SMCI Options History — December 2012

In December 2012, SMCI traded between $0.87 and $1.02. ATM implied volatility averaged 49.7%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 48.4% (HV 20d: 98.1%). Max pain ranged from $0.75 to $0.75. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2012-12-12: Highest Volume — 130 contracts
2012-12-13: Largest IV drop — 26.7% change
2012-12-03: Highest IV Rank — 22.6%
2012-12-03: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.95	$0.87	$1.02	$0.87	$1.02
Max Pain	$0.75	$0.75	$0.75	$0.75	$0.75
ATM IV	49.7%	42.4%	62.5%	62.5%	46.1%
Expected Move	13.8%	12.1%	17.9%	17.9%	13.2%
HV 20d	98.1%	39.1%	169.0%	166.0%	45.4%
HV 60d	101.8%	100.9%	102.6%	101.2%	101.6%
IV Rank	15.2%	11.0%	22.6%	22.6%	13.1%
IV Percentile	75.1%	55.6%	93.7%	93.7%	70.6%
Term Structure	2.1%	-14.8%	10.3%	-14.8%	7.1%
Skew 25d	4.8%	1.5%	9.5%	5.1%	9.5%
Skew 10d	1.7%	-2.5%	6.8%	0.8%	6.8%
Call IV 25d	47.8%	44.9%	50.0%	48.1%	45.1%
Put IV 25d	52.6%	48.7%	54.8%	53.2%	54.7%
Bid-Ask Spread %	127.45	106.66	200.00	126.32	131.53
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	45	0	249	249	0
Net DEX	-6.7K	-18.7K	0	-15.6K	0
Net VEX	-1	-8	0	-8	0
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	10	0	130	0	0
Total OI	76.5	0	200	200	0

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	Spread %	Call Vol	Call OI
2012-12-03	$0.87	$0.75	62.5%	17.9%	166.0%	22.6%	0.0%	0.0%	-14.8%	249	-15.6K	-8	126.32	0	200
2012-12-04	$0.91	$0.75	51.7%	14.8%	167.4%	16.4%	0.0%	5.1%	-11.8%	153	-17.3K	-4	123.93	0	200
2012-12-05	$0.90	$0.75	51.1%	14.6%	167.5%	16.0%	0.0%	5.5%	-13.2%	155	-17.2K	-4	124.07	0	200
2012-12-06	$0.92	$0.75	52.1%	14.9%	167.7%	16.6%	0.0%	5.8%	-13.3%	119	-17.7K	-3	124.60	0	200
2012-12-07	$0.92	$0.00	53.9%	12.1%	167.8%	17.6%	0.0%	0.0%	10.3%	116	-17.7K	-3	124.43	0	200
2012-12-10	$0.92	$0.00	46.4%	13.4%	168.0%	13.3%	0.0%	5.1%	3.4%	46	-18.2K	-1	109.96	0	200
2012-12-11	$0.94	$0.00	51.0%	13.4%	168.8%	15.9%	0.0%	4.4%	4.5%	28	-18.7K	0	118.45	70	200
2012-12-12	$0.94	$0.00	57.9%	12.1%	169.0%	19.9%	0.0%	4.5%	10.1%	25	-12.2K	0	125.57	130	130
2012-12-13	$0.93	$0.00	42.4%	12.2%	168.4%	11.0%	0.0%	4.3%	10.2%	0	0	0	125.33	0	0
2012-12-14	$0.91	$0.00	43.6%	12.5%	39.1%	11.6%	0.0%	4.4%	9.4%	0	0	0	124.66	0	0
2012-12-17	$0.94	$0.00	42.9%	12.3%	39.4%	11.2%	0.0%	3.8%	8.6%	0	0	0	126.35	0	0
2012-12-18	$1.00	$0.00	48.8%	14.0%	41.6%	14.6%	0.0%	4.5%	2.3%	0	0	0	125.77	0	0
2012-12-19	$1.00	$0.00	49.3%	14.1%	40.8%	15.0%	0.0%	3.9%	3.1%	0	0	0	106.66	0	0
2012-12-20	$1.00	$0.00	48.1%	13.8%	40.9%	14.2%	0.0%	3.4%	4.4%	0	0	0	132.97	0	0
2012-12-21	$1.00	$0.00	51.0%	14.6%	40.6%	15.9%	0.0%	1.5%	0.6%	0	0	0	125.45	0	0
2012-12-24	$1.01	$0.00	55.7%	16.0%	40.4%	18.7%	0.0%	0.0%	-1.8%	0	0	0	200.00	0	0
2012-12-26	$1.00	$0.00	46.2%	13.2%	40.5%	13.1%	0.0%	9.0%	8.5%	0	0	0	132.82	0	0
2012-12-27	$0.98	$0.00	47.3%	13.5%	41.9%	13.8%	0.0%	3.9%	6.6%	0	0	0	111.86	0	0
2012-12-28	$0.96	$0.00	46.2%	13.2%	40.4%	13.1%	0.0%	2.3%	7.9%	0	0	0	128.20	0	0
2012-12-31	$1.02	$0.00	46.1%	13.2%	45.4%	13.1%	0.0%	9.5%	7.1%	0	0	0	131.53	0	0