SMCI Options History — August 2008

In August 2008, SMCI traded between $0.79 and $1.07. ATM implied volatility averaged 38.0%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 3.2% (HV 20d: 41.2%). Max pain ranged from $0.75 to $0.75. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2008-08-26: Highest Volume — 1,390 contracts
  • 2008-08-27: Largest IV spike — 70.6% change
  • 2008-08-29: Highest IV Rank — 30.5%
  • 2008-08-04: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.92$0.79$1.07$0.79$1.00
Max Pain$0.75$0.75$0.75$0.75$0.75
ATM IV38.0%24.8%51.7%49.3%43.4%
Expected Move10.9%7.1%14.8%14.1%12.4%
HV 20d41.2%15.1%52.3%16.9%52.3%
HV 60d30.8%20.6%35.1%20.7%35.1%
IV Rank15.3%0.0%30.5%24.8%30.5%
IV Percentile17.3%0.0%62.3%47.2%25.8%
Term Structure9.1%-1.9%22.1%-0.2%5.8%
VWIV36.3%22.9%51.6%51.6%42.7%
Bid-Ask Spread %88.4945.14112.1379.5375.61
Gamma HHI0.690.491.000.900.67
Net GEX860-2.3K3.4K3.2K-2.0K
Net DEX-207.6K-395.8K-88.1K-91.2K-320.0K
Net VEX-230-356-83-356-339
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.0012.750.000.00
Total Volume268.09501,39000
Total OI3,905.2383,4206,0603,4206,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$0.79$0.7549.3%14.1%16.9%24.8%0.0%0.0%-0.2%3.2K-91.2K-3560.0079.53002,750670
2008-08-04$0.79$0.7551.7%14.8%17.1%28.0%0.0%0.0%-1.1%3.1K-88.1K-3400.0074.05002,750670
2008-08-05$0.79$0.7548.1%13.8%16.0%23.2%0.0%0.0%2.1%3.4K-89.0K-3370.0086.08002,750670
2008-08-06$0.79$0.7551.3%14.7%15.1%27.4%51.6%0.0%-1.9%3.2K-94.2K-3330.0082.585002,750670
2008-08-07$0.90$0.7530.2%8.7%46.7%0.0%0.0%0.0%21.9%1.6K-174.7K-2220.00112.1301002,800670
2008-08-08$0.90$0.7538.1%10.9%46.8%10.4%38.9%0.0%9.2%1.6K-172.3K-2530.0096.0810002,800770
2008-08-11$0.90$0.7534.3%9.8%45.5%5.4%0.0%0.0%9.6%1.5K-170.8K-2400.0096.08002,770770
2008-08-12$0.90$0.7534.8%10.0%45.6%6.0%0.0%0.0%8.0%1.5K-171.2K-2360.0096.08002,770770
2008-08-13$0.90$0.7528.1%8.1%45.7%0.0%0.0%0.0%20.3%740-172.9K-1670.00110.49002,770770
2008-08-14$0.90$0.7527.1%7.8%45.8%0.0%0.0%0.0%22.1%734-171.8K-1610.00110.49002,770770
2008-08-15$0.90$0.7529.0%8.3%45.0%3.3%34.5%0.0%18.8%714-173.8K-1580.00111.3611002,770770
2008-08-18$0.93$0.7539.8%11.4%46.3%21.6%30.1%0.0%8.3%541-199.5K-1850.0089.301,31002,830770
2008-08-19$0.95$0.7539.1%11.2%46.5%20.4%0.0%0.0%8.6%243-225.9K-1910.0085.88003,000770
2008-08-20$0.96$0.7540.5%11.6%46.3%22.9%40.7%0.0%7.7%155-231.3K-1910.0095.8010003,000770
2008-08-21$0.98$0.7540.3%11.5%46.0%22.4%0.0%0.0%5.0%-77-242.3K-1790.0081.953003,000770
2008-08-22$1.01$0.7532.1%9.2%46.3%8.5%32.1%0.0%13.9%-727-258.2K-1570.0045.141,20003,010770
2008-08-25$1.01$0.7533.4%9.6%45.9%10.7%33.4%0.0%15.4%-285-260.2K-1620.0092.0911003,010770
2008-08-26$1.07$0.7524.8%7.1%47.4%0.0%22.9%0.0%10.1%58-315.7K-830.00110.441,39003,120770
2008-08-27$1.04$0.7542.2%12.1%49.7%28.5%42.7%0.0%7.3%1.2K-395.8K-23612.7578.84801,0204,340770
2008-08-28$1.01$0.7540.8%11.7%51.7%26.3%0.0%0.0%-0.4%-2.3K-340.6K-2990.0048.293004,3901,670
2008-08-29$1.00$0.7543.4%12.4%52.3%30.5%0.0%0.0%5.8%-2.0K-320.0K-3390.0075.61004,3901,670