SMCI Options History — November 2011 In November 2011, SMCI traded between $1.29 and $1.61. ATM implied volatility averaged 49.4%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 6.5% (HV 20d: 55.8%). Max pain ranged from $1.50 to $1.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2011-11-03 : Highest Volume — 100 contracts2011-11-25 : Largest IV spike — 322.5% change2011-11-25 : Highest IV Rank — 100.0%2011-11-25 : Largest Expected Move — 56.1%Monthly Statistics Metric Avg Min Max Open Close Price $1.48 $1.29 $1.61 $1.54 $1.36 Max Pain $1.50 $1.50 $1.50 $1.50 $1.50 ATM IV 49.4% 27.9% 195.6% 43.5% 40.4% Expected Move 14.4% 8.0% 56.1% 12.5% 11.6% HV 20d 55.8% 45.5% 60.6% 59.8% 48.2% HV 60d 60.6% 57.8% 64.9% 64.9% 59.4% IV Rank 14.3% 0.0% 100.0% 10.4% 7.5% IV Percentile 34.5% 0.0% 100.0% 32.9% 19.8% Term Structure 1.7% -74.1% 17.5% 1.6% 17.5% VWIV 34.3% 34.3% 34.3% 34.3% 34.3% Skew 25d 5.6% -5.3% 15.8% 10.5% 15.8% Skew 10d 7.1% -6.1% 20.1% 13.7% 17.9% Call IV 25d 41.9% 29.4% 168.0% 32.1% 29.4% Put IV 25d 47.5% 35.0% 181.0% 42.5% 45.2% Bid-Ask Spread % 60.50 23.95 173.30 23.95 61.27 Gamma HHI 0.60 0.49 0.87 0.49 0.87 Net GEX -2.1K -4.9K 1.1K -2.0K -4.9K Net DEX 96.2K 31.8K 187.4K 74.1K 177.8K Net VEX -669 -804 -418 -791 -468 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 16.667 0 100 0 100 Total OI 3,390 3,120 3,580 3,410 3,120
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 2011-11-01 $1.54 $1.50 43.5% 12.5% 59.8% 10.4% 0.0% 10.5% 1.6% -2.0K 74.1K -791 0.00 23.95 0 0 1,010 2,400 2011-11-02 $1.56 $1.50 44.2% 12.7% 57.0% 10.9% 0.0% 8.6% 0.9% -2.0K 71.4K -792 0.00 48.44 0 0 1,010 2,400 2011-11-03 $1.61 $1.50 27.9% 8.0% 57.7% 0.0% 0.0% 4.4% 17.2% -1.7K 37.5K -770 0.00 67.18 100 0 1,010 2,400 2011-11-04 $1.59 $1.50 42.4% 12.7% 56.8% 10.8% 0.0% 1.5% 2.8% -1.3K 37.5K -804 0.00 46.78 0 0 1,110 2,400 2011-11-07 $1.57 $1.50 42.2% 13.0% 55.5% 10.6% 0.0% -1.8% 3.4% -1.3K 50.8K -775 0.00 47.00 50 0 1,110 2,400 2011-11-08 $1.60 $1.50 29.5% 12.3% 55.6% 1.2% 0.0% 3.6% 4.0% -1.7K 31.8K -758 0.00 58.31 0 0 1,160 2,400 2011-11-09 $1.50 $1.50 43.9% 13.0% 60.3% 11.9% 0.0% -5.3% 2.7% -2.0K 80.0K -751 0.00 56.57 0 0 1,160 2,400 2011-11-10 $1.52 $1.50 44.3% 12.7% 60.1% 12.2% 0.0% 7.0% 3.9% -1.7K 78.8K -752 0.00 64.73 0 0 1,160 2,400 2011-11-11 $1.56 $1.50 43.1% 12.4% 60.3% 11.3% 0.0% -1.3% 5.0% -1.3K 49.7K -751 0.00 54.03 0 0 1,160 2,400 2011-11-14 $1.53 $1.50 45.1% 12.9% 60.6% 12.7% 0.0% 8.6% 1.7% -1.1K 69.8K -727 0.00 65.65 0 20 1,160 2,400 2011-11-15 $1.57 $1.50 43.7% 12.5% 60.4% 11.7% 0.0% 1.2% 4.4% -1.5K 42.8K -715 0.00 59.67 20 0 1,160 2,400 2011-11-16 $1.51 $1.50 43.1% 12.4% 59.6% 11.3% 0.0% 7.2% 6.0% -581 74.4K -707 0.00 64.76 0 0 1,180 2,400 2011-11-17 $1.48 $1.50 43.7% 12.5% 59.5% 11.7% 0.0% 0.6% 4.0% 110 106.3K -684 0.00 66.58 0 0 1,180 2,400 2011-11-18 $1.48 $1.50 43.0% 12.3% 59.3% 11.2% 0.0% 1.5% 4.7% 1.1K 107.9K -669 0.00 66.61 0 10 1,180 2,400 2011-11-21 $1.47 $1.50 43.4% 12.4% 57.6% 11.5% 0.0% -0.7% 3.8% -4.2K 123.6K -635 0.00 51.83 0 0 980 2,140 2011-11-22 $1.42 $1.50 43.3% 12.4% 55.7% 11.4% 0.0% 7.2% 3.1% -4.5K 144.1K -597 0.00 43.63 0 0 980 2,140 2011-11-23 $1.31 $1.50 46.3% 13.3% 48.5% 13.7% 0.0% 14.5% 5.5% -4.1K 181.7K -474 0.00 55.34 0 0 980 2,140 2011-11-25 $1.29 $1.50 195.6% 56.1% 45.5% 100.0% 0.0% 13.0% -74.1% -1.1K 108.4K -571 0.00 173.30 0 0 980 2,140 2011-11-28 $1.32 $1.50 43.1% 12.4% 47.2% 9.1% 0.0% 9.8% 9.8% -4.3K 184.4K -447 0.00 59.65 0 0 980 2,140 2011-11-29 $1.32 $1.50 44.7% 12.8% 47.2% 10.0% 0.0% 12.6% 8.0% -4.3K 187.4K -418 0.00 35.31 50 0 980 2,140 2011-11-30 $1.36 $1.50 40.4% 11.6% 48.2% 7.5% 34.3% 15.8% 17.5% -4.9K 177.8K -468 0.00 61.27 100 0 980 2,140
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