SMCI Options History — December 2013

In December 2013, SMCI traded between $1.60 and $1.72. ATM implied volatility averaged 28.4%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.8% (HV 20d: 21.6%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.42.

Notable Days

2013-12-18: Highest Volume — 200 contracts
2013-12-12: Largest IV spike — 26.3% change
2013-12-04: Highest IV Rank — 13.3%
2013-12-04: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.67	$1.60	$1.72	$1.60	$1.72
Max Pain	$1.08	$1.00	$1.50	$1.25	$1.00
ATM IV	28.4%	22.5%	33.9%	30.1%	28.3%
Expected Move	8.3%	7.6%	9.7%	8.6%	8.1%
HV 20d	21.6%	19.3%	24.3%	22.9%	20.1%
HV 60d	25.5%	24.6%	26.1%	25.3%	24.7%
IV Rank	7.4%	0.9%	13.3%	9.2%	7.2%
IV Percentile	9.1%	0.4%	21.8%	7.5%	10.7%
Term Structure	7.3%	-1.4%	9.6%	8.9%	9.3%
VWIV	27.8%	25.6%	29.5%	29.5%	28.2%
Skew 25d	4.3%	-2.6%	10.9%	9.4%	0.9%
Skew 10d	4.4%	-7.0%	12.8%	4.9%	-0.7%
Call IV 25d	28.6%	25.4%	32.4%	26.1%	30.7%
Put IV 25d	32.9%	28.4%	36.3%	35.5%	31.6%
Bid-Ask Spread %	101.16	94.73	106.55	104.59	105.50
Gamma HHI	0.70	0.49	0.96	0.94	0.49
Net GEX	2.7K	2.0K	3.3K	2.9K	2.1K
Net DEX	-143.0K	-157.9K	-115.8K	-123.4K	-153.1K
Net VEX	-275	-324	-224	-271	-324
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.00	5.00	0.00	0.00
Total Volume	45.238	0	200	80	10
Total OI	1,516.19	1,390	1,710	1,470	1,710

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
2013-12-02	$1.60	$1.25	30.1%	8.6%	22.9%	9.2%	0.0%	9.4%	8.9%	2.9K	-123.4K	-271	0.00	104.59	80	0	1,080	390
2013-12-03	$1.61	$1.50	31.6%	9.1%	22.8%	10.8%	0.0%	10.1%	8.4%	2.9K	-115.8K	-261	0.00	106.55	160	0	1,000	390
2013-12-04	$1.63	$1.50	33.9%	9.7%	22.0%	13.3%	0.0%	10.9%	5.3%	3.0K	-129.2K	-307	0.00	106.10	10	0	1,110	390
2013-12-05	$1.66	$1.50	26.4%	7.6%	22.5%	5.2%	29.5%	-2.6%	-1.4%	2.9K	-137.6K	-297	0.00	106.50	20	0	1,110	390
2013-12-06	$1.69	$1.00	27.2%	8.8%	20.1%	6.0%	0.0%	7.6%	5.4%	2.6K	-150.9K	-277	0.00	94.73	0	0	1,130	390
2013-12-09	$1.72	$1.00	27.5%	8.3%	19.3%	6.3%	0.0%	7.8%	7.6%	2.4K	-157.9K	-262	0.00	99.10	100	0	1,130	390
2013-12-10	$1.68	$1.00	26.8%	8.4%	21.6%	5.6%	0.0%	6.3%	7.3%	2.9K	-151.3K	-294	0.00	95.65	0	0	1,170	390
2013-12-11	$1.67	$1.00	22.5%	8.1%	21.5%	0.9%	0.0%	5.7%	7.2%	2.9K	-148.9K	-292	0.00	97.11	0	0	1,170	390
2013-12-12	$1.68	$1.00	28.4%	8.2%	21.6%	7.4%	0.0%	6.6%	8.1%	2.9K	-151.4K	-291	0.00	97.05	20	0	1,170	390
2013-12-13	$1.64	$1.00	28.8%	8.3%	24.3%	7.8%	0.0%	3.3%	7.8%	3.2K	-137.6K	-293	0.00	97.05	30	0	1,150	390
2013-12-16	$1.65	$1.00	28.0%	8.0%	23.9%	6.9%	0.0%	3.4%	8.4%	3.3K	-143.8K	-290	0.00	98.25	0	0	1,180	390
2013-12-17	$1.65	$1.00	26.9%	7.7%	23.2%	5.7%	0.0%	4.7%	8.0%	3.3K	-144.2K	-289	0.00	97.07	0	0	1,180	390
2013-12-18	$1.68	$1.00	27.3%	7.8%	23.4%	6.1%	25.6%	6.2%	8.7%	3.0K	-151.4K	-280	0.00	100.83	200	0	1,180	390
2013-12-19	$1.66	$1.00	27.4%	7.9%	23.1%	6.3%	0.0%	5.4%	8.3%	2.7K	-137.6K	-259	0.00	99.81	0	0	1,090	370
2013-12-20	$1.68	$1.00	28.1%	8.1%	22.7%	7.0%	0.0%	6.8%	8.4%	2.7K	-140.4K	-255	0.00	98.64	20	0	1,090	370
2013-12-23	$1.72	$1.00	28.2%	8.1%	20.1%	7.1%	0.0%	-0.2%	9.5%	2.1K	-147.1K	-238	0.00	101.89	0	0	1,070	370
2013-12-24	$1.72	$1.00	28.8%	8.2%	19.8%	7.7%	0.0%	-0.2%	8.9%	2.2K	-147.5K	-229	0.00	103.57	0	0	1,070	370
2013-12-26	$1.72	$1.00	28.1%	8.1%	19.9%	7.0%	0.0%	-0.1%	9.6%	2.2K	-147.7K	-224	0.00	102.97	0	0	1,070	370
2013-12-27	$1.72	$1.00	32.7%	9.4%	19.9%	12.0%	0.0%	-0.9%	1.5%	2.3K	-146.3K	-230	5.00	105.37	30	150	1,070	370
2013-12-30	$1.70	$1.00	29.9%	8.6%	20.0%	9.0%	0.0%	-0.4%	7.8%	2.0K	-140.4K	-302	0.00	105.92	120	0	1,100	520
2013-12-31	$1.72	$1.00	28.3%	8.1%	20.1%	7.2%	28.2%	0.9%	9.3%	2.1K	-153.1K	-324	0.00	105.50	10	0	1,190	520