SMCI Options History — February 2011

In February 2011, SMCI traded between $1.42 and $1.59. ATM implied volatility averaged 45.7%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 5.2% (HV 20d: 40.4%). Max pain ranged from $1.00 to $1.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.04.

Notable Days

2011-02-03: Highest Volume — 3,150 contracts
2011-02-23: Largest IV spike — 116.6% change
2011-02-23: Highest IV Rank — 42.5%
2011-02-23: Largest Expected Move — 27.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.52	$1.42	$1.59	$1.42	$1.50
Max Pain	$1.04	$1.00	$1.25	$1.25	$1.00
ATM IV	45.7%	34.7%	96.4%	34.7%	38.5%
Expected Move	13.0%	10.0%	27.6%	10.0%	11.0%
HV 20d	40.4%	34.2%	43.3%	35.7%	41.6%
HV 60d	36.2%	34.1%	37.3%	34.1%	37.3%
IV Rank	12.4%	5.9%	42.5%	5.9%	8.1%
IV Percentile	22.3%	5.2%	95.6%	5.2%	7.2%
Term Structure	6.4%	-6.0%	91.8%	2.7%	-0.7%
VWIV	45.0%	36.9%	50.3%	41.0%	36.9%
Skew 25d	10.9%	-2.4%	36.4%	2.6%	3.4%
Skew 10d	16.5%	-8.4%	74.2%	-0.7%	5.5%
Call IV 25d	42.8%	28.9%	142.2%	41.0%	41.5%
Put IV 25d	53.7%	37.2%	153.5%	43.6%	44.9%
Bid-Ask Spread %	112.46	101.74	173.56	108.49	120.49
Gamma HHI	0.49	0.36	0.81	0.46	0.44
Net GEX	6.0K	2.2K	11.4K	3.3K	8.5K
Net DEX	-441.5K	-593.1K	-267.3K	-271.9K	-447.9K
Net VEX	-1.2K	-1.5K	-691	-691	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.19	0.19	0.00
Total Volume	501.053	0	3,150	250	460
Total OI	5,673.158	3,270	6,770	3,270	6,550

Daily Data (19 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
2011-02-01	$1.42	$1.25	34.7%	10.0%	35.7%	5.9%	0.0%	2.6%	2.7%	3.3K	-271.9K	-691	0.00	108.49	0	250	2,870	400
2011-02-02	$1.46	$1.25	36.1%	10.4%	34.2%	6.7%	0.0%	3.4%	14.0%	2.4K	-267.3K	-725	0.00	121.36	0	0	2,870	650
2011-02-03	$1.56	$1.25	43.5%	12.5%	39.6%	11.1%	41.0%	29.9%	6.0%	2.2K	-328.1K	-696	0.19	116.46	2,650	500	2,870	650
2011-02-04	$1.50	$1.00	42.9%	11.6%	43.0%	10.7%	45.0%	6.2%	2.6%	11.4K	-455.2K	-1.1K	0.18	104.24	1,880	330	5,010	1,150
2011-02-07	$1.54	$1.00	42.9%	11.4%	43.3%	10.8%	0.0%	24.9%	4.6%	2.5K	-387.4K	-925	0.03	101.74	300	10	3,800	1,080
2011-02-08	$1.55	$1.00	46.2%	12.3%	43.3%	12.7%	0.0%	-2.4%	1.8%	3.4K	-425.7K	-1.0K	0.00	103.82	40	0	4,090	1,090
2011-02-09	$1.57	$1.00	42.5%	13.1%	42.7%	10.5%	0.0%	13.4%	0.4%	3.4K	-445.0K	-1.0K	0.00	105.70	180	0	4,090	1,090
2011-02-10	$1.59	$1.00	49.3%	14.1%	41.6%	14.6%	49.9%	15.7%	-6.0%	3.9K	-485.9K	-1.0K	0.00	105.61	610	0	4,220	1,090
2011-02-11	$1.58	$1.00	44.4%	12.7%	42.3%	11.7%	0.0%	11.1%	0.2%	4.8K	-506.7K	-1.2K	0.00	105.82	1,100	0	4,570	1,090
2011-02-14	$1.59	$1.00	46.5%	13.3%	38.8%	12.9%	46.5%	12.1%	-3.1%	8.0K	-593.1K	-1.5K	0.00	107.00	70	0	5,670	1,090
2011-02-15	$1.58	$1.00	45.2%	12.9%	36.8%	12.1%	0.0%	9.8%	-1.2%	7.6K	-580.3K	-1.5K	0.00	105.86	20	0	5,670	1,090
2011-02-16	$1.55	$1.00	45.6%	13.1%	36.6%	12.3%	0.0%	8.3%	-2.7%	7.5K	-540.2K	-1.5K	0.00	108.03	20	0	5,680	1,090
2011-02-17	$1.50	$1.00	45.9%	13.2%	40.3%	12.6%	50.3%	8.1%	-0.8%	6.3K	-454.6K	-1.5K	0.09	107.36	110	10	5,680	1,090
2011-02-18	$1.50	$1.00	44.3%	12.7%	40.3%	11.6%	44.3%	8.3%	-0.4%	4.9K	-451.1K	-1.5K	0.00	107.13	0	100	5,620	1,100
2011-02-22	$1.46	$1.00	44.5%	12.8%	41.9%	11.7%	45.9%	3.3%	2.2%	8.5K	-419.0K	-1.4K	0.00	107.06	300	0	5,330	630
2011-02-23	$1.43	$1.00	96.4%	27.6%	42.9%	42.5%	0.0%	11.3%	91.8%	7.7K	-408.0K	-1.5K	0.00	173.56	10	0	5,510	630
2011-02-24	$1.47	$1.00	41.8%	12.0%	41.0%	10.1%	0.0%	1.4%	5.1%	9.4K	-442.4K	-1.4K	0.00	111.43	0	400	5,510	630
2011-02-25	$1.52	$1.00	36.7%	10.5%	42.2%	7.1%	36.9%	36.4%	4.3%	8.7K	-477.9K	-1.5K	0.06	115.64	160	10	5,510	1,030
2011-02-28	$1.50	$1.00	38.5%	11.0%	41.6%	8.1%	0.0%	3.4%	-0.7%	8.5K	-447.9K	-1.5K	0.00	120.49	460	0	5,520	1,030