SMCI Options History — October 2011

In October 2011, SMCI traded between $1.16 and $1.65. ATM implied volatility averaged 54.7%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 12.7% (HV 20d: 67.4%). Max pain ranged from $1.25 to $1.75. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.70.

Notable Days

2011-10-26: Highest Volume — 2,090 contracts
2011-10-26: Largest IV spike — 177.5% change
2011-10-26: Highest IV Rank — 100.0%
2011-10-26: Largest Expected Move — 46.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.47	$1.16	$1.65	$1.16	$1.60
Max Pain	$1.54	$1.25	$1.75	$1.75	$1.50
ATM IV	54.7%	34.8%	162.9%	64.0%	41.5%
Expected Move	16.4%	10.5%	46.7%	18.3%	11.9%
HV 20d	67.4%	55.3%	75.2%	55.3%	67.7%
HV 60d	69.9%	64.8%	72.8%	64.8%	67.6%
IV Rank	21.4%	4.6%	100.0%	31.0%	8.9%
IV Percentile	56.5%	6.3%	100.0%	91.3%	22.6%
Term Structure	-3.7%	-53.5%	7.8%	-0.3%	3.3%
VWIV	51.8%	44.1%	58.8%	52.5%	58.8%
Skew 25d	11.1%	-9.3%	42.4%	10.1%	13.0%
Skew 10d	13.8%	-1.2%	24.7%	16.5%	17.3%
Call IV 25d	45.0%	28.1%	93.6%	59.9%	28.1%
Put IV 25d	56.1%	36.7%	136.0%	70.0%	41.0%
Bid-Ask Spread %	62.85	33.29	166.90	93.82	53.69
Gamma HHI	0.59	0.35	0.91	0.44	0.49
Net GEX	612	-3.8K	2.8K	-214	-1.6K
Net DEX	65.6K	-44.0K	112.1K	112.1K	39.6K
Net VEX	-196	-817	-67	-101	-806
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.70	0.00	28.86	2.00	0.00
Total Volume	175.714	0	2,090	0	0
Total OI	2,164.286	310	3,410	2,240	3,410

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
2011-10-03	$1.16	$1.75	64.0%	18.3%	55.3%	31.0%	0.0%	10.1%	-0.3%	-214	112.1K	-101	0.00	93.82	0	0	960	1,280
2011-10-04	$1.30	$1.75	61.1%	17.5%	69.1%	28.3%	0.0%	16.1%	0.6%	-196	104.0K	-116	0.00	97.85	0	0	960	1,280
2011-10-05	$1.37	$1.75	58.0%	16.6%	68.0%	25.5%	0.0%	8.2%	-0.6%	129	94.3K	-121	0.00	45.61	0	10	960	1,280
2011-10-06	$1.40	$1.75	46.0%	13.2%	66.5%	14.7%	0.0%	-9.3%	7.8%	233	91.2K	-122	0.00	61.90	0	0	960	1,290
2011-10-07	$1.36	$1.50	34.8%	16.1%	65.5%	4.6%	0.0%	7.8%	-1.3%	164	92.8K	-88	0.00	63.69	0	0	960	1,290
2011-10-10	$1.43	$1.50	38.1%	15.3%	67.0%	7.6%	0.0%	17.2%	-4.7%	673	87.5K	-106	0.00	64.26	0	0	960	1,290
2011-10-11	$1.44	$1.50	43.9%	15.1%	66.7%	12.8%	52.5%	18.1%	-3.3%	931	85.7K	-97	0.00	47.34	0	10	960	1,290
2011-10-12	$1.46	$1.50	42.4%	14.9%	66.0%	11.4%	0.0%	19.1%	-2.2%	1.4K	82.6K	-92	0.00	48.98	0	0	960	1,280
2011-10-13	$1.49	$1.50	52.6%	15.1%	66.0%	20.7%	0.0%	6.3%	-3.3%	1.9K	80.0K	-84	0.00	44.54	0	0	960	1,280
2011-10-14	$1.52	$1.50	51.2%	14.7%	66.5%	19.4%	0.0%	9.4%	-1.9%	1.9K	75.6K	-88	2.00	49.76	20	40	960	1,280
2011-10-17	$1.50	$1.50	51.5%	14.8%	66.6%	19.6%	0.0%	4.9%	-1.8%	2.4K	82.0K	-82	0.00	63.57	0	0	940	1,300
2011-10-18	$1.54	$1.50	52.1%	15.0%	64.4%	20.3%	0.0%	11.9%	-2.1%	1.9K	77.1K	-83	0.00	33.29	0	0	940	1,300
2011-10-19	$1.48	$1.50	53.2%	15.2%	66.4%	21.2%	0.0%	1.4%	-3.7%	2.2K	83.6K	-78	0.00	63.72	10	0	940	1,300
2011-10-20	$1.44	$1.50	54.0%	15.5%	66.8%	21.9%	0.0%	15.7%	-4.9%	1.9K	88.5K	-67	0.00	53.96	0	0	950	1,300
2011-10-21	$1.46	$1.50	54.0%	15.5%	66.0%	21.9%	0.0%	17.3%	-5.3%	2.8K	89.1K	-68	0.00	50.28	100	0	950	1,300
2011-10-24	$1.52	$1.50	53.3%	15.3%	66.8%	21.3%	44.1%	7.1%	-1.6%	663	-13.8K	-68	2.00	54.36	150	300	240	70
2011-10-25	$1.44	$1.25	58.7%	16.8%	70.0%	26.2%	58.8%	5.2%	-6.6%	373	-10.2K	-137	0.03	55.96	400	10	390	370
2011-10-26	$1.59	$1.50	162.9%	46.7%	74.7%	100.0%	0.0%	42.4%	-53.5%	563	-44.0K	-196	28.86	166.90	70	2,020	660	380
2011-10-27	$1.65	$1.50	39.1%	11.2%	75.2%	7.0%	0.0%	2.9%	2.7%	-3.8K	57.5K	-690	0.00	63.89	550	0	460	2,400
2011-10-28	$1.63	$1.50	36.5%	10.5%	74.6%	5.1%	0.0%	8.7%	4.6%	-1.5K	22.5K	-817	0.00	42.42	0	0	1,010	2,400
2011-10-31	$1.60	$1.50	41.5%	11.9%	67.7%	8.9%	0.0%	13.0%	3.3%	-1.6K	39.6K	-806	0.00	53.69	0	0	1,010	2,400