SMCI Options History — November 2012

In November 2012, SMCI traded between $0.81 and $0.93. ATM implied volatility averaged 49.5%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 114.1% (HV 20d: 163.6%). Max pain ranged from $0.75 to $0.75. Net GEX was positive for 5 of 11 trading days. Term structure was in contango for 4 of 11 days. Put/call ratio averaged 0.00.

Notable Days

2012-11-23: Highest Volume — 200 contracts
2012-11-27: Largest IV spike — 54.5% change
2012-11-27: Highest IV Rank — 22.9%
2012-11-27: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.87	$0.81	$0.93	$0.82	$0.93
Max Pain	$0.75	$0.75	$0.75	$0.75	$0.75
ATM IV	49.5%	40.8%	63.0%	49.4%	45.5%
Expected Move	14.2%	11.7%	18.1%	14.2%	13.0%
HV 20d	163.6%	162.5%	165.4%	162.5%	165.4%
HV 60d	100.1%	99.3%	100.6%	99.3%	100.6%
IV Rank	15.1%	10.0%	22.9%	15.0%	12.7%
IV Percentile	73.5%	52.0%	94.0%	73.4%	69.0%
Term Structure	-4.7%	-26.2%	5.5%	3.9%	0.4%
VWIV	50.9%	50.9%	50.9%	50.9%	50.9%
Skew 25d	7.7%	4.1%	13.7%	13.7%	5.5%
Skew 10d	3.2%	-1.2%	12.0%	9.7%	0.3%
Call IV 25d	44.9%	36.6%	49.3%	36.6%	48.8%
Put IV 25d	52.6%	50.4%	54.3%	50.4%	54.3%
Bid-Ask Spread %	124.92	110.43	129.40	127.21	128.66
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	76	0	220	0	95
Net DEX	-7.6K	-18.2K	0	0	-18.2K
Net VEX	-3	-10	0	0	-2
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	18.182	0	200	0	0
Total OI	90.909	0	200	0	200

Daily Data (11 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Vol	Call OI
2012-11-15	$0.82	$0.00	49.4%	14.2%	162.5%	15.0%	0.0%	0.0%	3.9%	0	0	0	127.21	0	0
2012-11-16	$0.81	$0.00	48.5%	13.9%	162.6%	14.5%	0.0%	0.0%	5.5%	0	0	0	129.40	0	0
2012-11-19	$0.84	$0.00	50.2%	14.4%	163.6%	15.5%	0.0%	13.7%	-7.3%	0	0	0	126.48	0	0
2012-11-20	$0.83	$0.00	49.4%	14.1%	163.3%	15.0%	0.0%	13.6%	-4.5%	0	0	0	128.42	0	0
2012-11-21	$0.84	$0.00	50.1%	14.4%	163.8%	15.4%	0.0%	0.0%	-5.0%	0	0	0	127.31	0	0
2012-11-23	$0.86	$0.00	52.2%	15.0%	163.1%	16.6%	50.9%	4.5%	-5.8%	0	0	0	126.24	200	0
2012-11-26	$0.88	$0.75	40.8%	11.7%	163.3%	10.0%	0.0%	0.0%	-6.4%	220	-16.2K	-7	116.09	0	200
2012-11-27	$0.89	$0.75	63.0%	18.1%	163.0%	22.9%	0.0%	0.0%	-26.2%	197	-15.2K	-10	110.43	0	200
2012-11-28	$0.90	$0.75	49.7%	14.2%	163.2%	15.2%	0.0%	4.5%	-8.8%	213	-16.2K	-8	125.97	0	200
2012-11-29	$0.93	$0.75	45.8%	13.1%	165.2%	12.9%	0.0%	4.1%	2.3%	115	-18.0K	-4	127.87	0	200
2012-11-30	$0.93	$0.75	45.5%	13.0%	165.4%	12.7%	0.0%	5.5%	0.4%	95	-18.2K	-2	128.66	0	200