SMCI Options History — June 2011

In June 2011, SMCI traded between $1.53 and $1.66. ATM implied volatility averaged 44.4%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 19.0% (HV 20d: 25.4%). Max pain ranged from $1.25 to $1.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.04.

Notable Days

  • 2011-06-08: Highest Volume — 1,020 contracts
  • 2011-06-06: Largest IV spike — 35.3% change
  • 2011-06-06: Highest IV Rank — 19.2%
  • 2011-06-17: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.60$1.53$1.66$1.63$1.61
Max Pain$1.27$1.25$1.50$1.50$1.25
ATM IV44.4%32.3%57.1%46.8%42.6%
Expected Move12.4%9.3%14.9%13.4%12.2%
HV 20d25.4%22.6%29.4%29.4%25.6%
HV 60d41.2%40.7%42.2%42.2%40.9%
IV Rank11.7%4.5%19.2%13.1%10.6%
IV Percentile36.2%2.0%79.7%48.6%24.3%
Term Structure1.8%-9.7%17.9%-2.4%5.0%
VWIV47.0%34.6%54.7%34.6%48.5%
Skew 25d6.4%-0.9%30.1%9.5%11.8%
Skew 10d21.6%-0.8%82.6%13.0%82.6%
Call IV 25d40.7%29.7%49.3%47.5%32.5%
Put IV 25d47.1%41.0%65.7%57.0%44.2%
Bid-Ask Spread %103.6093.24109.68106.28109.68
Gamma HHI0.620.540.720.610.68
Net GEX12.8K10.0K17.4K15.2K14.2K
Net DEX-303.0K-496.6K-213.8K-496.6K-231.8K
Net VEX-1.1K-1.4K-742-1.4K-742
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.220.000.00
Total Volume155.45501,020030
Total OI5,409.0914,7106,5906,5904,710

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$1.63$1.5046.8%13.4%29.4%13.1%0.0%9.5%-2.4%15.2K-496.6K-1.4K0.00106.28005,4701,120
2011-06-02$1.64$1.5040.0%11.5%28.0%9.0%0.0%6.6%-7.8%15.8K-490.5K-1.4K0.00106.27005,4701,120
2011-06-03$1.63$1.2542.2%12.3%26.6%10.3%0.0%3.9%0.6%15.7K-487.1K-1.4K0.0093.24005,4701,120
2011-06-06$1.61$1.2557.1%11.8%26.9%19.2%34.6%0.3%3.2%16.7K-463.4K-1.4K0.00100.950605,4701,120
2011-06-07$1.59$1.2550.8%11.8%25.8%15.4%0.0%0.6%4.5%17.4K-441.2K-1.3K0.0099.755005,4701,080
2011-06-08$1.56$1.2543.4%13.0%24.9%11.1%45.7%-0.9%-2.4%16.5K-367.2K-1.3K0.0096.681,02005,4401,080
2011-06-09$1.57$1.2550.1%14.4%24.2%15.0%51.5%6.0%-7.3%12.6K-308.3K-1.2K0.22100.564601004,6701,080
2011-06-10$1.53$1.2548.7%14.0%25.4%14.2%0.0%10.5%-4.1%11.2K-213.8K-1.1K0.00101.65004,2601,150
2011-06-13$1.55$1.2548.1%13.8%26.0%13.8%49.2%1.9%-3.9%11.7K-234.3K-1.1K0.1395.19390504,2601,150
2011-06-14$1.58$1.2549.2%14.1%25.4%14.5%48.7%5.5%-3.6%11.3K-254.7K-1.1K0.0097.0245004,1701,200
2011-06-15$1.58$1.2545.4%13.0%25.4%12.3%43.4%2.7%1.2%11.2K-246.4K-1.0K0.00103.8160003,9701,200
2011-06-16$1.60$1.2545.9%13.2%24.7%12.6%0.0%2.8%0.6%10.7K-231.9K-9800.00104.79003,8201,200
2011-06-17$1.60$1.2552.1%14.9%23.7%16.2%54.7%6.5%-9.7%10.0K-244.5K-9840.00106.2310003,8201,200
2011-06-20$1.60$1.2548.3%13.8%23.7%14.0%48.5%30.1%-2.4%10.3K-217.2K-9290.00106.589003,5101,200
2011-06-21$1.63$1.2539.6%11.3%22.6%8.8%0.0%1.7%14.4%11.7K-246.5K-8780.00106.61003,5101,200
2011-06-22$1.62$1.2538.5%11.0%22.6%8.1%0.0%3.6%17.9%10.6K-260.0K-8910.00106.83003,5101,200
2011-06-23$1.66$1.2532.3%9.3%24.3%4.5%0.0%3.7%4.0%12.9K-289.1K-8200.00105.510103,5101,200
2011-06-24$1.65$1.2534.7%10.0%24.3%5.9%0.0%2.2%0.7%11.6K-274.2K-8580.00106.25003,5101,210
2011-06-27$1.58$1.2543.4%12.4%27.2%11.0%0.0%7.3%1.4%11.6K-219.8K-8070.00107.93003,5101,210
2011-06-28$1.61$1.2539.1%11.2%27.6%8.5%0.0%17.3%16.1%11.3K-233.2K-8150.00108.910103,5101,210
2011-06-29$1.59$1.2538.9%11.1%25.5%8.4%0.0%7.2%14.7%12.3K-215.0K-7830.00108.52003,5101,200
2011-06-30$1.61$1.2542.6%12.2%25.6%10.6%0.0%11.8%5.0%14.2K-231.8K-7420.00109.683003,5101,200