SMCI Options History — November 2010 In November 2010, SMCI traded between $1.02 and $1.16. ATM implied volatility averaged 52.8%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 120.3% (HV 20d: 173.1%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2010-11-23 : Highest Volume — 200 contracts2010-11-08 : Largest IV spike — 16.6% change2010-11-10 : Highest IV Rank — 23.2%2010-11-19 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $1.08 $1.02 $1.16 $1.10 $1.03 ATM IV 52.8% 44.1% 64.0% 49.4% 51.1% Expected Move 14.4% 11.3% 16.6% 14.2% 14.6% HV 20d 173.1% 30.1% 208.0% 208.0% 30.4% HV 60d 153.2% 146.0% 159.7% 159.5% 146.0% IV Rank 16.7% 11.5% 23.2% 14.6% 15.6% IV Percentile 61.8% 23.1% 85.3% 47.8% 53.8% Term Structure 4.0% -2.2% 12.4% 9.3% 5.7% Skew 25d 23.3% 17.2% 30.5% 30.5% 27.9% Skew 10d 19.3% 12.6% 26.0% 26.0% 24.8% Call IV 25d 40.2% 33.6% 45.6% 33.6% 36.0% Put IV 25d 63.5% 62.5% 64.1% 64.1% 64.0% Bid-Ask Spread % 122.86 117.31 131.28 124.76 131.28 Gamma HHI 0.94 0.70 1.00 1.00 0.71 Net GEX 249 46 487 46 454 Net DEX -10.4K -17.9K -5.2K -5.2K -14.2K Net VEX -161 -222 -123 -123 -208 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 19.048 0 200 0 0 Total OI 618.095 440 840 440 840
Daily Data (21 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 2010-11-01 $1.10 $0.00 49.4% 14.2% 208.0% 14.6% 0.0% 0.0% 9.3% 46 -5.2K -123 0.00 124.76 0 0 240 200 2010-11-02 $1.15 $0.00 44.1% 12.6% 207.7% 11.5% 0.0% 0.0% 3.7% 50 -7.7K -125 0.00 123.96 0 0 240 200 2010-11-03 $1.15 $0.00 44.1% 12.6% 207.5% 11.5% 0.0% 0.0% 3.1% 50 -8.1K -124 0.00 124.31 0 0 240 200 2010-11-04 $1.16 $0.00 45.0% 12.9% 198.7% 12.0% 0.0% 0.0% -0.1% 53 -8.2K -125 0.00 124.77 10 0 240 200 2010-11-05 $1.14 $0.00 46.4% 11.7% 198.5% 12.8% 0.0% 0.0% 12.4% 66 -7.4K -127 0.00 120.85 100 0 250 200 2010-11-08 $1.13 $0.00 54.1% 11.3% 198.0% 17.4% 0.0% 0.0% 11.9% 196 -12.3K -155 0.00 121.15 0 0 350 200 2010-11-09 $1.11 $0.00 59.9% 12.6% 198.2% 20.9% 0.0% 0.0% 11.5% 193 -10.5K -152 0.00 121.79 0 0 350 200 2010-11-10 $1.11 $0.00 64.0% 12.9% 194.6% 23.2% 0.0% 0.0% 10.6% 194 -10.7K -152 0.00 121.72 90 0 350 200 2010-11-11 $1.08 $0.00 56.0% 16.1% 195.1% 18.5% 0.0% 0.0% 0.3% 288 -12.4K -169 0.00 118.61 0 0 440 200 2010-11-12 $1.06 $0.00 55.8% 16.0% 194.6% 18.4% 0.0% 0.0% 0.3% 282 -11.4K -169 0.00 117.34 0 0 440 200 2010-11-15 $1.05 $0.00 55.4% 15.9% 193.6% 18.2% 0.0% 0.0% -0.2% 289 -10.0K -162 0.00 118.60 0 0 440 200 2010-11-16 $1.02 $0.00 56.1% 16.1% 193.8% 18.6% 0.0% 0.0% 0.4% 259 -8.0K -160 0.00 117.31 0 0 440 200 2010-11-17 $1.03 $0.00 56.0% 16.1% 193.9% 18.5% 0.0% 0.0% 0.4% 265 -8.8K -160 0.00 118.27 0 0 440 200 2010-11-18 $1.05 $0.00 56.2% 16.1% 193.6% 18.6% 0.0% 0.0% -0.5% 288 -9.7K -160 0.00 119.19 0 0 440 200 2010-11-19 $1.03 $0.00 57.8% 16.6% 193.1% 19.6% 0.0% 0.0% -0.6% 276 -8.2K -159 0.00 118.37 0 0 440 200 2010-11-22 $1.04 $0.00 49.3% 14.1% 193.2% 14.5% 0.0% 30.5% 4.9% 277 -9.2K -157 0.00 129.62 0 0 440 200 2010-11-23 $1.04 $0.00 56.3% 16.1% 191.7% 18.7% 0.0% 18.1% -0.6% 274 -9.3K -156 0.00 123.87 200 0 440 200 2010-11-24 $1.06 $0.00 48.0% 13.8% 190.6% 13.8% 0.0% 17.3% 7.3% 487 -17.9K -222 0.00 125.88 0 0 640 200 2010-11-26 $1.05 $0.00 54.1% 15.5% 30.1% 17.4% 0.0% 17.2% -2.2% 483 -15.8K -211 0.00 127.13 0 0 640 200 2010-11-29 $1.03 $0.00 51.0% 14.6% 30.5% 15.6% 0.0% 28.6% 6.6% 453 -14.3K -209 0.00 131.28 0 0 640 200 2010-11-30 $1.03 $0.00 51.1% 14.6% 30.4% 15.6% 0.0% 27.9% 5.7% 454 -14.2K -208 0.00 131.28 0 0 640 200
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