SMCI Options History — December 2007 In December 2007, SMCI traded between $0.77 and $0.90. ATM implied volatility averaged 46.2%. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 5.5% (HV 20d: 40.8%). Max pain ranged from $1.00 to $1.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2007-12-31 : Highest Volume — 1,250 contracts2007-12-28 : Largest IV spike — 34.1% change2007-12-31 : Largest Expected Move — 15.2%Monthly Statistics Metric Avg Min Max Open Close Price $0.85 $0.77 $0.90 $0.84 $0.77 Max Pain $1.00 $1.00 $1.00 $1.00 $1.00 ATM IV 46.2% 37.4% 57.7% 40.3% 52.8% Expected Move 13.2% 10.7% 15.2% 11.5% 15.2% HV 20d 40.8% 33.0% 56.7% 56.7% 36.0% HV 60d 42.8% 41.6% 44.6% 44.6% 42.9% Term Structure 8.9% -6.0% 42.7% 13.3% -1.6% Bid-Ask Spread % 97.93 72.53 112.00 107.94 72.53 Gamma HHI 0.58 0.53 0.61 0.59 0.53 Net GEX 1.3K 1.2K 1.6K 1.2K 1.4K Net DEX -34.9K -52.3K -15.3K -34.5K -15.3K Net VEX -341 -401 -246 -376 -246 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 71.5 0 1,250 0 1,250 Total OI 2,597 2,110 2,790 2,790 2,110
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 Vol Put Vol Call OI Put OI 2007-12-03 $0.84 $1.00 40.3% 11.5% 56.7% 0.0% 0.0% 0.0% 13.3% 1.2K -34.5K -376 0.00 107.94 0 0 2,020 770 2007-12-04 $0.85 $1.00 52.5% 15.0% 49.3% 0.0% 0.0% 0.0% -6.0% 1.2K -37.9K -398 0.00 108.30 0 0 2,020 770 2007-12-05 $0.86 $1.00 43.8% 12.6% 48.5% 0.0% 0.0% 0.0% 13.2% 1.2K -38.5K -384 0.00 108.42 0 0 2,020 770 2007-12-06 $0.90 $1.00 38.9% 11.2% 51.3% 0.0% 0.0% 0.0% 6.1% 1.4K -52.3K -401 0.00 108.38 0 0 2,020 770 2007-12-07 $0.89 $1.00 40.2% 13.0% 46.7% 0.0% 0.0% 0.0% 1.5% 1.3K -48.1K -397 0.00 81.66 0 0 2,020 770 2007-12-10 $0.88 $1.00 43.7% 13.8% 46.6% 0.0% 0.0% 0.0% 0.5% 1.3K -47.7K -391 0.00 79.83 20 0 2,020 770 2007-12-11 $0.85 $1.00 51.8% 15.0% 48.8% 0.0% 0.0% 0.0% 42.7% 1.3K -32.0K -353 0.00 100.06 0 50 2,000 770 2007-12-12 $0.85 $1.00 57.7% 12.4% 41.0% 0.0% 0.0% 0.0% 18.5% 1.3K -36.3K -352 0.00 101.09 0 0 2,000 720 2007-12-13 $0.85 $1.00 50.4% 14.4% 41.0% 0.0% 0.0% 0.0% 5.7% 1.3K -36.9K -348 0.00 97.96 0 10 2,000 720 2007-12-14 $0.84 $1.00 51.8% 14.8% 40.3% 0.0% 0.0% 0.0% 1.1% 1.3K -33.6K -344 0.00 100.33 0 0 2,000 720 2007-12-17 $0.83 $1.00 49.8% 14.3% 35.9% 0.0% 0.0% 0.0% 4.8% 1.2K -30.0K -322 0.00 98.48 0 0 2,000 720 2007-12-18 $0.83 $1.00 52.0% 14.9% 35.5% 0.0% 0.0% 0.0% 2.4% 1.2K -28.4K -319 0.00 100.19 0 0 2,000 720 2007-12-19 $0.83 $1.00 51.3% 14.7% 35.7% 0.0% 0.0% 0.0% 5.2% 1.2K -31.4K -320 0.00 98.86 0 0 2,000 720 2007-12-20 $0.84 $1.00 44.3% 12.7% 33.6% 0.0% 0.0% 0.0% 17.0% 1.4K -34.0K -328 0.00 97.62 0 0 2,000 720 2007-12-21 $0.85 $1.00 39.4% 11.3% 33.3% 0.0% 0.0% 0.0% 15.8% 1.5K -33.8K -323 0.00 112.00 0 100 2,000 720 2007-12-24 $0.86 $1.00 38.5% 11.0% 33.1% 0.0% 0.0% 0.0% 10.7% 1.5K -36.9K -318 0.00 108.70 0 0 1,720 420 2007-12-26 $0.86 $1.00 37.9% 10.9% 33.0% 0.0% 0.0% 0.0% 14.5% 1.5K -35.2K -312 0.00 108.88 0 0 1,720 420 2007-12-27 $0.84 $1.00 37.4% 10.7% 34.0% 0.0% 0.0% 0.0% 12.3% 1.6K -29.7K -296 0.00 91.03 0 0 1,720 420 2007-12-28 $0.81 $1.00 50.2% 14.4% 34.7% 0.0% 0.0% 0.0% 0.8% 1.5K -24.4K -287 0.00 76.27 0 0 1,720 420 2007-12-31 $0.77 $1.00 52.8% 15.2% 36.0% 0.0% 0.0% 0.0% -1.6% 1.4K -15.3K -246 0.00 72.53 1,250 0 1,720 390
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