SMCI Options History — October 2013

In October 2013, SMCI traded between $1.35 and $1.44. ATM implied volatility averaged 37.7%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 12.1% (HV 20d: 25.6%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.76.

Notable Days

  • 2013-10-22: Highest Volume — 560 contracts
  • 2013-10-10: Largest IV spike — 24.8% change
  • 2013-10-22: Highest IV Rank — 32.1%
  • 2013-10-22: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.39$1.35$1.44$1.41$1.39
Max Pain$1.28$1.00$1.50$1.00$1.25
ATM IV37.7%24.7%52.1%31.9%26.1%
Expected Move11.6%7.1%14.9%9.1%7.5%
HV 20d25.6%21.4%32.4%21.4%30.2%
HV 60d31.6%25.7%33.5%31.3%25.7%
IV Rank16.9%3.2%32.1%10.8%4.7%
IV Percentile29.1%0.4%81.3%7.9%2.0%
Term Structure1.1%-10.3%24.2%5.9%13.9%
VWIV44.4%36.1%51.4%36.1%38.8%
Skew 25d8.9%-10.7%21.7%-10.7%4.4%
Skew 10d17.1%-12.3%83.8%-12.3%6.5%
Call IV 25d35.5%22.3%44.3%35.6%24.2%
Put IV 25d44.4%24.8%56.7%24.8%28.6%
Bid-Ask Spread %26.6920.1440.4340.4322.79
Gamma HHI0.670.490.940.680.79
Net GEX2.8K1.5K4.2K2.9K3.5K
Net DEX-101.9K-149.9K-47.2K-123.1K-49.9K
Net VEX-168-197-101-101-158
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.003.800.000.00
Total Volume73.4780560500
Total OI1,660.4351,0902,1601,5201,490

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$1.41$1.0031.9%9.1%21.4%10.8%0.0%-10.7%5.9%2.9K-123.1K-1010.0040.435001,040480
2013-10-02$1.39$1.0024.7%7.1%22.2%3.2%0.0%10.3%23.1%2.1K-121.9K-1280.0024.48001,090480
2013-10-03$1.38$1.0025.5%7.3%22.4%4.1%36.1%4.2%24.2%2.4K-119.4K-1290.0023.7130001,090480
2013-10-04$1.39$0.0025.9%12.7%22.4%4.5%0.0%9.3%-5.0%2.4K-128.8K-1770.0025.26001,230480
2013-10-07$1.40$0.0029.1%13.3%21.8%7.8%0.0%11.1%-6.2%2.4K-129.3K-1750.0026.93001,230480
2013-10-08$1.37$0.0034.1%14.1%23.1%13.2%0.0%6.9%-6.2%2.8K-123.0K-1710.0023.67001,230480
2013-10-09$1.37$0.0036.2%14.2%22.9%15.3%0.0%5.4%-5.8%2.9K-122.2K-1690.0024.84001,230480
2013-10-10$1.40$0.0045.2%12.9%24.2%24.8%0.0%9.2%-5.4%2.1K-131.2K-1600.0027.91001,230480
2013-10-11$1.41$0.0046.6%13.4%24.3%26.3%0.0%11.7%-6.4%2.0K-132.9K-1590.0026.95001,230480
2013-10-14$1.44$0.0047.0%13.5%24.8%26.7%47.3%15.1%-6.7%1.5K-140.6K-1570.0023.6345001,230480
2013-10-15$1.42$1.5047.0%13.5%25.7%26.7%0.0%15.1%-6.9%3.7K-149.9K-1940.0024.64001,680480
2013-10-16$1.41$1.5045.7%13.1%23.8%25.4%0.0%10.8%-6.5%4.2K-144.0K-1870.0025.28001,680480
2013-10-17$1.42$1.5046.5%13.3%23.9%26.2%0.0%11.4%-7.1%3.9K-149.4K-1870.0024.05001,680480
2013-10-18$1.42$1.5048.8%14.0%23.7%28.6%0.0%12.9%-8.1%2.1K-148.5K-1820.0027.22001,680480
2013-10-21$1.42$1.5051.9%14.9%22.5%31.9%48.2%15.1%-9.7%2.1K-53.6K-1781.0025.291010760330
2013-10-22$1.43$1.2552.1%14.9%22.5%32.1%51.4%12.8%-10.3%2.2K-54.5K-1780.5125.56370190770340
2013-10-23$1.35$1.2541.4%11.9%30.9%20.8%38.8%17.1%-0.5%2.5K-47.2K-1973.8025.69501901,130530
2013-10-24$1.37$1.2537.3%10.7%31.5%16.4%0.0%2.5%5.5%3.4K-56.3K-1860.0039.29001,130370
2013-10-25$1.35$1.2534.4%9.9%31.7%13.4%0.0%14.9%11.0%3.0K-48.5K-1680.0027.530101,130370
2013-10-28$1.38$1.2533.0%9.5%32.4%11.9%0.0%21.7%15.3%3.6K-56.9K-1840.0029.590201,130380
2013-10-29$1.40$1.2530.5%8.7%29.9%9.3%0.0%-7.1%2.4%3.9K-61.5K-1850.0028.89001,130400
2013-10-30$1.38$1.2526.3%7.5%30.1%4.9%0.0%1.1%13.7%3.2K-51.5K-1600.0020.144001,130400
2013-10-31$1.39$1.2526.1%7.5%30.2%4.7%0.0%4.4%13.9%3.5K-49.9K-1580.0022.79001,090400