SMCI Options History — August 2013

In August 2013, SMCI traded between $1.17 and $1.34. ATM implied volatility averaged 38.3%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.9% (HV 20d: 40.2%). Max pain ranged from $1.25 to $1.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.01.

Notable Days

  • 2013-08-01: Highest Volume — 14,710 contracts
  • 2013-08-14: Largest IV spike — 90.8% change
  • 2013-08-14: Highest IV Rank — 33.7%
  • 2013-08-01: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.28$1.17$1.34$1.18$1.28
Max Pain$1.25$1.25$1.25$1.25$1.25
ATM IV38.3%21.7%53.6%46.9%36.6%
Expected Move10.8%8.8%13.4%13.4%10.5%
HV 20d40.2%22.3%45.4%23.8%44.9%
HV 60d34.3%29.4%36.3%30.0%34.4%
IV Rank17.1%0.0%33.7%24.0%15.7%
IV Percentile31.6%0.0%83.7%54.4%21.4%
Term Structure2.5%-9.7%17.8%-9.3%2.5%
VWIV39.9%36.6%45.0%40.0%39.9%
Skew 25d21.9%0.1%76.5%11.6%61.1%
Skew 10d49.1%-1.3%128.6%18.7%128.6%
Call IV 25d30.2%24.2%36.4%36.0%30.2%
Put IV 25d52.1%35.3%108.7%47.6%91.2%
Bid-Ask Spread %36.1324.42114.7838.6928.17
Gamma HHI0.990.901.000.901.00
Net GEX64.3K4.9K88.7K4.9K84.9K
Net DEX-1.2M-1.6M-71.2K-71.2K-1.3M
Net VEX-2.2K-2.7K-317-317-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.090.000.00
Total Volume780.909014,71014,7100
Total OI15,903.6362,26017,1602,26016,120

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$1.18$1.2546.9%13.4%23.8%24.0%40.0%11.6%-9.3%4.9K-71.2K-3170.0038.6914,700101,760500
2013-08-02$1.17$1.2546.9%13.4%22.7%24.0%0.0%11.5%-9.7%46.2K-713.4K-2.7K0.0042.980016,460510
2013-08-05$1.18$1.2549.9%9.1%22.7%27.3%0.0%7.9%17.8%53.3K-659.0K-2.6K0.00114.780016,410510
2013-08-06$1.18$1.2551.4%12.6%22.3%28.9%45.0%12.8%-2.2%47.3K-737.9K-2.7K0.0030.331,090016,410510
2013-08-07$1.31$1.2521.7%10.6%43.5%0.0%36.6%0.1%2.2%61.7K-1.5M-2.7K0.0937.365705016,510510
2013-08-08$1.32$1.2531.0%10.8%43.4%9.8%0.0%0.7%1.2%60.1K-1.5M-2.6K0.0038.32130016,610550
2013-08-09$1.31$1.2534.3%11.2%43.5%13.3%0.0%2.0%0.9%60.1K-1.5M-2.6K0.0037.910016,480550
2013-08-12$1.34$1.2544.0%9.8%43.7%23.5%0.0%15.2%6.9%60.0K-1.6M-2.4K0.0039.32200016,480510
2013-08-13$1.33$1.2528.1%10.1%43.9%6.8%0.0%16.8%2.8%65.0K-1.6M-2.3K0.0034.520016,480510
2013-08-14$1.33$1.2553.6%10.8%43.1%33.7%37.9%12.7%-0.5%62.5K-1.6M-2.4K0.0041.69200016,480510
2013-08-15$1.30$1.2536.8%10.5%43.9%15.9%0.0%10.4%1.5%68.4K-1.4M-2.5K0.0029.110016,380510
2013-08-16$1.31$1.2538.6%11.1%43.8%17.8%0.0%12.8%0.1%64.2K-1.5M-2.4K0.0029.240016,380510
2013-08-19$1.28$1.2538.9%11.2%44.0%18.2%0.0%10.4%1.6%64.0K-1.2M-2.4K0.0024.4220015,580450
2013-08-20$1.31$1.2534.4%9.9%44.4%13.5%0.0%34.8%3.0%79.5K-1.4M-2.2K0.0025.620015,600450
2013-08-21$1.30$1.2535.1%10.1%44.5%14.2%0.0%41.9%3.4%73.6K-1.3M-2.2K0.0027.1003015,600450
2013-08-22$1.32$1.2531.3%9.0%44.4%10.1%0.0%33.0%11.7%75.4K-1.4M-2.0K0.0031.890015,600480
2013-08-23$1.30$1.2537.7%10.8%44.0%16.9%0.0%45.1%2.4%68.8K-1.4M-2.1K0.0026.730015,600480
2013-08-26$1.30$1.2537.7%10.8%43.1%16.9%0.0%11.3%1.6%71.2K-1.4M-2.1K0.0030.8340015,600480
2013-08-27$1.26$1.2537.0%10.6%45.4%16.2%0.0%76.5%3.9%81.4K-1.0M-2.1K0.0028.960015,640480
2013-08-28$1.27$1.2539.8%11.4%44.2%19.2%39.9%7.7%-0.6%73.8K-1.2M-2.1K0.0028.83140015,640480
2013-08-29$1.30$1.2530.6%8.8%44.6%9.4%0.0%46.0%12.9%88.7K-1.4M-1.9K0.0028.010015,640480
2013-08-30$1.28$1.2536.6%10.5%44.9%15.7%0.0%61.1%2.5%84.9K-1.3M-1.9K0.0028.170015,640480