SMCI Options History — August 2011

In August 2011, SMCI traded between $1.24 and $1.45. ATM implied volatility averaged 55.2%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 22.2% (HV 20d: 77.4%). Max pain ranged from $1.25 to $1.75. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.06.

Notable Days

2011-08-02: Highest Volume — 1,450 contracts
2011-08-08: Largest IV spike — 68.2% change
2011-08-08: Highest IV Rank — 29.3%
2011-08-08: Largest Expected Move — 19.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.35	$1.24	$1.45	$1.37	$1.37
Max Pain	$1.32	$1.25	$1.75	$1.75	$1.25
ATM IV	55.2%	43.1%	77.6%	52.3%	43.1%
Expected Move	15.7%	12.4%	19.2%	15.0%	12.4%
HV 20d	77.4%	31.1%	93.4%	31.1%	75.4%
HV 60d	50.1%	28.0%	58.0%	28.0%	58.0%
IV Rank	18.8%	8.5%	29.3%	13.8%	12.1%
IV Percentile	65.9%	27.0%	95.2%	66.1%	27.0%
Term Structure	-1.0%	-6.9%	17.4%	-3.6%	17.4%
VWIV	46.7%	37.5%	50.9%	50.7%	50.9%
Skew 25d	6.0%	-10.1%	22.4%	-1.2%	18.5%
Skew 10d	9.2%	-2.4%	22.5%	9.0%	15.9%
Call IV 25d	47.6%	31.8%	61.9%	51.8%	31.8%
Put IV 25d	53.5%	37.1%	73.6%	50.6%	50.3%
Bid-Ask Spread %	66.65	45.48	103.57	81.31	59.53
Gamma HHI	0.41	0.30	0.53	0.30	0.40
Net GEX	1.6K	-621	3.9K	-621	1.5K
Net DEX	23.1K	-46.9K	97.9K	86.6K	11.9K
Net VEX	-448	-669	-328	-429	-328
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.00	0.20	0.13	0.00
Total Volume	145.217	0	1,450	0	0
Total OI	3,552.174	2,800	4,270	2,820	2,800

Daily Data (23 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
2011-08-01	$1.37	$1.75	52.3%	15.0%	31.1%	13.8%	0.0%	-1.2%	-3.6%	-621	86.6K	-429	0.00	81.31	0	0	1,440	1,380
2011-08-02	$1.27	$1.75	65.6%	18.8%	38.7%	21.9%	50.7%	9.7%	-1.6%	-484	97.9K	-367	0.13	45.48	1,280	170	1,440	1,380
2011-08-03	$1.45	$1.50	43.6%	12.5%	64.1%	8.5%	37.5%	-3.2%	6.2%	3.7K	-46.9K	-669	0.01	47.25	1,300	10	2,720	1,550
2011-08-04	$1.39	$1.50	48.1%	13.8%	64.2%	11.2%	47.8%	-8.9%	2.1%	2.8K	-7.8K	-621	0.20	103.57	50	10	2,670	1,550
2011-08-05	$1.36	$1.25	46.2%	16.8%	64.3%	10.0%	0.0%	7.5%	-4.1%	2.1K	14.1K	-596	0.00	85.73	0	0	2,670	1,560
2011-08-08	$1.24	$1.25	77.6%	19.2%	71.3%	29.3%	0.0%	11.7%	-6.9%	1.3K	58.0K	-497	0.00	95.55	0	0	2,670	1,560
2011-08-09	$1.32	$1.25	73.6%	19.0%	76.3%	26.8%	0.0%	0.8%	-6.6%	1.8K	28.0K	-555	0.00	82.63	100	0	2,670	1,550
2011-08-10	$1.26	$1.25	62.7%	17.2%	76.6%	20.2%	0.0%	4.0%	-4.8%	957	56.3K	-485	0.00	59.40	0	120	2,670	1,550
2011-08-11	$1.36	$1.25	59.4%	17.0%	82.4%	18.2%	0.0%	4.3%	-4.0%	2.6K	-807	-558	0.00	83.54	140	0	2,670	1,460
2011-08-12	$1.36	$1.25	59.3%	17.0%	81.9%	18.0%	50.9%	8.9%	-5.6%	1.7K	13.8K	-486	0.00	84.77	160	0	2,630	1,460
2011-08-15	$1.42	$1.25	51.4%	14.7%	82.2%	13.3%	0.0%	12.1%	1.0%	3.9K	-14.8K	-494	0.00	56.79	0	0	2,550	1,460
2011-08-16	$1.39	$1.25	51.2%	14.7%	82.5%	13.1%	0.0%	10.5%	-0.1%	2.4K	3.8K	-451	0.00	56.10	0	0	2,550	1,460
2011-08-17	$1.40	$1.25	52.3%	15.0%	82.2%	20.4%	0.0%	12.4%	-1.6%	2.8K	325	-463	0.00	54.76	0	0	2,550	1,460
2011-08-18	$1.30	$1.25	59.5%	17.0%	86.0%	26.9%	0.0%	-2.6%	-4.4%	-95	42.5K	-401	0.00	54.60	0	0	2,550	1,460
2011-08-19	$1.33	$1.25	60.2%	17.2%	86.7%	27.5%	0.0%	0.9%	-5.3%	706	31.1K	-399	0.00	51.67	0	0	2,550	1,460
2011-08-22	$1.31	$1.25	58.2%	16.7%	86.7%	25.7%	0.0%	1.9%	-2.6%	1.5K	36.2K	-381	0.00	59.38	0	0	1,520	1,280
2011-08-23	$1.39	$1.25	49.5%	14.2%	90.2%	17.8%	0.0%	3.3%	-0.1%	1.0K	8.4K	-396	0.00	47.90	0	0	1,520	1,280
2011-08-24	$1.33	$1.25	51.8%	14.8%	91.0%	19.9%	0.0%	17.7%	0.1%	1.7K	28.5K	-350	0.00	57.99	0	0	1,520	1,280
2011-08-25	$1.29	$1.25	55.1%	15.8%	91.4%	22.9%	0.0%	12.6%	-2.6%	1.8K	42.0K	-336	0.00	52.95	0	0	1,520	1,280
2011-08-26	$1.32	$1.25	57.4%	16.5%	92.0%	25.0%	0.0%	22.4%	-2.6%	1.6K	32.5K	-345	0.00	101.11	0	0	1,520	1,280
2011-08-29	$1.39	$1.25	44.3%	12.7%	93.4%	13.2%	0.0%	3.9%	2.6%	1.3K	5.6K	-349	0.00	55.00	0	0	1,520	1,280
2011-08-30	$1.39	$1.25	47.2%	13.5%	89.0%	15.8%	0.0%	-10.1%	3.7%	1.2K	3.8K	-348	0.00	55.97	0	0	1,520	1,280
2011-08-31	$1.37	$1.25	43.1%	12.4%	75.4%	12.1%	0.0%	18.5%	17.4%	1.5K	11.9K	-328	0.00	59.53	0	0	1,520	1,280