SMCI Options History — December 2010

In December 2010, SMCI traded between $1.06 and $1.20. ATM implied volatility averaged 52.8%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 18.2% (HV 20d: 34.6%). Max pain ranged from $1.25 to $1.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2010-12-01: Highest Volume — 30 contracts
2010-12-15: Largest IV drop — 38.3% change
2010-12-14: Highest IV Rank — 34.3%
2010-12-03: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.15	$1.06	$1.20	$1.06	$1.15
Max Pain	$1.25	$1.25	$1.25	$1.25	$1.25
ATM IV	52.8%	40.5%	82.6%	53.5%	43.6%
Expected Move	14.3%	11.6%	16.2%	15.3%	12.5%
HV 20d	34.6%	28.3%	39.4%	28.3%	34.3%
HV 60d	134.7%	124.2%	146.0%	146.0%	124.2%
IV Rank	16.6%	9.3%	34.3%	17.0%	11.2%
IV Percentile	54.9%	13.9%	94.8%	70.9%	20.3%
Term Structure	1.5%	-4.0%	11.4%	0.8%	5.3%
VWIV	45.8%	41.1%	50.6%	50.6%	41.1%
Skew 25d	9.7%	-5.9%	17.0%	17.0%	-3.1%
Skew 10d	14.7%	9.8%	17.5%	15.3%	12.4%
Call IV 25d	46.4%	44.2%	49.5%	44.7%	48.1%
Put IV 25d	56.0%	43.5%	62.0%	61.7%	45.1%
Bid-Ask Spread %	117.02	107.50	127.23	127.23	120.65
Gamma HHI	0.70	0.68	0.73	0.71	0.68
Net GEX	587	492	680	492	566
Net DEX	-27.7K	-34.8K	-16.4K	-16.4K	-27.4K
Net VEX	-236	-250	-210	-210	-226
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	4.545	0	30	30	30
Total OI	894.091	840	910	840	910

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-12-01	$1.06	$0.00	53.5%	15.3%	28.3%	17.0%	0.0%	17.0%	0.8%	492	-16.4K	-210	127.23	30	0	640	200
2010-12-02	$1.08	$0.00	56.0%	16.1%	29.7%	18.5%	0.0%	16.9%	0.2%	548	-20.5K	-227	125.61	0	0	670	200
2010-12-03	$1.11	$0.00	56.6%	16.2%	30.5%	18.9%	0.0%	15.4%	-4.0%	566	-23.4K	-234	124.94	0	0	670	200
2010-12-06	$1.10	$0.00	61.7%	15.9%	30.1%	21.9%	0.0%	15.3%	0.8%	568	-22.3K	-228	114.67	0	0	670	200
2010-12-07	$1.18	$0.00	53.0%	15.0%	39.4%	16.8%	0.0%	12.1%	-2.2%	634	-32.2K	-247	108.66	10	0	670	200
2010-12-08	$1.18	$0.00	54.1%	15.2%	38.5%	17.4%	0.0%	10.9%	-4.0%	653	-32.5K	-248	108.66	0	0	680	200
2010-12-09	$1.18	$0.00	55.8%	15.0%	38.5%	18.4%	0.0%	12.0%	-2.1%	654	-33.1K	-250	109.03	0	0	680	200
2010-12-10	$1.20	$0.00	55.2%	15.0%	37.3%	18.0%	0.0%	11.7%	-2.3%	680	-34.8K	-249	107.50	0	0	680	200
2010-12-13	$1.19	$0.00	67.3%	14.5%	36.1%	25.3%	50.6%	12.6%	-0.4%	680	-34.5K	-246	107.92	0	30	680	200
2010-12-14	$1.18	$1.25	82.6%	15.3%	36.1%	34.3%	0.0%	12.6%	-4.0%	592	-31.0K	-248	109.80	0	0	680	230
2010-12-15	$1.17	$1.25	51.0%	14.6%	33.6%	15.5%	0.0%	11.5%	-1.0%	578	-30.5K	-245	113.46	0	0	680	230
2010-12-16	$1.16	$1.25	49.5%	14.2%	33.9%	14.6%	0.0%	11.6%	1.6%	581	-28.6K	-242	116.00	0	0	680	230
2010-12-17	$1.15	$1.25	53.4%	15.3%	33.7%	17.0%	0.0%	12.4%	-3.2%	585	-26.6K	-240	115.26	0	0	680	230
2010-12-20	$1.14	$1.25	40.5%	11.6%	33.1%	9.3%	0.0%	9.2%	11.4%	558	-24.8K	-232	120.42	0	0	680	230
2010-12-21	$1.18	$1.25	49.8%	14.3%	34.9%	14.8%	0.0%	-0.2%	3.5%	588	-30.9K	-241	117.37	0	0	680	230
2010-12-22	$1.18	$1.25	51.4%	14.7%	34.9%	15.8%	0.0%	-0.2%	2.6%	597	-30.3K	-240	116.44	0	0	680	230
2010-12-23	$1.15	$1.25	41.9%	12.0%	36.2%	10.2%	0.0%	8.0%	10.0%	565	-26.5K	-233	122.13	0	0	680	230
2010-12-27	$1.13	$1.25	45.4%	13.0%	36.2%	12.2%	0.0%	13.8%	4.7%	535	-24.8K	-225	121.78	0	0	680	230
2010-12-28	$1.13	$1.25	46.2%	13.3%	35.4%	12.7%	0.0%	5.6%	4.1%	552	-24.8K	-225	121.78	0	0	680	230
2010-12-29	$1.15	$1.25	46.0%	13.2%	35.7%	12.6%	0.0%	13.2%	4.5%	569	-27.0K	-227	122.50	0	0	680	230
2010-12-30	$1.14	$1.25	46.7%	13.4%	34.8%	13.0%	0.0%	-5.9%	6.0%	563	-26.3K	-223	122.50	0	0	680	230
2010-12-31	$1.15	$1.25	43.6%	12.5%	34.3%	11.2%	41.1%	-3.1%	5.3%	566	-27.4K	-226	120.65	0	30	680	230