SMCI Options History — March 2011

In March 2011, SMCI traded between $1.41 and $1.60. ATM implied volatility averaged 39.9%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 4.8% (HV 20d: 35.1%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.38.

Notable Days

  • 2011-03-08: Highest Volume — 2,400 contracts
  • 2011-03-08: Largest IV spike — 22.9% change
  • 2011-03-15: Highest IV Rank — 12.9%
  • 2011-03-15: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.52$1.41$1.60$1.50$1.60
Max Pain$1.43$1.00$1.50$1.00$1.50
ATM IV39.9%31.2%46.5%34.6%35.0%
Expected Move11.7%9.9%13.3%9.9%10.0%
HV 20d35.1%31.7%42.2%41.1%32.5%
HV 60d36.6%35.0%37.4%37.1%36.6%
IV Rank9.0%3.8%12.9%5.9%6.1%
IV Percentile15.1%2.4%35.1%4.4%7.2%
Term Structure1.3%-7.8%11.1%3.2%9.3%
VWIV42.6%38.4%50.8%38.4%40.6%
Skew 25d10.8%-15.8%44.7%44.7%6.6%
Skew 10d21.6%-10.3%74.8%72.9%16.0%
Call IV 25d36.8%28.7%46.0%40.1%28.7%
Put IV 25d47.5%27.4%84.8%84.8%35.3%
Bid-Ask Spread %108.4998.55119.73118.53113.78
Gamma HHI0.470.410.530.460.53
Net GEX13.3K8.6K19.4K9.4K19.4K
Net DEX-500.8K-658.0K-386.6K-510.9K-569.6K
Net VEX-1.7K-2.1K-1.6K-1.6K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.006.676.670.00
Total Volume23002,400230120
Total OI8,602.1747,0109,9507,0108,460

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$1.50$1.0034.6%9.9%41.1%5.9%0.0%44.7%3.2%9.4K-510.9K-1.6K6.67118.53302005,9801,030
2011-03-02$1.52$1.0038.5%11.0%41.2%8.1%38.4%39.5%1.4%8.6K-515.2K-1.6K0.00117.341005,9701,230
2011-03-03$1.58$1.0034.7%10.0%42.2%5.9%0.0%-1.0%10.1%9.8K-597.0K-1.6K0.00119.7332005,9801,230
2011-03-04$1.57$1.5031.2%12.1%34.9%3.8%0.0%11.2%-3.7%10.3K-616.7K-1.7K0.00103.522006,3001,230
2011-03-07$1.53$1.5037.4%12.7%33.5%7.5%50.8%10.7%-7.8%10.0K-556.5K-1.7K0.00105.1913006,3201,230
2011-03-08$1.56$1.5046.0%12.6%32.9%12.6%42.0%2.1%-3.1%9.6K-584.4K-1.7K0.0198.552,380206,1701,230
2011-03-09$1.54$1.5038.0%12.2%32.9%7.8%0.0%11.3%-3.2%17.6K-658.0K-2.1K0.11102.8890108,5501,240
2011-03-10$1.49$1.5044.6%12.8%34.7%11.8%44.6%6.0%-5.5%15.4K-539.7K-2.0K0.00103.765008,6001,250
2011-03-11$1.47$1.5042.7%12.2%34.1%10.6%0.0%3.9%-3.0%14.6K-517.3K-1.9K0.00104.957008,6001,250
2011-03-14$1.46$1.5045.5%13.0%34.1%12.3%0.0%11.4%-3.9%14.1K-471.2K-1.9K0.00104.435008,6701,250
2011-03-15$1.41$1.5046.5%13.3%35.2%12.9%0.0%-15.8%-6.2%12.2K-386.6K-1.7K0.03105.28610208,6701,250
2011-03-16$1.41$1.5045.7%13.1%35.2%12.4%0.0%0.2%-2.8%11.8K-397.5K-1.7K0.02107.56420108,6801,270
2011-03-17$1.43$1.5043.7%12.5%35.9%11.2%43.6%1.4%-1.9%11.5K-421.4K-1.7K1.00110.3920208,4801,270
2011-03-18$1.48$1.5043.0%12.3%36.1%10.8%0.0%2.7%-1.1%13.7K-488.9K-1.7K0.00106.6410008,4801,280
2011-03-21$1.52$1.5043.2%12.4%37.5%10.9%40.5%12.8%4.9%13.8K-417.1K-1.8K0.10105.97100107,2001,030
2011-03-22$1.53$1.5039.2%11.2%36.1%8.6%0.0%5.9%5.4%13.5K-439.5K-1.8K0.00107.421007,1801,030
2011-03-23$1.53$1.5039.9%11.4%35.1%9.0%39.8%0.0%4.4%13.8K-439.9K-1.8K0.00108.2223007,1901,030
2011-03-24$1.54$1.5038.3%11.0%34.0%8.0%0.0%32.8%6.5%14.2K-457.0K-1.7K0.00112.8010007,3401,030
2011-03-25$1.57$1.5034.5%9.9%32.4%5.8%0.0%24.6%11.0%15.5K-494.3K-1.8K0.00110.35007,3401,030
2011-03-28$1.57$1.5034.4%9.9%31.7%5.7%0.0%21.2%11.1%16.1K-488.2K-1.7K0.00111.4110007,3401,030
2011-03-29$1.55$1.5041.1%11.8%32.1%9.7%0.0%7.7%1.9%16.3K-483.1K-1.7K0.00109.030107,4401,030
2011-03-30$1.54$1.5040.4%11.6%31.8%9.3%40.6%7.4%2.6%14.6K-468.3K-1.7K0.00107.633007,4301,030
2011-03-31$1.60$1.5035.0%10.0%32.5%6.1%0.0%6.6%9.3%19.4K-569.6K-1.6K0.00113.7812007,4301,030