SMCI Options History — January 2011

In January 2011, SMCI traded between $1.17 and $1.43. ATM implied volatility averaged 48.8%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 16.4% (HV 20d: 32.3%). Max pain ranged from $1.25 to $1.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.01.

Notable Days

2011-01-28: Highest Volume — 1,990 contracts
2011-01-26: Largest IV drop — 36.5% change
2011-01-25: Highest IV Rank — 23.1%
2011-01-25: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.27	$1.17	$1.43	$1.19	$1.41
Max Pain	$1.25	$1.25	$1.25	$1.25	$1.25
ATM IV	48.8%	29.7%	63.7%	46.8%	39.1%
Expected Move	14.0%	8.5%	18.3%	13.4%	11.2%
HV 20d	32.3%	25.9%	37.0%	35.1%	36.5%
HV 60d	95.2%	33.1%	120.8%	120.8%	34.1%
IV Rank	14.2%	2.9%	23.1%	13.1%	8.5%
IV Percentile	45.3%	1.6%	85.3%	31.9%	8.8%
Term Structure	0.6%	-11.6%	20.2%	7.8%	-0.2%
VWIV	45.5%	40.7%	50.4%	50.4%	40.7%
Skew 25d	4.7%	-2.2%	19.4%	0.4%	0.5%
Skew 10d	6.1%	-2.0%	10.7%	10.0%	8.6%
Call IV 25d	44.2%	26.6%	49.9%	46.3%	38.1%
Put IV 25d	48.8%	38.6%	63.8%	46.7%	38.6%
Bid-Ask Spread %	112.90	105.34	123.16	123.16	110.75
Gamma HHI	0.64	0.44	0.75	0.62	0.44
Net GEX	812	427	2.5K	477	2.5K
Net DEX	-54.2K	-231.0K	-24.4K	-29.0K	-231.0K
Net VEX	-238	-515	-204	-234	-515
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.11	0.00	0.00
Total Volume	150	0	1,990	0	580
Total OI	1,070.5	940	2,790	940	2,790

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
2011-01-03	$1.19	$1.25	46.8%	13.4%	35.1%	13.1%	0.0%	0.4%	7.8%	477	-29.0K	-234	0.00	123.16	0	0	680	260
2011-01-04	$1.17	$1.25	41.4%	11.9%	35.9%	9.9%	0.0%	-1.8%	5.4%	477	-24.8K	-226	0.00	120.34	0	0	680	260
2011-01-05	$1.18	$1.25	50.2%	14.4%	25.9%	15.1%	0.0%	-2.2%	5.6%	506	-26.6K	-226	0.00	121.02	0	0	680	260
2011-01-06	$1.17	$1.25	39.7%	11.4%	26.0%	8.9%	0.0%	-2.1%	1.6%	472	-24.4K	-223	0.00	118.31	60	0	680	260
2011-01-07	$1.18	$0.00	48.9%	14.4%	26.3%	14.3%	50.4%	-1.5%	-1.0%	487	-26.9K	-227	0.00	110.96	50	0	680	260
2011-01-10	$1.19	$1.25	50.6%	15.5%	25.9%	15.3%	0.0%	-1.3%	-4.9%	592	-31.2K	-230	0.00	108.36	0	0	730	260
2011-01-11	$1.18	$1.25	52.5%	15.4%	25.9%	16.4%	0.0%	-1.5%	-3.6%	609	-29.3K	-228	0.00	110.30	0	0	730	260
2011-01-12	$1.23	$1.25	60.5%	15.2%	29.6%	21.2%	0.0%	3.1%	0.4%	644	-38.6K	-233	0.00	110.49	50	0	730	260
2011-01-13	$1.25	$1.25	52.0%	14.9%	29.5%	16.2%	0.0%	4.2%	-3.0%	904	-42.9K	-235	0.00	110.88	0	0	780	260
2011-01-14	$1.32	$1.25	52.9%	15.2%	34.8%	16.7%	0.0%	13.1%	-1.9%	929	-58.9K	-230	0.00	111.89	10	0	780	260
2011-01-18	$1.28	$1.25	55.2%	15.8%	36.6%	18.1%	0.0%	9.1%	-4.8%	525	-49.1K	-227	0.00	110.29	100	0	740	260
2011-01-19	$1.26	$1.25	55.7%	16.0%	37.0%	18.4%	0.0%	7.4%	-5.0%	491	-44.4K	-226	0.00	111.83	0	0	740	260
2011-01-20	$1.27	$1.25	54.2%	15.5%	35.2%	17.5%	0.0%	7.9%	-3.5%	493	-47.0K	-224	0.00	112.66	0	0	740	260
2011-01-21	$1.27	$1.25	50.2%	14.4%	35.2%	15.1%	0.0%	7.0%	-0.3%	427	-47.7K	-219	0.00	108.87	0	0	740	260
2011-01-24	$1.29	$1.25	53.3%	15.3%	33.4%	16.9%	0.0%	13.9%	-1.8%	1.1K	-53.3K	-215	0.00	113.23	0	0	740	200
2011-01-25	$1.30	$1.25	63.7%	18.3%	32.4%	23.1%	0.0%	19.4%	-11.6%	1.0K	-54.8K	-214	0.00	105.34	10	0	740	200
2011-01-26	$1.36	$1.25	40.5%	11.6%	35.0%	9.3%	40.7%	0.4%	9.0%	1.1K	-68.0K	-204	0.00	109.73	150	0	750	200
2011-01-27	$1.39	$1.25	38.4%	11.0%	34.9%	8.1%	0.0%	1.5%	3.9%	1.3K	-74.1K	-214	0.00	109.61	0	0	820	200
2011-01-28	$1.43	$1.25	29.7%	8.5%	35.3%	2.9%	0.0%	15.6%	20.2%	1.2K	-81.5K	-208	0.11	120.05	1,790	200	820	200
2011-01-31	$1.41	$1.25	39.1%	11.2%	36.5%	8.5%	0.0%	0.5%	-0.2%	2.5K	-231.0K	-515	0.00	110.75	580	0	2,390	400