SMCI Options History — April 2011

In April 2011, SMCI traded between $1.53 and $1.90. ATM implied volatility averaged 42.4%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 5.5% (HV 20d: 36.9%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.58.

Notable Days

2011-04-26: Highest Volume — 3,230 contracts
2011-04-25: Largest IV spike — 30.1% change
2011-04-26: Highest IV Rank — 17.5%
2011-04-26: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.65	$1.53	$1.90	$1.62	$1.71
Max Pain	$1.56	$1.50	$1.75	$1.50	$1.75
ATM IV	42.4%	31.1%	54.3%	38.0%	43.8%
Expected Move	12.4%	9.5%	15.6%	10.9%	12.6%
HV 20d	36.9%	26.1%	60.8%	32.6%	59.4%
HV 60d	38.1%	34.8%	45.5%	36.6%	45.3%
IV Rank	10.4%	3.8%	17.5%	7.8%	11.3%
IV Percentile	26.8%	2.4%	72.5%	9.6%	27.5%
Term Structure	-0.7%	-5.7%	9.3%	1.4%	-0.0%
VWIV	47.2%	41.2%	56.6%	44.5%	43.9%
Skew 25d	6.9%	-2.1%	20.0%	3.6%	1.7%
Skew 10d	8.8%	-11.0%	27.7%	7.6%	4.6%
Call IV 25d	38.8%	32.1%	50.2%	37.3%	40.3%
Put IV 25d	45.6%	36.7%	63.2%	40.9%	42.1%
Bid-Ask Spread %	99.02	74.09	113.74	113.74	107.59
Gamma HHI	0.55	0.47	0.60	0.56	0.56
Net GEX	14.5K	8.6K	25.2K	20.5K	8.8K
Net DEX	-544.7K	-859.1K	-384.7K	-622.8K	-429.4K
Net VEX	-1.6K	-2.2K	-1.2K	-1.6K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.00	3.67	0.00	0.88
Total Volume	410	0	3,230	240	320
Total OI	7,638.5	5,200	9,000	8,470	9,000

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
2011-04-01	$1.62	$1.50	38.0%	10.9%	32.6%	7.8%	0.0%	3.6%	1.4%	20.5K	-622.8K	-1.6K	0.00	113.74	240	0	7,440	1,030
2011-04-04	$1.65	$0.00	31.1%	12.2%	31.1%	3.8%	0.0%	6.1%	2.1%	24.8K	-659.6K	-1.6K	0.00	97.42	0	0	7,530	1,030
2011-04-05	$1.64	$0.00	32.9%	12.0%	30.8%	4.8%	0.0%	4.5%	1.6%	22.8K	-643.3K	-1.6K	0.00	101.00	290	0	7,440	1,030
2011-04-06	$1.65	$0.00	34.5%	11.7%	30.7%	5.8%	0.0%	5.1%	3.5%	25.2K	-639.7K	-1.5K	0.00	96.14	0	0	7,290	1,030
2011-04-07	$1.64	$0.00	35.7%	11.9%	27.7%	6.5%	44.5%	11.1%	1.7%	23.7K	-633.9K	-1.5K	0.00	92.10	60	0	7,290	1,030
2011-04-08	$1.61	$1.50	45.5%	11.3%	28.3%	12.3%	0.0%	6.1%	9.3%	18.6K	-585.0K	-1.5K	1.50	86.39	80	120	7,330	1,030
2011-04-11	$1.55	$1.50	39.6%	11.8%	31.7%	8.8%	0.0%	8.1%	-1.2%	9.9K	-458.4K	-1.5K	0.00	103.46	590	0	7,410	1,150
2011-04-12	$1.53	$1.50	44.4%	12.4%	29.7%	11.6%	0.0%	7.4%	-4.2%	9.3K	-384.7K	-1.4K	0.00	103.16	20	0	7,170	1,150
2011-04-13	$1.53	$1.50	50.9%	12.5%	29.6%	15.5%	43.7%	8.1%	-5.7%	9.9K	-401.7K	-1.4K	0.00	104.33	240	0	7,360	1,150
2011-04-14	$1.54	$1.50	42.7%	12.2%	29.2%	10.6%	0.0%	7.7%	-1.5%	10.0K	-442.1K	-1.5K	0.00	103.62	110	0	7,600	1,150
2011-04-15	$1.57	$1.50	43.2%	12.4%	27.5%	11.0%	0.0%	11.1%	-4.4%	12.3K	-511.9K	-1.5K	0.20	105.37	50	10	7,710	1,150
2011-04-18	$1.56	$1.50	48.4%	13.9%	26.1%	14.0%	0.0%	20.0%	-4.8%	14.1K	-401.7K	-1.5K	0.00	99.07	10	0	4,980	220
2011-04-19	$1.54	$1.50	43.2%	12.4%	26.5%	10.9%	0.0%	8.3%	-3.1%	13.9K	-397.6K	-1.5K	0.00	104.77	30	0	4,990	220
2011-04-20	$1.67	$1.50	33.1%	9.5%	38.1%	5.0%	54.9%	11.6%	0.3%	14.3K	-532.8K	-1.4K	1.67	95.91	60	100	5,000	220
2011-04-21	$1.70	$1.50	41.1%	11.8%	38.4%	9.7%	41.2%	-2.1%	-1.1%	13.3K	-572.1K	-1.4K	0.00	103.73	300	0	5,040	320
2011-04-25	$1.86	$1.50	53.5%	15.3%	49.4%	17.0%	51.0%	14.8%	-5.2%	10.7K	-766.1K	-1.2K	0.16	74.09	1,330	210	5,120	320
2011-04-26	$1.90	$1.75	54.3%	15.6%	49.4%	17.5%	56.6%	-0.6%	0.9%	11.1K	-859.1K	-1.2K	2.14	81.55	1,030	2,200	5,620	530
2011-04-27	$1.74	$1.75	44.7%	12.8%	60.4%	11.8%	42.3%	5.1%	-0.7%	8.6K	-498.6K	-2.2K	0.25	103.64	530	130	6,200	2,520
2011-04-28	$1.71	$1.75	46.6%	13.4%	60.8%	12.9%	46.6%	-0.6%	-2.2%	8.6K	-453.2K	-2.2K	3.67	103.33	30	110	6,370	2,600
2011-04-29	$1.71	$1.75	43.8%	12.6%	59.4%	11.3%	43.9%	1.7%	-0.0%	8.8K	-429.4K	-2.1K	0.88	107.59	170	150	6,400	2,600