SMCI Options History — January 2014

In January 2014, SMCI traded between $1.64 and $2.30. ATM implied volatility averaged 33.2%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 15.2% (HV 20d: 48.3%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.40.

Notable Days

2014-01-22: Highest Volume — 15,630 contracts
2014-01-13: Largest IV spike — 56.7% change
2014-01-29: Highest IV Rank — 22.2%
2014-01-29: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.88	$1.64	$2.30	$1.64	$2.06
Max Pain	$1.67	$1.00	$2.00	$1.00	$2.00
ATM IV	33.2%	21.4%	41.9%	22.6%	41.6%
Expected Move	10.8%	6.1%	12.0%	6.5%	11.9%
HV 20d	48.3%	23.2%	87.1%	25.8%	86.6%
HV 60d	36.0%	24.9%	53.3%	26.4%	53.3%
IV Rank	12.7%	0.0%	22.2%	1.0%	21.9%
IV Percentile	30.6%	0.0%	60.3%	0.8%	59.5%
Term Structure	-0.7%	-5.5%	17.3%	15.0%	-1.6%
VWIV	37.8%	29.6%	41.9%	29.6%	41.9%
Skew 25d	3.1%	-3.7%	12.3%	3.6%	-3.7%
Skew 10d	5.7%	-13.5%	52.1%	6.0%	-7.1%
Call IV 25d	36.8%	22.1%	42.7%	24.1%	41.9%
Put IV 25d	39.9%	27.7%	44.4%	27.7%	38.2%
Bid-Ask Spread %	92.78	81.03	110.73	108.82	94.82
Gamma HHI	0.43	0.26	0.58	0.55	0.31
Net GEX	21.3K	2.7K	73.4K	3.0K	61.5K
Net DEX	-833.9K	-2.1M	-130.2K	-133.1K	-1.5M
Net VEX	-2.4K	-7.3K	-334	-342	-6.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.00	5.60	0.00	0.37
Total Volume	2,190.476	0	15,630	70	3,140
Total OI	9,753.81	1,710	27,770	1,720	27,770

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
2014-01-02	$1.64	$1.00	22.6%	6.5%	25.8%	1.0%	29.6%	3.6%	15.0%	3.0K	-133.1K	-342	0.00	108.82	70	0	1,200	520
2014-01-03	$1.67	$1.00	21.4%	6.1%	26.3%	0.0%	0.0%	8.3%	17.3%	2.7K	-138.9K	-334	0.00	110.73	10	0	1,200	520
2014-01-06	$1.66	$2.00	30.6%	11.4%	25.5%	10.0%	0.0%	2.1%	-2.7%	3.0K	-130.2K	-342	0.00	88.32	500	0	1,190	520
2014-01-07	$1.68	$2.00	23.1%	11.2%	24.7%	1.9%	40.1%	12.3%	-2.2%	3.8K	-183.3K	-562	0.00	93.03	180	0	1,690	520
2014-01-08	$1.67	$1.50	28.9%	11.2%	24.0%	8.1%	39.3%	7.9%	-2.1%	4.4K	-198.8K	-600	0.00	96.49	280	0	1,850	520
2014-01-09	$1.66	$1.50	29.0%	11.2%	23.2%	8.2%	0.0%	8.1%	-2.4%	5.4K	-226.0K	-660	0.63	92.84	80	50	2,130	520
2014-01-10	$1.69	$1.50	23.1%	11.4%	24.2%	1.8%	39.8%	3.9%	-3.1%	4.7K	-251.7K	-679	0.00	86.60	110	0	2,210	570
2014-01-13	$1.66	$1.50	36.1%	11.6%	24.9%	15.9%	0.0%	1.6%	-2.4%	5.8K	-239.1K	-700	0.00	88.83	120	0	2,320	570
2014-01-14	$1.70	$1.50	28.2%	11.7%	24.6%	7.4%	0.0%	3.1%	-3.3%	4.8K	-280.2K	-699	0.00	87.76	0	0	2,440	570
2014-01-15	$1.73	$1.50	29.1%	12.0%	25.1%	8.3%	41.8%	4.3%	-4.1%	4.6K	-293.0K	-688	0.03	91.37	860	30	2,440	570
2014-01-16	$1.80	$1.50	40.0%	11.5%	28.3%	20.2%	39.6%	8.8%	-2.2%	8.0K	-416.6K	-879	0.03	92.61	1,940	60	3,260	600
2014-01-17	$1.80	$1.50	40.9%	11.7%	28.0%	21.1%	39.6%	5.6%	-3.0%	13.2K	-617.4K	-1.3K	0.00	91.66	760	0	4,830	560
2014-01-21	$1.85	$1.50	39.3%	11.3%	29.2%	19.4%	37.6%	1.1%	-1.7%	14.0K	-594.5K	-1.3K	0.04	89.47	2,540	110	4,590	230
2014-01-22	$2.30	$1.50	36.1%	10.3%	80.4%	15.9%	31.3%	-0.2%	-2.1%	10.2K	-1.5M	-810	0.18	81.03	13,220	2,410	6,790	340
2014-01-23	$2.20	$2.00	35.6%	10.2%	83.1%	15.4%	36.0%	0.0%	-0.7%	29.5K	-1.7M	-3.8K	0.78	88.71	2,760	2,150	13,540	2,690
2014-01-24	$2.10	$2.00	37.1%	10.6%	85.7%	17.0%	38.3%	-3.7%	-0.2%	29.9K	-1.4M	-4.3K	0.07	94.43	4,020	300	15,270	3,350
2014-01-27	$2.15	$2.00	36.0%	10.3%	85.7%	15.8%	31.1%	0.7%	-1.5%	40.9K	-1.6M	-4.5K	0.00	91.42	4,100	0	16,330	3,390
2014-01-28	$2.19	$2.00	39.2%	11.2%	85.7%	19.3%	40.4%	3.3%	-5.5%	55.2K	-2.1M	-6.5K	0.13	92.36	3,050	400	19,980	3,390
2014-01-29	$2.11	$2.00	41.9%	12.0%	87.1%	22.2%	41.1%	-1.7%	-0.5%	69.4K	-2.0M	-7.3K	0.03	86.65	2,020	70	22,830	3,760
2014-01-30	$2.13	$2.00	36.8%	10.6%	87.1%	16.7%	37.8%	-0.4%	-4.6%	73.4K	-2.0M	-7.1K	5.60	100.50	100	560	23,430	3,830
2014-01-31	$2.06	$2.00	41.6%	11.9%	86.6%	21.9%	41.9%	-3.7%	-1.6%	61.5K	-1.5M	-6.9K	0.37	94.82	2,300	840	23,460	4,310