SMCI Options History — July 2011

In July 2011, SMCI traded between $1.41 and $1.64. ATM implied volatility averaged 44.6%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 15.8% (HV 20d: 28.8%). Max pain ranged from $1.25 to $1.75. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2011-07-18: Highest Volume — 670 contracts
2011-07-05: Largest IV drop — 21.8% change
2011-07-29: Highest IV Rank — 13.4%
2011-07-29: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.54	$1.41	$1.64	$1.60	$1.41
Max Pain	$1.73	$1.25	$1.75	$1.25	$1.75
ATM IV	44.6%	32.0%	51.7%	41.0%	51.7%
Expected Move	14.0%	11.7%	14.8%	11.7%	14.8%
HV 20d	28.8%	25.1%	33.9%	25.5%	30.0%
HV 60d	36.1%	28.0%	40.9%	40.9%	28.0%
IV Rank	9.2%	1.4%	13.4%	9.6%	13.4%
IV Percentile	38.6%	1.2%	64.9%	19.5%	64.9%
Term Structure	-1.7%	-4.3%	11.1%	11.1%	-3.3%
VWIV	47.9%	46.1%	49.6%	46.1%	49.6%
Skew 25d	3.1%	-7.9%	10.1%	7.9%	4.7%
Skew 10d	5.5%	-9.1%	17.6%	-0.7%	13.9%
Call IV 25d	43.2%	36.6%	49.7%	38.1%	47.3%
Put IV 25d	46.3%	39.8%	52.8%	46.0%	52.0%
Bid-Ask Spread %	59.47	37.67	109.40	109.40	39.15
Gamma HHI	0.52	0.28	0.78	0.63	0.28
Net GEX	3.9K	-1.5K	12.9K	12.6K	-417
Net DEX	-95.4K	-277.5K	75.2K	-232.0K	75.2K
Net VEX	-570	-764	-475	-764	-475
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.00	5.00	0.00	0.00
Total Volume	77.5	0	670	0	0
Total OI	3,714	1,930	4,800	4,740	2,820

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
2011-07-01	$1.60	$1.25	41.0%	11.7%	25.5%	9.6%	0.0%	7.9%	11.1%	12.6K	-232.0K	-764	0.00	109.40	0	0	3,540	1,200
2011-07-05	$1.61	$1.75	32.0%	14.1%	25.1%	1.4%	0.0%	6.7%	-3.0%	10.5K	-250.8K	-617	0.00	64.45	0	0	3,540	1,200
2011-07-06	$1.59	$1.75	38.3%	13.9%	25.2%	5.2%	0.0%	2.6%	-2.7%	12.9K	-220.0K	-672	0.00	64.48	0	0	3,540	1,200
2011-07-07	$1.63	$1.75	32.8%	13.2%	25.8%	1.9%	46.1%	10.1%	-1.2%	10.6K	-269.9K	-624	0.00	62.18	140	0	3,540	1,200
2011-07-08	$1.64	$1.75	32.1%	13.3%	25.8%	1.5%	0.0%	9.9%	-1.0%	7.9K	-277.5K	-587	0.00	62.27	0	0	3,600	1,200
2011-07-11	$1.59	$1.75	36.2%	13.9%	25.9%	3.9%	0.0%	1.8%	-2.8%	7.3K	-244.3K	-541	0.00	64.11	0	0	3,600	1,200
2011-07-12	$1.57	$1.75	38.6%	14.3%	26.2%	5.5%	0.0%	-0.9%	-3.7%	11.7K	-222.3K	-536	0.00	66.82	0	0	3,600	1,200
2011-07-13	$1.60	$1.75	42.4%	14.4%	25.6%	7.8%	0.0%	3.9%	-3.9%	4.0K	-250.7K	-510	0.00	65.25	0	0	3,600	1,200
2011-07-14	$1.60	$1.75	48.3%	13.9%	25.6%	11.4%	0.0%	2.3%	-2.6%	4.6K	-254.4K	-510	0.00	65.91	270	0	3,600	1,200
2011-07-15	$1.63	$1.75	44.6%	12.8%	26.1%	9.1%	0.0%	7.8%	0.6%	-1.5K	-243.3K	-512	0.00	59.56	160	0	3,460	1,200
2011-07-18	$1.54	$1.75	50.0%	14.3%	33.2%	12.4%	49.6%	-7.9%	-2.4%	-1.1K	50.8K	-494	0.34	47.72	500	170	770	1,160
2011-07-19	$1.52	$1.75	49.5%	14.2%	33.3%	12.1%	0.0%	-7.5%	-1.4%	-166	48.6K	-556	0.00	49.99	150	0	1,200	1,330
2011-07-20	$1.48	$1.75	49.5%	14.2%	33.5%	12.1%	0.0%	3.0%	-1.8%	-157	56.8K	-561	5.00	48.05	10	50	1,330	1,330
2011-07-21	$1.50	$1.75	50.3%	14.4%	33.9%	12.6%	0.0%	4.3%	-1.9%	-134	51.8K	-598	0.00	44.72	0	0	1,340	1,380
2011-07-22	$1.50	$1.75	49.5%	14.2%	32.3%	12.1%	0.0%	-7.4%	-1.3%	-58	48.5K	-601	0.00	55.47	100	0	1,340	1,380
2011-07-25	$1.50	$1.75	50.8%	14.6%	32.3%	12.9%	0.0%	4.5%	-2.5%	141	42.4K	-617	0.00	63.08	0	0	1,440	1,380
2011-07-26	$1.48	$1.75	51.2%	14.7%	30.0%	13.1%	0.0%	0.4%	-2.7%	35	49.3K	-583	0.00	62.72	0	0	1,440	1,380
2011-07-27	$1.44	$1.75	51.7%	14.8%	30.5%	13.4%	0.0%	9.1%	-3.2%	-177	62.4K	-542	0.00	56.45	0	0	1,440	1,380
2011-07-28	$1.42	$1.75	51.7%	14.8%	30.6%	13.4%	0.0%	6.6%	-4.3%	-341	70.4K	-505	0.00	37.67	0	0	1,440	1,380
2011-07-29	$1.41	$1.75	51.7%	14.8%	30.0%	13.4%	0.0%	4.7%	-3.3%	-417	75.2K	-475	0.00	39.15	0	0	1,440	1,380