SMCI Options History — February 2014

In February 2014, SMCI traded between $2.01 and $2.25. ATM implied volatility averaged 40.2%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 29.2% (HV 20d: 69.4%). Max pain ranged from $2.00 to $2.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.26.

Notable Days

2014-02-18: Highest Volume — 5,570 contracts
2014-02-10: Largest IV drop — 21.9% change
2014-02-05: Highest IV Rank — 25.2%
2014-02-05: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.11	$2.01	$2.25	$2.01	$2.02
Max Pain	$2.00	$2.00	$2.00	$2.00	$2.00
ATM IV	40.2%	32.9%	44.7%	44.5%	41.1%
Expected Move	11.6%	10.4%	12.8%	12.7%	11.8%
HV 20d	69.4%	36.4%	87.5%	87.4%	37.5%
HV 60d	54.0%	53.2%	55.7%	53.5%	55.7%
IV Rank	20.4%	12.4%	25.2%	25.0%	21.3%
IV Percentile	55.7%	27.4%	67.5%	65.9%	59.5%
Term Structure	-0.8%	-3.2%	1.4%	-3.2%	-1.3%
VWIV	39.8%	28.3%	44.7%	43.5%	39.5%
Skew 25d	3.8%	-7.0%	7.7%	7.7%	5.7%
Skew 10d	7.0%	-12.0%	21.2%	12.2%	10.1%
Call IV 25d	38.7%	34.5%	44.8%	41.1%	40.0%
Put IV 25d	42.5%	37.8%	48.9%	48.9%	45.7%
Bid-Ask Spread %	89.18	80.16	99.27	90.50	93.49
Gamma HHI	0.35	0.30	0.40	0.30	0.33
Net GEX	63.2K	46.9K	82.0K	57.9K	46.9K
Net DEX	-1.8M	-2.9M	-1.1M	-1.3M	-1.1M
Net VEX	-7.4K	-8.4K	-6.5K	-6.6K	-7.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.00	1.61	0.24	0.00
Total Volume	1,538.421	20	5,570	1,800	140
Total OI	29,087.895	23,820	34,740	28,110	24,240

Daily Data (19 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
2014-02-03	$2.01	$2.00	44.5%	12.7%	87.4%	25.0%	43.5%	7.7%	-3.2%	57.9K	-1.3M	-6.6K	0.24	90.50	1,450	350	23,670	4,440
2014-02-04	$2.02	$2.00	42.5%	12.2%	87.2%	22.9%	44.7%	-7.0%	1.1%	58.7K	-1.3M	-6.5K	0.14	94.17	1,710	240	24,280	4,580
2014-02-05	$2.02	$2.00	44.7%	12.8%	87.3%	25.2%	28.3%	3.4%	-2.6%	56.5K	-1.3M	-6.6K	0.67	99.27	60	40	24,160	4,800
2014-02-06	$2.08	$2.00	41.7%	12.0%	87.5%	22.0%	41.1%	2.2%	-0.1%	61.4K	-1.6M	-6.7K	0.10	97.74	1,360	140	24,160	4,840
2014-02-07	$2.10	$2.00	42.1%	12.0%	87.2%	22.4%	39.5%	4.5%	-2.0%	67.7K	-1.8M	-7.1K	0.18	80.16	1,140	210	25,030	4,860
2014-02-10	$2.13	$2.00	32.9%	11.0%	87.1%	12.4%	39.8%	5.0%	-0.3%	73.6K	-2.0M	-7.0K	0.03	85.06	780	20	25,660	5,070
2014-02-11	$2.18	$2.00	39.0%	11.6%	86.6%	19.0%	42.2%	3.8%	-1.6%	81.1K	-2.5M	-7.6K	0.08	89.31	1,200	100	25,710	5,080
2014-02-12	$2.19	$2.00	37.6%	11.0%	86.6%	17.6%	41.0%	6.0%	-1.0%	82.0K	-2.5M	-7.5K	0.17	83.46	870	150	25,770	5,180
2014-02-13	$2.19	$2.00	38.7%	11.1%	86.7%	18.7%	39.2%	7.6%	-1.8%	78.0K	-2.4M	-7.3K	0.01	87.05	1,430	10	25,360	5,320
2014-02-14	$2.17	$2.00	38.5%	11.0%	86.3%	18.6%	0.0%	4.5%	-0.7%	76.5K	-2.4M	-7.4K	0.00	81.02	1,500	0	25,700	5,320
2014-02-18	$2.25	$2.00	38.5%	11.0%	86.6%	18.5%	37.3%	4.1%	-2.5%	65.1K	-2.9M	-6.8K	1.61	86.58	2,130	3,440	24,770	5,320
2014-02-19	$2.19	$2.00	38.5%	11.0%	87.3%	18.5%	41.0%	2.2%	-0.5%	59.4K	-2.3M	-8.4K	0.01	85.21	2,050	30	25,460	8,420
2014-02-20	$2.22	$2.00	36.4%	10.4%	40.2%	16.2%	36.7%	3.2%	1.2%	64.0K	-2.5M	-8.3K	0.40	87.89	1,430	570	26,090	8,370
2014-02-21	$2.08	$2.00	40.7%	11.7%	43.2%	20.8%	39.6%	0.5%	1.4%	59.0K	-1.5M	-7.8K	0.44	94.66	3,700	1,610	26,100	8,640
2014-02-24	$2.10	$2.00	42.6%	12.2%	40.1%	22.9%	41.1%	7.2%	-0.8%	54.5K	-1.6M	-8.0K	0.00	88.93	550	0	19,080	4,890
2014-02-25	$2.08	$2.00	41.8%	12.0%	39.2%	22.1%	42.0%	5.7%	-0.1%	52.4K	-1.4M	-7.8K	0.37	87.22	540	200	18,930	4,890
2014-02-26	$2.09	$2.00	41.2%	11.8%	38.4%	21.4%	0.0%	-1.0%	-0.5%	53.1K	-1.4M	-7.7K	0.50	93.82	40	20	19,130	5,090
2014-02-27	$2.08	$2.00	41.4%	11.9%	36.4%	21.6%	0.0%	6.8%	-0.7%	52.4K	-1.4M	-7.8K	0.00	88.94	20	0	19,150	5,110
2014-02-28	$2.02	$2.00	41.1%	11.8%	37.5%	21.3%	39.5%	5.7%	-1.3%	46.9K	-1.1M	-7.2K	0.00	93.49	140	0	19,130	5,110