SMCI Options History — September 2011

In September 2011, SMCI traded between $1.24 and $1.36. ATM implied volatility averaged 56.2%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 3.4% (HV 20d: 59.5%). Max pain ranged from $1.25 to $1.75. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.33.

Notable Days

2011-09-12: Highest Volume — 400 contracts
2011-09-07: Largest IV drop — 17.2% change
2011-09-12: Highest IV Rank — 28.6%
2011-09-15: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.29	$1.24	$1.36	$1.32	$1.25
Max Pain	$1.70	$1.25	$1.75	$1.25	$1.75
ATM IV	56.2%	47.5%	61.4%	48.9%	58.1%
Expected Move	16.3%	14.0%	16.9%	14.0%	16.6%
HV 20d	59.5%	48.4%	76.3%	75.4%	50.1%
HV 60d	61.4%	58.4%	63.2%	58.4%	63.1%
IV Rank	23.9%	16.0%	28.6%	17.3%	25.6%
IV Percentile	76.5%	48.4%	84.5%	52.0%	84.1%
Term Structure	-1.3%	-4.2%	3.6%	3.6%	-1.0%
Skew 25d	6.1%	-5.1%	14.0%	12.5%	6.0%
Skew 10d	9.3%	-7.5%	27.3%	19.0%	7.2%
Call IV 25d	47.3%	35.6%	53.8%	37.1%	43.5%
Put IV 25d	53.4%	46.0%	65.1%	49.6%	49.5%
Bid-Ask Spread %	51.32	21.72	82.24	57.80	45.20
Gamma HHI	0.51	0.31	0.77	0.53	0.45
Net GEX	1.1K	-578	4.3K	2.3K	-216
Net DEX	64.8K	-22.2K	108.9K	32.2K	107.0K
Net VEX	-192	-299	-113	-299	-123
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.00	1.00	1.00	0.00
Total Volume	24.286	0	400	0	0
Total OI	2,566.667	2,140	3,200	2,800	2,240

Daily Data (21 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
2011-09-01	$1.32	$1.25	48.9%	14.0%	75.4%	17.3%	0.0%	12.5%	3.6%	2.3K	32.2K	-299	0.00	57.80	0	0	1,520	1,280
2011-09-02	$1.27	$1.25	53.7%	15.4%	76.3%	21.6%	0.0%	8.3%	-0.1%	2.5K	53.9K	-278	0.00	21.72	0	0	1,520	1,280
2011-09-06	$1.26	$1.75	57.3%	15.8%	67.9%	24.9%	0.0%	5.0%	-0.3%	2.8K	57.9K	-248	0.00	44.38	0	0	1,520	1,280
2011-09-07	$1.34	$1.75	47.5%	15.8%	68.2%	16.0%	0.0%	1.8%	-0.9%	2.5K	22.4K	-276	0.00	62.27	0	0	1,520	1,280
2011-09-08	$1.29	$1.75	52.1%	15.5%	68.1%	20.2%	0.0%	-1.3%	-3.8%	3.3K	44.4K	-250	0.00	59.83	0	0	1,520	1,280
2011-09-09	$1.24	$1.75	54.1%	15.8%	63.5%	22.0%	0.0%	6.1%	0.1%	3.6K	66.0K	-217	0.00	47.37	0	0	1,520	1,280
2011-09-12	$1.26	$1.75	61.4%	16.9%	63.9%	28.6%	0.0%	11.3%	-3.8%	4.2K	60.3K	-209	1.00	37.30	200	200	1,520	1,280
2011-09-13	$1.29	$1.75	57.8%	16.8%	62.0%	25.4%	0.0%	9.5%	-3.9%	4.3K	27.1K	-239	0.00	40.95	0	0	1,720	1,480
2011-09-14	$1.33	$1.75	52.6%	16.7%	62.8%	20.7%	0.0%	2.9%	-4.2%	1.9K	-10.6K	-219	0.00	45.20	0	0	1,720	1,480
2011-09-15	$1.35	$1.75	59.0%	16.9%	63.1%	26.4%	0.0%	8.3%	-3.6%	744	-19.0K	-216	0.00	48.61	0	0	1,720	1,480
2011-09-16	$1.36	$1.75	56.8%	16.3%	56.5%	24.4%	0.0%	7.6%	-1.2%	-578	-22.2K	-206	0.00	52.09	0	0	1,720	1,480
2011-09-19	$1.34	$1.75	57.0%	16.3%	56.2%	24.6%	0.0%	4.9%	-1.3%	-513	96.3K	-178	0.00	54.71	10	0	860	1,280
2011-09-20	$1.28	$1.75	57.8%	16.6%	58.1%	25.3%	0.0%	14.0%	-2.4%	-443	103.2K	-161	0.00	64.78	0	0	860	1,280
2011-09-21	$1.26	$1.75	56.4%	16.2%	53.0%	24.1%	0.0%	-5.1%	-0.2%	-408	106.1K	-143	0.00	56.35	0	0	860	1,280
2011-09-22	$1.24	$1.75	58.7%	16.8%	51.0%	26.1%	0.0%	6.7%	-1.4%	-397	108.9K	-137	0.00	82.24	0	0	860	1,280
2011-09-23	$1.29	$1.75	58.5%	16.8%	51.8%	26.0%	0.0%	-1.2%	-2.1%	-421	105.0K	-143	0.00	57.54	0	0	860	1,280
2011-09-26	$1.32	$1.75	57.8%	16.6%	51.8%	25.3%	0.0%	3.0%	-0.0%	-382	103.6K	-131	0.00	59.30	0	0	860	1,280
2011-09-27	$1.34	$1.75	58.6%	16.8%	48.4%	26.1%	0.0%	5.0%	-0.6%	-347	101.9K	-134	0.00	32.82	0	0	860	1,280
2011-09-28	$1.27	$1.75	57.6%	16.5%	51.1%	25.2%	0.0%	8.7%	0.3%	-373	107.7K	-117	0.00	43.45	0	0	860	1,280
2011-09-29	$1.28	$1.75	58.3%	16.7%	51.2%	25.8%	0.0%	13.6%	-1.0%	-390	108.6K	-113	0.00	63.73	100	0	860	1,280
2011-09-30	$1.25	$1.75	58.1%	16.6%	50.1%	25.6%	0.0%	6.0%	-1.0%	-216	107.0K	-123	0.00	45.20	0	0	960	1,280