SMCI Options History — September 2013 In September 2013, SMCI traded between $1.30 and $1.38. ATM implied volatility averaged 34.4%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 9.3% (HV 20d: 25.1%). Max pain ranged from $1.00 to $1.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-09-20 : Highest Volume — 220 contracts2013-09-12 : Largest IV spike — 16.2% change2013-09-16 : Highest IV Rank — 18.5%2013-09-11 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $1.33 $1.30 $1.38 $1.31 $1.35 Max Pain $1.04 $1.00 $1.25 $1.25 $1.00 ATM IV 34.4% 30.2% 39.2% 35.9% 33.5% Expected Move 10.2% 8.9% 11.3% 10.3% 9.6% HV 20d 25.1% 17.8% 45.3% 45.2% 17.8% HV 60d 31.7% 30.4% 34.5% 34.5% 30.4% IV Rank 13.4% 9.0% 18.5% 15.0% 12.5% IV Percentile 15.8% 7.1% 30.2% 19.4% 11.9% Term Structure 8.8% 2.1% 18.7% 6.8% 18.7% Skew 25d 10.0% 2.3% 18.7% 11.5% 13.9% Skew 10d 16.1% 2.8% 32.0% 12.8% 32.0% Call IV 25d 28.8% 21.8% 39.4% 28.2% 23.0% Put IV 25d 38.8% 34.2% 44.8% 39.7% 36.9% Bid-Ask Spread % 49.33 32.48 69.07 32.53 37.53 Gamma HHI 0.92 0.72 1.00 1.00 0.76 Net GEX 44.2K 2.7K 90.7K 78.1K 3.7K Net DEX -1.3M -2.1M -95.1K -1.4M -102.3K Net VEX -620 -1.6K -98 -1.6K -142 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 17 0 220 0 0 Total OI 11,731 1,520 16,120 16,120 1,520
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 P/C Spread % Call Vol Put Vol Call OI Put OI 2013-09-03 $1.31 $1.25 35.9% 10.3% 45.2% 15.0% 0.0% 11.5% 6.8% 78.1K -1.4M -1.6K 0.00 32.53 0 0 15,640 480 2013-09-04 $1.30 $1.25 35.8% 10.3% 45.3% 14.9% 0.0% 11.3% 6.4% 81.5K -1.4M -1.6K 0.00 32.48 0 0 15,640 480 2013-09-05 $1.30 $1.25 33.9% 9.7% 24.9% 12.9% 0.0% 7.5% 7.4% 85.9K -1.5M -1.5K 0.00 35.52 0 0 15,640 480 2013-09-06 $1.30 $1.00 32.6% 11.3% 24.8% 11.5% 0.0% 11.5% 3.0% 90.7K -1.5M -1.4K 0.00 59.09 0 0 15,640 480 2013-09-09 $1.32 $1.00 34.0% 10.8% 25.5% 13.0% 0.0% 5.3% 4.4% 82.8K -1.6M -1.2K 0.00 47.06 0 0 15,640 480 2013-09-10 $1.33 $1.00 30.2% 10.9% 24.3% 9.0% 0.0% 6.1% 5.6% 77.5K -1.8M -834 0.00 48.92 0 0 15,640 480 2013-09-11 $1.32 $1.00 32.8% 11.3% 24.2% 11.8% 0.0% 18.3% 2.1% 88.4K -1.7M -880 0.00 60.27 0 0 15,640 480 2013-09-12 $1.33 $1.00 38.1% 10.9% 24.4% 17.4% 0.0% 2.9% 4.9% 72.0K -1.9M -696 0.00 47.50 20 0 15,640 480 2013-09-13 $1.33 $1.00 36.6% 10.5% 23.3% 15.7% 0.0% 2.8% 8.1% 62.5K -1.9M -534 0.00 52.47 0 0 15,620 480 2013-09-16 $1.33 $1.00 39.2% 11.2% 23.4% 18.5% 0.0% 5.4% 4.7% 69.7K -1.9M -491 0.00 62.32 0 0 15,620 480 2013-09-17 $1.32 $1.00 38.9% 11.1% 22.5% 18.1% 0.0% 18.7% 5.2% 19.1K -2.0M -170 0.00 39.93 0 0 15,620 480 2013-09-18 $1.36 $1.00 34.0% 9.7% 23.6% 13.0% 0.0% 2.9% 11.9% 32.7K -2.0M -233 0.00 53.45 100 0 15,620 480 2013-09-19 $1.38 $1.00 31.0% 8.9% 23.4% 9.8% 0.0% 2.3% 5.3% 20.2K -2.1M -151 0.00 62.52 0 0 15,590 480 2013-09-20 $1.37 $1.00 32.5% 9.3% 23.4% 11.4% 0.0% 12.1% 10.9% 2.7K -2.1M -98 0.00 69.07 220 0 15,590 480 2013-09-23 $1.34 $1.00 34.9% 10.0% 24.0% 13.9% 0.0% 13.8% 13.2% 3.3K -95.1K -173 0.00 61.55 0 0 1,040 480 2013-09-24 $1.35 $1.00 33.5% 9.6% 24.0% 12.5% 0.0% 11.3% 11.5% 3.3K -100.4K -161 0.00 66.99 0 0 1,040 480 2013-09-25 $1.35 $1.00 34.0% 9.8% 19.7% 13.1% 0.0% 14.8% 11.2% 3.2K -101.0K -159 0.00 43.02 0 0 1,040 480 2013-09-26 $1.36 $1.00 31.6% 9.1% 19.5% 10.5% 0.0% 10.7% 17.6% 4.2K -104.0K -143 0.00 40.93 0 0 1,040 480 2013-09-27 $1.34 $1.00 34.6% 9.9% 18.5% 13.6% 0.0% 17.7% 17.4% 3.4K -96.3K -160 0.00 33.40 0 0 1,040 480 2013-09-30 $1.35 $1.00 33.5% 9.6% 17.8% 12.5% 0.0% 13.9% 18.7% 3.7K -102.3K -142 0.00 37.53 0 0 1,040 480
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