SMCI Options History — May 2011

In May 2011, SMCI traded between $1.58 and $1.70. ATM implied volatility averaged 43.1%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 9.7% (HV 20d: 52.8%). Max pain ranged from $1.00 to $1.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2011-05-20: Highest Volume — 780 contracts
  • 2011-05-09: Largest IV drop — 30.1% change
  • 2011-05-06: Highest IV Rank — 16.5%
  • 2011-05-02: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.65$1.58$1.70$1.66$1.68
Max Pain$1.31$1.00$1.75$1.75$1.50
ATM IV43.1%36.6%52.6%49.8%44.2%
Expected Move12.4%10.5%14.3%14.3%12.7%
HV 20d52.8%28.6%62.0%60.2%28.6%
HV 60d43.2%42.1%43.8%43.6%42.1%
IV Rank10.9%7.0%16.5%14.8%11.6%
IV Percentile28.8%10.0%63.3%49.0%34.3%
Term Structure1.8%-5.7%15.6%-5.7%-1.1%
VWIV46.1%34.2%52.0%50.9%43.7%
Skew 25d5.3%-3.6%14.1%1.7%-2.2%
Skew 10d15.7%6.0%32.7%12.9%6.0%
Call IV 25d40.9%32.5%50.4%46.6%44.5%
Put IV 25d46.2%37.3%50.9%48.3%42.3%
Bid-Ask Spread %102.9596.54112.9098.93110.77
Gamma HHI0.630.520.720.610.62
Net GEX10.2K6.7K15.1K9.4K14.4K
Net DEX-404.2K-534.9K-240.8K-397.7K-534.9K
Net VEX-1.7K-2.1K-1.4K-2.1K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.007.330.000.00
Total Volume117.143078020080
Total OI8,170.9526,4109,0309,0306,520

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$1.66$1.7549.8%14.3%60.2%14.8%50.9%1.7%-5.7%9.4K-397.7K-2.1K0.0098.9320006,5102,520
2011-05-03$1.62$1.7540.8%11.7%60.7%9.5%0.0%-3.6%14.8%9.3K-299.3K-2.0K0.00106.21006,4402,520
2011-05-04$1.58$1.7537.9%10.9%61.2%7.8%0.0%9.1%15.6%8.8K-240.8K-2.0K7.33109.20302206,4402,520
2011-05-05$1.62$1.7546.4%13.3%61.9%12.8%52.0%14.1%8.9%9.7K-325.0K-2.0K0.13109.9580106,4502,360
2011-05-06$1.61$1.0052.6%12.8%62.0%16.5%0.0%5.2%0.9%9.5K-312.1K-1.9K0.0096.658006,4502,370
2011-05-09$1.64$1.0036.7%12.1%62.0%7.1%0.0%8.8%1.8%8.8K-349.1K-1.9K0.0096.5435006,5302,370
2011-05-10$1.68$1.0042.6%12.3%60.6%10.6%0.0%7.3%-1.5%9.0K-416.7K-1.8K0.0096.64006,4002,370
2011-05-11$1.70$1.0042.5%12.7%60.3%10.5%47.6%11.2%-0.9%8.0K-463.0K-1.8K0.0096.5715006,4002,370
2011-05-12$1.69$1.0045.6%13.1%60.5%12.4%0.0%7.5%-2.8%8.3K-463.3K-1.8K0.0098.00006,5002,370
2011-05-13$1.69$1.0043.5%12.5%60.5%11.1%0.0%8.4%-0.1%6.7K-448.1K-1.8K0.00101.811006,5002,370
2011-05-16$1.63$1.0045.9%13.1%61.7%12.5%0.0%3.1%-1.9%8.7K-357.8K-1.7K0.0098.94006,5102,370
2011-05-17$1.63$1.0044.0%12.6%61.6%11.4%0.0%1.7%0.5%9.9K-315.9K-1.7K0.00108.3120006,5102,370
2011-05-18$1.66$1.0043.2%12.4%61.6%10.9%48.0%5.7%-1.3%8.4K-366.3K-1.7K0.00100.642006,4302,370
2011-05-19$1.69$1.0042.9%12.3%55.5%10.8%34.2%6.3%-0.6%7.6K-421.5K-1.6K0.0099.574006,4302,370
2011-05-20$1.68$1.5044.1%12.6%55.1%11.5%0.0%8.6%-1.9%7.1K-389.0K-1.6K0.00101.8007806,4002,370
2011-05-23$1.63$1.5037.1%10.6%43.7%7.3%0.0%3.2%-1.7%13.7K-490.7K-1.5K0.00105.03005,3001,110
2011-05-24$1.63$1.5036.6%10.5%42.4%7.0%0.0%4.6%-0.6%13.6K-476.6K-1.5K0.00107.770105,3001,110
2011-05-25$1.62$1.5046.6%13.4%29.3%12.9%0.0%3.7%4.2%13.9K-453.0K-1.5K0.00108.0510005,3001,120
2011-05-26$1.64$1.5040.7%11.7%29.2%9.4%0.0%2.2%10.0%15.1K-459.7K-1.5K0.00112.9010005,3001,120
2011-05-27$1.66$1.5041.7%11.9%29.8%10.0%0.0%4.6%0.9%14.4K-506.9K-1.5K0.0097.77005,4001,120
2011-05-31$1.68$1.5044.2%12.7%28.6%11.6%43.7%-2.2%-1.1%14.4K-534.9K-1.4K0.00110.778005,4001,120