $0.87 $0.00 57.9% 16.0% 19.3% 0.0% 0.0% 0.0% -1.7% 193 -14.9K -136 1.00 66.88 10 10 540 340 2007-09-11 $0.92 $0.00 32.6% 16.0% 26.3% 0.0% 0.0% 0.0% -4.9% 323 -18.7K -140 0.00 81.68 50 0 550 350 2007-09-12 $0.94 $0.00 43.0% 15.6% 26.8% 0.0% 0.0% 0.0% -3.3% 439 -18.2K -135 0.00 81.03 420 0 500 350 2007-09-13 $0.92 $0.00 56.1% 16.1% 27.5% 0.0% 0.0% 0.0% -5.0% 795 -29.1K -203 0.00 80.02 100 0 840 350 2007-09-14 $0.92 $0.00 55.4% 15.9% 23.6% 0.0% 0.0% 0.0% -4.4% 938 -34.1K -229 0.00 83.76 0 0 940 350 2007-09-17 $0.91 $0.00 54.2% 15.5% 24.5% 0.0% 0.0% 0.0% -3.5% 744 -31.3K -222 0.00 83.03 0 0 940 350 2007-09-18 $0.95 $0.00 52.7% 15.1% 29.2% 0.0% 0.0% 0.0% -4.4% 1.3K -37.0K -221 0.33 83.25 300 100 940 350 2007-09-19 $0.99 $0.00 53.0% 15.2% 31.2% 0.0% 0.0% 0.0% -6.2% 2.5K -64.0K -299 0.00 81.65 110 0 1,210 350 2007-09-20 $0.99 $0.00 53.7% 15.4% 30.7% 0.0% 0.0% 0.0% -5.6% 2.1K -62.4K -295 0.00 81.93 0 0 1,120 350 2007-09-21 $0.98 $0.00 53.6% 15.4% 31.0% 0.0% 53.6% 0.0% -5.8% 2.0K -60.0K -291 1.50 80.39 20 30 1,120 350 2007-09-24 $0.96 $1.00 50.3% 14.4% 33.3% 0.0% 50.4% 0.0% 1.1% 681 -49.7K -292 0.00 83.74 260 0 1,030 380 2007-09-25 $0.97 $1.00 48.8% 14.0% 33.4% 0.0% 0.0% 0.0% 2.6% 1.5K -66.1K -317 0.00 84.17 0 0 1,290 380 2007-09-26 $1.00 $1.00 44.0% 12.6% 33.9% 0.0% 0.0% 0.0% 8.5% 1.6K -72.6K -314 0.00 76.71 70 0 1,290 380 2007-09-27 $0.98 $1.00 46.1% 13.2% 35.1% 0.0% 0.0% 0.0% 5.5% 1.6K -69.4K -322 0.00 87.80 0 100 1,320 380 2007-09-28 $0.98 $1.00 46.4% 13.3% 35.2% 0.0% 0.0% 0.0% 4.0% 1.5K -62.1K -349 0.00 91.81 0 100 1,320 480
« Aug 2007 | All History | Oct 2007 » Home SMCI History September 2007