SMCI Options History — February 2012

In February 2012, SMCI traded between $1.65 and $1.77. ATM implied volatility averaged 36.3%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 9.8% (HV 20d: 26.5%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.25.

Notable Days

2012-02-07: Highest Volume — 200 contracts
2012-02-29: Largest IV drop — 19.2% change
2012-02-13: Highest IV Rank — 7.9%
2012-02-06: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.73	$1.65	$1.77	$1.71	$1.65
Max Pain	$1.73	$1.50	$1.75	$1.50	$1.75
ATM IV	36.3%	29.4%	40.1%	31.0%	29.4%
Expected Move	10.8%	8.4%	11.6%	8.9%	8.4%
HV 20d	26.5%	23.7%	30.9%	27.4%	30.9%
HV 60d	39.0%	35.4%	42.3%	42.3%	36.5%
IV Rank	5.6%	1.6%	7.9%	2.5%	1.6%
IV Percentile	18.0%	2.8%	29.4%	4.4%	2.8%
Term Structure	-0.5%	-4.1%	5.8%	5.0%	2.1%
VWIV	37.7%	37.7%	37.7%	37.7%	37.7%
Bid-Ask Spread %	45.95	25.15	107.82	107.82	86.98
Gamma HHI	0.78	0.53	0.96	0.83	0.53
Net GEX	7.8K	-1.4K	26.2K	8.0K	-913
Net DEX	-87.0K	-193.2K	1.9K	-109.2K	1.9K
Net VEX	-522	-614	-410	-614	-410
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.00	10.00	0.00	0.00
Total Volume	40	0	200	60	0
Total OI	2,353	1,660	2,770	2,630	1,750

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
2012-02-01	$1.71	$1.50	31.0%	8.9%	27.4%	2.5%	0.0%	0.0%	5.0%	8.0K	-109.2K	-614	0.00	107.82	60	0	1,910	720
2012-02-02	$1.71	$1.50	33.2%	9.5%	27.3%	3.8%	0.0%	0.0%	5.8%	7.8K	-107.2K	-608	0.00	49.59	0	0	1,910	720
2012-02-03	$1.74	$1.75	31.7%	11.2%	27.5%	2.9%	0.0%	0.0%	-1.9%	9.0K	-135.5K	-610	0.00	29.29	20	0	1,910	720
2012-02-06	$1.74	$1.75	36.3%	11.6%	26.9%	5.6%	0.0%	0.0%	-4.1%	8.8K	-131.2K	-584	0.00	29.29	100	0	1,890	720
2012-02-07	$1.75	$1.75	32.8%	11.5%	27.0%	3.6%	0.0%	0.0%	-3.6%	10.3K	-129.4K	-573	0.00	30.08	200	0	1,840	720
2012-02-08	$1.77	$1.75	33.8%	11.5%	26.6%	4.2%	0.0%	0.0%	-2.5%	10.9K	-161.3K	-604	0.00	25.15	0	100	1,950	720
2012-02-09	$1.72	$1.75	39.9%	11.5%	25.7%	7.8%	0.0%	0.0%	-1.2%	9.2K	-101.8K	-598	0.00	32.20	0	0	1,950	820
2012-02-10	$1.68	$1.75	39.7%	11.4%	23.7%	7.7%	0.0%	0.0%	-1.9%	7.3K	-42.7K	-531	0.00	39.27	0	0	1,950	820
2012-02-13	$1.71	$1.75	40.1%	11.5%	24.2%	7.9%	0.0%	0.0%	-2.9%	14.1K	-72.1K	-536	0.00	37.36	20	0	1,950	820
2012-02-14	$1.71	$1.75	40.0%	11.5%	23.8%	7.8%	0.0%	0.0%	-2.8%	14.4K	-68.9K	-527	0.00	34.29	0	0	1,940	820
2012-02-15	$1.71	$1.75	39.3%	11.3%	23.8%	7.4%	0.0%	0.0%	-1.5%	12.6K	-57.6K	-506	0.00	36.02	0	0	1,940	820
2012-02-16	$1.77	$1.75	39.5%	11.3%	26.1%	7.5%	0.0%	0.0%	-1.7%	25.0K	-188.6K	-512	0.00	38.10	0	0	1,940	820
2012-02-17	$1.77	$1.75	37.7%	10.8%	26.1%	6.4%	37.7%	0.0%	0.1%	26.2K	-193.2K	-494	10.00	33.03	10	100	1,940	820
2012-02-21	$1.75	$1.75	38.3%	11.0%	26.4%	6.8%	0.0%	0.0%	-1.1%	-1.1K	-42.7K	-453	0.00	43.17	0	0	940	720
2012-02-22	$1.71	$1.75	37.2%	10.7%	26.3%	6.2%	0.0%	0.0%	0.6%	-1.2K	-28.9K	-442	0.00	47.65	0	0	940	720
2012-02-23	$1.76	$1.75	36.2%	10.4%	28.0%	5.6%	0.0%	0.0%	0.5%	-1.4K	-47.1K	-443	0.00	50.93	100	0	940	720
2012-02-24	$1.74	$1.75	35.7%	10.2%	28.1%	5.3%	0.0%	0.0%	0.6%	-1.2K	-45.7K	-480	0.00	53.51	0	0	1,040	720
2012-02-27	$1.75	$1.75	37.6%	10.8%	26.6%	6.4%	0.0%	0.0%	-0.7%	-1.3K	-49.3K	-464	0.00	50.00	50	0	1,040	720
2012-02-28	$1.72	$1.75	36.4%	10.4%	27.4%	5.7%	0.0%	0.0%	0.3%	-1.4K	-30.0K	-445	0.00	65.31	0	40	1,010	720
2012-02-29	$1.65	$1.75	29.4%	8.4%	30.9%	1.6%	0.0%	0.0%	2.1%	-913	1.9K	-410	0.00	86.98	0	0	1,010	740