SMCI Options History — January 2012

In January 2012, SMCI traded between $1.57 and $1.75. ATM implied volatility averaged 37.5%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 0.6% (HV 20d: 36.9%). Max pain ranged from $1.50 to $1.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.18.

Notable Days

2012-01-25: Highest Volume — 1,100 contracts
2012-01-12: Largest IV spike — 51.7% change
2012-01-17: Highest IV Rank — 10.1%
2012-01-11: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.66	$1.57	$1.75	$1.58	$1.69
Max Pain	$1.50	$1.50	$1.50	$1.50	$1.50
ATM IV	37.5%	27.3%	43.8%	42.6%	36.1%
Expected Move	11.7%	9.8%	13.3%	12.2%	10.4%
HV 20d	36.9%	27.3%	48.4%	48.4%	27.3%
HV 60d	48.2%	42.7%	51.3%	51.3%	42.7%
IV Rank	6.3%	0.3%	10.1%	9.4%	5.5%
IV Percentile	22.6%	0.4%	49.2%	34.5%	15.1%
Term Structure	3.4%	-1.2%	21.1%	5.3%	3.7%
VWIV	38.5%	30.4%	43.2%	43.2%	30.4%
Skew 25d	7.5%	-1.6%	11.9%	11.9%	8.6%
Skew 10d	10.7%	1.6%	25.7%	11.0%	12.2%
Call IV 25d	35.0%	24.9%	41.0%	31.1%	34.3%
Put IV 25d	42.5%	30.1%	48.0%	42.9%	42.8%
Bid-Ask Spread %	58.96	21.82	82.38	48.67	80.22
Gamma HHI	0.75	0.47	0.90	0.89	0.77
Net GEX	-1.2K	-11.9K	6.7K	-11.0K	6.7K
Net DEX	-45.0K	-137.2K	69.2K	65.5K	-99.5K
Net VEX	-429	-658	-302	-515	-617
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.18	0.00	1.50	0.00	0.00
Total Volume	136	0	1,100	0	0
Total OI	2,854	1,150	3,400	3,130	2,630

Daily Data (20 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
2012-01-03	$1.58	$1.50	42.6%	12.2%	48.4%	9.4%	0.0%	11.9%	5.3%	-11.0K	65.5K	-515	0.00	48.67	0	0	640	2,490
2012-01-04	$1.57	$1.50	41.6%	11.9%	47.1%	8.8%	0.0%	11.3%	8.2%	-11.9K	69.2K	-504	0.00	55.43	20	0	640	2,490
2012-01-05	$1.60	$1.50	34.5%	9.9%	47.0%	4.6%	0.0%	10.5%	21.1%	-11.9K	41.8K	-477	0.00	57.61	0	0	660	2,490
2012-01-06	$1.63	$1.50	27.3%	12.9%	46.8%	0.3%	0.0%	9.0%	0.0%	-6.8K	-13.5K	-350	0.00	64.25	160	0	660	2,490
2012-01-09	$1.63	$1.50	29.9%	13.1%	44.1%	1.8%	0.0%	9.4%	-0.0%	-5.7K	-22.9K	-358	0.00	63.66	0	0	730	2,490
2012-01-10	$1.66	$1.50	27.9%	12.8%	36.2%	0.6%	0.0%	10.4%	-0.1%	-2.2K	-37.4K	-319	0.00	65.21	60	0	730	2,490
2012-01-11	$1.61	$1.50	28.1%	13.3%	38.7%	0.8%	0.0%	3.2%	1.8%	-8.1K	-19.5K	-366	0.00	66.66	0	0	790	2,490
2012-01-12	$1.67	$1.50	42.6%	12.2%	38.2%	9.4%	43.2%	5.2%	0.4%	-17	-48.3K	-318	0.00	48.01	170	0	790	2,490
2012-01-13	$1.65	$1.50	43.2%	12.4%	38.4%	9.7%	0.0%	8.1%	0.8%	-1.8K	-43.1K	-344	0.00	52.75	0	0	900	2,490
2012-01-17	$1.63	$1.50	43.8%	12.5%	38.7%	10.1%	0.0%	7.6%	0.5%	-2.8K	-39.0K	-317	0.00	53.14	0	0	900	2,490
2012-01-18	$1.64	$1.50	43.5%	12.5%	38.7%	9.9%	0.0%	7.4%	1.0%	-2.0K	-40.9K	-313	0.00	55.69	10	0	900	2,490
2012-01-19	$1.68	$1.50	43.1%	12.4%	37.9%	9.7%	0.0%	8.6%	1.3%	2.2K	-55.5K	-307	0.00	58.93	0	0	910	2,490
2012-01-20	$1.69	$1.50	42.6%	12.2%	29.9%	9.4%	42.5%	8.1%	3.0%	3.3K	-59.0K	-302	0.00	60.49	220	0	910	2,490
2012-01-23	$1.71	$1.50	42.2%	12.1%	29.9%	9.2%	42.2%	-1.6%	0.8%	1.7K	-67.3K	-370	0.00	68.56	10	0	860	290
2012-01-24	$1.75	$1.50	42.2%	12.1%	30.4%	9.1%	41.8%	2.8%	-1.2%	1.8K	-76.9K	-373	0.25	62.24	630	160	870	290
2012-01-25	$1.74	$1.50	34.2%	9.8%	30.5%	4.4%	34.2%	8.6%	6.2%	4.8K	-121.8K	-526	1.50	21.82	440	660	1,480	450
2012-01-26	$1.75	$1.50	34.9%	10.0%	30.4%	4.8%	34.9%	0.0%	4.4%	6.5K	-137.2K	-658	0.00	34.53	0	10	1,840	720
2012-01-27	$1.71	$1.50	34.2%	9.8%	30.1%	4.4%	0.0%	0.0%	4.9%	6.5K	-100.6K	-639	0.00	79.06	0	0	1,840	720
2012-01-30	$1.70	$1.50	34.7%	10.0%	28.7%	4.7%	30.4%	0.0%	5.4%	6.7K	-93.5K	-611	0.00	82.38	170	0	1,840	720
2012-01-31	$1.69	$1.50	36.1%	10.4%	27.3%	5.5%	0.0%	0.0%	3.7%	6.7K	-99.5K	-617	0.00	80.22	0	0	1,910	720