SMCI Options History — March 2012 In March 2012, SMCI traded between $1.61 and $1.76. ATM implied volatility averaged 29.2%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.9% (HV 20d: 27.3%). Max pain ranged from $1.75 to $1.75. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2012-03-07 : Highest Volume — 510 contracts2012-03-14 : Largest IV spike — 23.2% change2012-03-14 : Highest IV Rank — 5.7%2012-03-06 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $1.69 $1.61 $1.76 $1.66 $1.75 Max Pain $1.75 $1.75 $1.75 $1.75 $1.75 ATM IV 29.2% 23.6% 33.3% 32.8% 31.4% Expected Move 8.9% 8.2% 12.3% 9.4% 9.0% HV 20d 27.3% 19.9% 33.0% 30.4% 20.6% HV 60d 30.3% 26.1% 36.4% 36.4% 26.3% IV Rank 3.0% 0.0% 5.7% 3.6% 4.5% IV Percentile 6.4% 0.0% 14.3% 8.3% 12.3% Term Structure 4.7% -5.9% 7.9% 3.4% 4.6% VWIV 32.2% 26.1% 42.9% 42.9% 29.8% Bid-Ask Spread % 53.12 27.23 89.38 85.71 27.23 Gamma HHI 0.64 0.34 0.83 0.56 0.78 Net GEX 2.6K -1.5K 7.0K -1.1K 6.4K Net DEX -50.2K -123.3K 22.5K -1.1K -101.7K Net VEX -425 -504 -346 -413 -422 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 40.455 0 510 0 0 Total OI 2,017.727 1,750 2,320 1,750 2,050
Daily Data (22 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 2012-03-01 $1.66 $1.75 32.8% 9.4% 30.4% 3.6% 0.0% 0.0% 3.4% -1.1K -1.1K -413 0.00 85.71 0 0 1,010 740 2012-03-02 $1.67 $1.75 28.6% 8.2% 30.5% 1.1% 0.0% 0.0% 3.6% -1.3K -2.7K -409 0.00 89.38 0 0 1,010 740 2012-03-05 $1.66 $1.75 25.0% 10.6% 29.7% 0.0% 0.0% 0.0% -0.3% -1.0K 9.4K -379 0.00 56.14 0 0 1,010 740 2012-03-06 $1.61 $1.75 30.2% 12.3% 30.8% 3.0% 42.9% 0.0% -5.9% 253 22.5K -346 0.00 55.37 0 60 1,010 740 2012-03-07 $1.67 $1.75 25.6% 8.6% 33.0% 0.3% 30.1% 0.0% 6.1% -1.5K 11.3K -373 0.00 54.92 510 0 1,010 800 2012-03-08 $1.68 $1.75 24.4% 8.5% 32.8% 0.0% 0.0% 0.0% 7.9% 661 -27.4K -497 0.00 83.23 0 0 1,520 800 2012-03-09 $1.70 $1.75 23.6% 8.6% 31.6% 0.0% 0.0% 0.0% 6.0% -560 -39.1K -504 0.00 32.50 0 0 1,520 800 2012-03-12 $1.69 $1.75 28.8% 8.6% 30.5% 3.0% 0.0% 0.0% 6.0% 208 -30.9K -477 0.00 34.60 0 0 1,520 800 2012-03-13 $1.70 $1.75 27.0% 8.8% 29.5% 2.0% 0.0% 0.0% 5.0% -263 -32.0K -470 0.00 40.34 0 0 1,520 800 2012-03-14 $1.68 $1.75 33.3% 8.7% 29.6% 5.7% 0.0% 0.0% 5.4% 945 -24.1K -457 0.00 34.32 0 0 1,520 800 2012-03-15 $1.69 $1.75 29.9% 8.6% 29.7% 3.7% 0.0% 0.0% 6.3% -70 -29.2K -452 0.00 41.18 0 0 1,520 800 2012-03-16 $1.68 $1.75 28.9% 8.3% 26.3% 3.1% 0.0% 0.0% 7.9% 1.2K -20.0K -431 0.00 41.81 0 0 1,520 800 2012-03-19 $1.70 $1.75 29.7% 8.5% 26.6% 3.6% 26.1% 0.0% 5.8% 5.9K -94.0K -427 0.00 47.04 70 0 1,520 370 2012-03-20 $1.68 $1.75 30.0% 8.6% 26.5% 3.8% 0.0% 0.0% 5.8% 5.4K -77.2K -406 0.00 46.92 0 0 1,480 370 2012-03-21 $1.68 $1.75 30.9% 8.9% 25.6% 4.3% 0.0% 0.0% 4.9% 5.5K -75.3K -400 0.00 47.09 0 0 1,480 370 2012-03-22 $1.68 $1.75 29.9% 8.6% 23.5% 3.7% 0.0% 0.0% 6.3% 5.6K -74.9K -394 0.00 52.01 0 0 1,480 370 2012-03-23 $1.70 $1.75 30.0% 8.6% 23.7% 3.7% 0.0% 0.0% 5.9% 6.0K -84.7K -401 0.00 62.24 0 0 1,480 370 2012-03-26 $1.74 $1.75 28.8% 8.3% 25.2% 3.0% 0.0% 0.0% 6.0% 7.0K -110.2K -405 0.00 62.57 0 200 1,480 370 2012-03-27 $1.75 $1.75 29.9% 8.6% 24.4% 3.6% 29.8% 0.0% 5.5% 6.8K -123.3K -423 0.00 63.06 0 50 1,480 570 2012-03-28 $1.73 $1.75 32.7% 9.4% 19.9% 5.3% 0.0% 0.0% 3.3% 5.9K -91.4K -431 0.00 54.82 0 0 1,430 620 2012-03-29 $1.76 $1.75 31.9% 9.2% 20.4% 4.9% 0.0% 0.0% 4.2% 6.2K -109.0K -429 0.00 56.06 0 0 1,430 620 2012-03-30 $1.75 $1.75 31.4% 9.0% 20.6% 4.5% 0.0% 0.0% 4.6% 6.4K -101.7K -422 0.00 27.23 0 0 1,430 620
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