SMCI Options History — January 2013

In January 2013, SMCI traded between $1.00 and $1.26. ATM implied volatility averaged 50.6%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 2.3% (HV 20d: 48.3%). Max pain ranged from $1.00 to $1.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.14.

Notable Days

2013-01-23: Highest Volume — 420 contracts
2013-01-22: Largest IV spike — 33.4% change
2013-01-22: Highest IV Rank — 19.9%
2013-01-22: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.10	$1.00	$1.26	$1.05	$1.24
Max Pain	$1.00	$1.00	$1.00	$1.00	$1.00
ATM IV	50.6%	43.3%	57.8%	49.8%	47.6%
Expected Move	14.5%	12.4%	16.6%	14.3%	13.6%
HV 20d	48.3%	33.9%	69.4%	37.9%	65.7%
HV 60d	103.4%	101.2%	107.4%	101.6%	107.0%
IV Rank	15.7%	11.5%	19.9%	15.2%	13.9%
IV Percentile	79.3%	62.7%	91.3%	77.8%	74.2%
Term Structure	-2.0%	-39.4%	6.9%	-2.8%	1.7%
VWIV	61.8%	43.3%	85.0%	43.3%	85.0%
Skew 25d	6.0%	-6.8%	27.3%	21.5%	6.5%
Skew 10d	9.8%	-7.0%	57.3%	39.1%	10.6%
Call IV 25d	45.8%	34.7%	53.8%	45.3%	34.7%
Put IV 25d	51.8%	40.5%	81.2%	66.8%	41.2%
Bid-Ask Spread %	118.78	112.54	131.53	126.22	117.17
Gamma HHI	0.85	0.70	1.00	1.00	0.71
Net GEX	151	0	473	0	445
Net DEX	-12.4K	-38.5K	0	0	-37.4K
Net VEX	-21	-61	0	0	-58
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	0.71	0.00	0.00
Total Volume	30	0	420	0	0
Total OI	150.476	0	420	0	420

Daily Data (21 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
2013-01-02	$1.05	$0.00	49.8%	14.3%	37.9%	15.2%	0.0%	21.5%	-2.8%	0	0	0	0.00	126.22	0	0	0	0
2013-01-03	$1.03	$0.00	48.2%	13.8%	37.7%	14.3%	0.0%	8.4%	5.6%	0	0	0	0.00	131.53	0	0	0	0
2013-01-04	$1.04	$0.00	48.9%	14.2%	37.5%	14.7%	0.0%	8.8%	2.6%	0	0	0	0.00	115.03	0	0	0	0
2013-01-07	$1.05	$0.00	54.4%	15.4%	37.5%	17.9%	0.0%	-6.2%	-0.7%	0	0	0	0.00	116.05	0	0	0	0
2013-01-08	$1.00	$0.00	54.9%	15.4%	41.4%	18.2%	0.0%	6.6%	-2.6%	0	0	0	0.00	117.97	0	0	0	0
2013-01-09	$1.01	$0.00	56.3%	15.5%	41.4%	19.0%	0.0%	7.9%	-3.0%	0	0	0	0.00	118.09	0	0	0	0
2013-01-10	$1.00	$0.00	53.1%	15.2%	41.0%	17.1%	0.0%	7.0%	-1.5%	0	0	0	0.00	118.84	0	0	0	0
2013-01-11	$1.00	$0.00	52.0%	14.9%	41.2%	16.5%	0.0%	6.1%	-1.2%	0	0	0	0.00	119.72	0	0	0	0
2013-01-14	$1.01	$0.00	53.7%	15.4%	40.8%	17.5%	0.0%	7.3%	-2.6%	0	0	0	0.00	119.88	60	0	0	0
2013-01-15	$1.00	$0.00	54.8%	15.7%	40.4%	18.1%	0.0%	-6.8%	-39.4%	90	-3.3K	-12	0.00	119.29	10	0	60	0
2013-01-16	$1.00	$0.00	53.7%	15.4%	39.1%	17.5%	0.0%	8.3%	-3.0%	108	-3.9K	-14	0.00	120.75	0	10	70	0
2013-01-17	$1.01	$0.00	49.4%	14.2%	33.9%	15.0%	0.0%	-4.9%	1.2%	54	-3.7K	-14	0.00	121.80	0	0	70	10
2013-01-18	$1.03	$0.00	43.3%	12.4%	34.6%	11.5%	43.3%	-4.4%	2.7%	69	-3.9K	-14	0.71	124.09	70	50	70	10
2013-01-22	$1.05	$1.00	57.8%	16.6%	34.9%	19.9%	57.0%	27.3%	-6.7%	117	-6.3K	-23	0.00	114.41	10	0	120	50
2013-01-23	$1.25	$1.00	48.9%	14.0%	69.2%	14.7%	85.0%	6.9%	0.4%	93	-14.6K	-12	0.00	120.31	420	0	130	50
2013-01-24	$1.25	$1.00	48.0%	13.7%	69.2%	14.2%	0.0%	6.2%	0.6%	423	-37.8K	-61	0.00	112.54	0	0	370	50
2013-01-25	$1.24	$1.00	46.6%	13.4%	69.4%	13.4%	0.0%	4.5%	0.9%	432	-37.5K	-60	0.00	112.65	0	0	370	50
2013-01-28	$1.26	$1.00	47.9%	13.7%	68.2%	14.1%	0.0%	5.6%	0.9%	433	-38.5K	-59	0.00	115.47	0	0	370	50
2013-01-29	$1.25	$1.00	49.7%	14.3%	67.5%	15.2%	0.0%	5.7%	-1.6%	432	-38.1K	-59	0.00	115.23	0	0	370	50
2013-01-30	$1.23	$1.00	44.0%	12.6%	66.1%	11.9%	0.0%	3.0%	6.9%	473	-36.3K	-61	0.00	117.33	0	0	370	50
2013-01-31	$1.24	$1.00	47.6%	13.6%	65.7%	13.9%	0.0%	6.5%	1.7%	445	-37.4K	-58	0.00	117.17	0	0	370	50