SMCI Options History — November 2013

In November 2013, SMCI traded between $1.39 and $1.59. ATM implied volatility averaged 31.0%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 2.8% (HV 20d: 28.2%). Max pain ranged from $1.25 to $1.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.20.

Notable Days

2013-11-27: Highest Volume — 420 contracts
2013-11-12: Largest IV spike — 24.5% change
2013-11-13: Highest IV Rank — 16.4%
2013-11-05: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.47	$1.39	$1.59	$1.39	$1.59
Max Pain	$1.29	$1.25	$1.50	$1.25	$1.25
ATM IV	31.0%	24.3%	37.2%	25.1%	32.5%
Expected Move	9.7%	7.2%	10.4%	7.2%	9.3%
HV 20d	28.2%	22.6%	31.8%	29.9%	23.1%
HV 60d	25.6%	24.6%	26.3%	25.7%	25.4%
IV Rank	10.0%	2.8%	16.4%	3.6%	11.7%
IV Percentile	11.3%	0.4%	26.6%	1.2%	13.1%
Term Structure	1.4%	-1.0%	15.6%	15.6%	2.4%
VWIV	29.5%	25.9%	33.0%	25.9%	33.0%
Skew 25d	5.4%	-3.3%	11.5%	3.2%	6.5%
Skew 10d	18.4%	-3.4%	60.8%	5.4%	12.7%
Call IV 25d	30.0%	23.1%	36.3%	23.1%	26.3%
Put IV 25d	35.4%	26.3%	40.4%	26.3%	32.7%
Bid-Ask Spread %	63.52	21.29	108.83	21.29	103.28
Gamma HHI	0.85	0.71	0.94	0.78	0.94
Net GEX	4.0K	1.9K	7.1K	3.3K	2.8K
Net DEX	-69.0K	-121.7K	-48.2K	-48.2K	-121.7K
Net VEX	-168	-280	-138	-153	-280
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	1.00	0.00	0.00
Total Volume	45	0	420	0	0
Total OI	1,369.5	1,070	1,680	1,490	1,470

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
2013-11-01	$1.39	$1.25	25.1%	7.2%	29.9%	3.6%	0.0%	3.2%	15.6%	3.3K	-48.2K	-153	0.00	21.29	0	0	1,090	400
2013-11-04	$1.41	$1.50	26.4%	10.3%	30.4%	5.0%	0.0%	6.0%	-0.8%	4.1K	-53.4K	-154	0.00	27.61	0	0	1,090	400
2013-11-05	$1.44	$1.50	28.0%	10.4%	30.4%	6.6%	0.0%	9.8%	-1.0%	5.3K	-64.3K	-163	0.00	25.35	0	0	1,090	400
2013-11-06	$1.45	$1.50	28.5%	10.3%	30.4%	7.3%	25.9%	11.5%	-0.8%	5.6K	-68.1K	-165	0.00	27.28	230	0	1,090	400
2013-11-07	$1.42	$1.25	28.0%	10.1%	30.6%	6.6%	0.0%	7.9%	-0.3%	4.4K	-64.0K	-157	0.00	29.94	0	30	1,170	400
2013-11-08	$1.45	$1.25	24.6%	10.0%	31.8%	3.1%	0.0%	8.6%	-0.0%	6.7K	-75.0K	-174	0.00	29.87	130	0	1,170	430
2013-11-11	$1.45	$1.25	24.3%	10.4%	31.0%	2.8%	0.0%	8.9%	-1.0%	6.6K	-72.8K	-170	0.00	30.70	50	0	1,200	430
2013-11-12	$1.44	$1.25	30.2%	10.3%	30.6%	9.0%	0.0%	7.3%	-0.3%	5.6K	-72.7K	-186	0.00	32.39	0	0	1,250	430
2013-11-13	$1.45	$1.25	37.2%	10.1%	30.5%	16.4%	0.0%	8.3%	0.7%	6.8K	-78.6K	-185	0.00	31.13	0	0	1,250	430
2013-11-14	$1.46	$1.25	35.9%	10.3%	30.4%	15.1%	0.0%	8.9%	-0.6%	7.1K	-83.3K	-182	0.00	29.16	0	0	1,200	420
2013-11-15	$1.45	$1.25	34.7%	10.0%	30.5%	14.2%	0.0%	8.3%	-0.2%	6.4K	-78.4K	-174	0.00	31.90	0	0	1,200	420
2013-11-18	$1.44	$1.25	35.2%	10.1%	30.7%	14.7%	0.0%	0.1%	0.9%	2.0K	-52.2K	-162	0.00	108.83	0	0	680	390
2013-11-19	$1.45	$1.25	34.1%	9.8%	30.9%	13.5%	0.0%	-2.8%	1.1%	2.0K	-52.7K	-160	0.00	105.56	0	0	680	390
2013-11-20	$1.44	$1.25	32.6%	9.3%	22.6%	11.9%	0.0%	-3.3%	3.2%	1.9K	-51.3K	-159	0.00	105.55	0	0	680	390
2013-11-21	$1.46	$1.25	32.9%	9.4%	23.0%	12.2%	0.0%	-1.1%	1.8%	2.1K	-54.6K	-155	0.00	107.21	0	0	680	390
2013-11-22	$1.52	$1.25	32.3%	9.3%	25.2%	11.6%	0.0%	5.2%	1.4%	2.0K	-68.4K	-151	0.00	105.83	0	0	680	390
2013-11-25	$1.55	$1.25	32.6%	9.3%	24.8%	11.9%	0.0%	4.0%	1.2%	2.1K	-72.2K	-142	0.00	106.40	0	0	680	390
2013-11-26	$1.55	$1.25	33.0%	9.5%	24.4%	12.3%	33.0%	4.2%	1.4%	2.0K	-72.7K	-143	1.00	105.16	20	20	680	390
2013-11-27	$1.56	$1.25	32.0%	9.2%	22.9%	11.2%	0.0%	6.0%	3.1%	2.0K	-76.1K	-138	0.00	106.01	420	0	680	390
2013-11-29	$1.59	$1.25	32.5%	9.3%	23.1%	11.7%	0.0%	6.5%	2.4%	2.8K	-121.7K	-280	0.00	103.28	0	0	1,080	390