SMCI Options History — December 2011

In December 2011, SMCI traded between $1.35 and $1.60. ATM implied volatility averaged 37.1%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 12.9% (HV 20d: 50.1%). Max pain ranged from $1.25 to $1.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.14.

Notable Days

2011-12-21: Highest Volume — 410 contracts
2011-12-30: Largest IV drop — 33.9% change
2011-12-16: Highest IV Rank — 10.0%
2011-12-13: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.50	$1.35	$1.60	$1.35	$1.57
Max Pain	$1.48	$1.25	$1.50	$1.25	$1.50
ATM IV	37.1%	26.8%	44.6%	40.4%	26.8%
Expected Move	12.0%	7.7%	13.2%	11.6%	7.7%
HV 20d	50.1%	45.7%	57.5%	47.8%	48.4%
HV 60d	57.9%	51.4%	60.1%	57.9%	51.4%
IV Rank	5.6%	0.0%	10.0%	7.5%	0.0%
IV Percentile	18.7%	0.0%	49.6%	19.8%	0.0%
Term Structure	5.6%	0.3%	18.4%	15.7%	18.4%
VWIV	41.7%	41.7%	41.7%	41.7%	41.7%
Skew 25d	5.1%	-4.5%	14.3%	14.0%	-4.3%
Skew 10d	7.4%	-3.2%	18.3%	18.3%	3.8%
Call IV 25d	35.7%	27.5%	42.0%	30.3%	29.0%
Put IV 25d	40.8%	24.7%	49.8%	44.3%	24.7%
Bid-Ask Spread %	57.46	42.93	102.66	60.56	69.04
Gamma HHI	0.86	0.79	0.94	0.85	0.94
Net GEX	-7.4K	-15.0K	-4.9K	-4.9K	-15.0K
Net DEX	105.9K	29.2K	172.7K	172.7K	56.8K
Net VEX	-499	-554	-438	-473	-521
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	0.58	0.00	0.58
Total Volume	37.619	0	410	0	0
Total OI	3,050.476	2,530	3,250	3,170	3,130

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
2011-12-01	$1.35	$1.25	40.4%	11.6%	47.8%	7.5%	0.0%	14.0%	15.7%	-4.9K	172.7K	-473	0.00	60.56	0	0	1,030	2,140
2011-12-02	$1.37	$1.25	32.4%	9.3%	46.0%	2.7%	0.0%	0.5%	15.1%	-5.3K	170.2K	-464	0.00	70.77	30	0	1,030	2,140
2011-12-05	$1.42	$1.50	28.4%	12.6%	48.8%	0.3%	0.0%	13.9%	4.4%	-5.8K	150.1K	-503	0.00	47.82	0	0	1,060	2,140
2011-12-06	$1.42	$1.50	28.6%	12.5%	48.7%	0.5%	0.0%	13.1%	4.5%	-6.0K	152.9K	-499	0.00	49.85	0	0	1,060	2,140
2011-12-07	$1.45	$1.50	33.1%	12.7%	49.2%	3.1%	0.0%	14.1%	4.3%	-6.1K	137.2K	-515	0.00	52.27	50	0	1,060	2,140
2011-12-08	$1.40	$1.50	30.5%	12.6%	46.1%	1.6%	0.0%	10.3%	4.0%	-6.1K	158.4K	-488	0.00	49.52	0	0	1,110	2,140
2011-12-09	$1.51	$1.50	36.4%	12.7%	54.1%	5.1%	0.0%	-4.5%	4.5%	-6.1K	98.6K	-546	0.00	54.55	0	0	1,110	2,140
2011-12-12	$1.52	$1.50	35.5%	13.0%	53.0%	4.5%	0.0%	-3.4%	3.2%	-6.0K	90.4K	-529	0.00	55.34	0	0	1,110	2,140
2011-12-13	$1.47	$1.50	30.8%	13.2%	53.8%	1.8%	0.0%	14.3%	2.8%	-5.8K	121.9K	-508	0.00	55.85	0	0	1,110	2,140
2011-12-14	$1.46	$1.50	36.0%	12.7%	52.9%	4.9%	0.0%	11.7%	4.8%	-6.4K	131.3K	-492	0.00	56.52	0	0	1,110	2,140
2011-12-15	$1.48	$1.50	43.3%	12.4%	52.1%	9.2%	0.0%	1.3%	5.7%	-6.2K	121.7K	-497	0.00	59.21	0	0	1,110	2,140
2011-12-16	$1.49	$1.50	44.6%	12.8%	51.6%	10.0%	0.0%	2.7%	4.2%	-4.9K	117.4K	-494	0.00	59.30	100	0	1,110	2,140
2011-12-19	$1.46	$1.50	42.7%	12.2%	52.0%	8.8%	0.0%	-0.2%	3.0%	-8.4K	143.3K	-457	0.00	61.92	0	0	390	2,140
2011-12-20	$1.56	$1.50	43.5%	12.5%	57.5%	9.3%	0.0%	-0.1%	1.2%	-8.4K	83.7K	-457	0.00	56.48	0	0	390	2,140
2011-12-21	$1.58	$1.50	41.7%	11.9%	56.1%	8.2%	41.7%	-0.8%	3.0%	-8.5K	72.1K	-438	0.58	51.50	260	150	390	2,140
2011-12-22	$1.58	$1.50	42.4%	12.2%	46.9%	8.7%	0.0%	0.1%	0.3%	-8.6K	59.8K	-554	0.00	59.17	0	0	640	2,290
2011-12-23	$1.58	$1.50	39.6%	11.3%	45.9%	7.0%	0.0%	12.4%	6.4%	-9.1K	50.9K	-546	0.00	102.66	0	0	640	2,290
2011-12-27	$1.60	$1.50	42.7%	12.2%	45.7%	8.8%	0.0%	2.5%	1.9%	-8.6K	39.5K	-509	0.00	42.93	0	0	640	2,290
2011-12-28	$1.56	$1.50	40.1%	11.5%	47.4%	7.3%	0.0%	8.0%	6.2%	-10.5K	66.5K	-519	0.00	46.56	0	0	640	2,290
2011-12-29	$1.60	$1.50	40.5%	11.6%	47.2%	7.5%	0.0%	1.9%	4.4%	-9.1K	29.2K	-480	0.00	44.92	0	200	640	2,290
2011-12-30	$1.57	$1.50	26.8%	7.7%	48.4%	0.0%	0.0%	-4.3%	18.4%	-15.0K	56.8K	-521	0.00	69.04	0	0	640	2,490