SMCI Options History — March 2014

In March 2014, SMCI traded between $1.73 and $2.11. ATM implied volatility averaged 42.8%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 3.8% (HV 20d: 38.9%). Max pain ranged from $1.50 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2014-03-11: Highest Volume — 4,040 contracts
  • 2014-03-31: Largest IV drop — 7.3% change
  • 2014-03-14: Highest IV Rank — 35.1%
  • 2014-03-13: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.89$1.73$2.11$2.03$1.74
Max Pain$1.79$1.50$2.00$2.00$1.75
ATM IV42.8%39.1%45.7%43.3%39.1%
Expected Move12.2%11.2%13.1%12.4%11.2%
HV 20d38.9%34.3%43.3%35.3%39.2%
HV 60d57.8%55.7%59.6%55.7%58.9%
IV Rank28.9%20.5%35.1%23.7%27.0%
IV Percentile66.2%49.2%75.8%68.3%49.2%
Term Structure3.7%-2.8%11.5%-2.5%11.5%
VWIV41.9%38.3%44.5%43.3%39.2%
Skew 25d5.1%-0.3%17.2%17.2%0.6%
Skew 10d9.8%-6.9%26.6%26.6%3.1%
Call IV 25d39.4%32.0%44.6%32.0%35.7%
Put IV 25d44.5%36.3%49.4%49.2%36.3%
Bid-Ask Spread %87.4678.0499.2199.2191.65
Gamma HHI0.300.240.360.350.28
Net GEX42.1K30.2K64.6K45.8K32.4K
Net DEX-693.7K-1.7M-90.5K-1.1M-90.5K
Net VEX-6.9K-8.0K-5.7K-6.8K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.620.000.04
Total Volume1,323.333504,040400730
Total OI30,761.90524,29034,92024,29032,480

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$2.03$2.0043.3%12.4%35.3%23.7%43.3%17.2%-2.5%45.8K-1.1M-6.8K0.0099.21400019,1805,110
2014-03-04$2.07$2.0043.0%12.3%35.2%23.4%42.5%2.1%-2.1%54.9K-1.4M-7.3K0.0896.179908019,5305,110
2014-03-05$2.11$2.0041.3%11.8%35.5%21.6%41.4%1.8%0.4%62.1K-1.6M-7.7K0.0594.702,19010020,1505,190
2014-03-06$2.11$2.0041.2%11.8%35.5%21.5%41.4%4.4%-2.8%64.6K-1.7M-7.8K0.0097.57970020,8905,290
2014-03-07$2.08$1.5040.3%11.4%34.3%20.5%39.8%3.4%3.9%62.3K-1.6M-7.6K1.6278.041,4202,30021,4705,290
2014-03-10$2.04$1.7541.3%11.8%34.8%21.6%38.9%5.1%2.6%52.2K-1.3M-8.0K0.0279.621,9603022,3506,900
2014-03-11$1.90$1.7543.6%11.6%42.0%24.1%42.1%4.0%3.4%41.3K-640.2K-7.3K0.0986.803,69035024,1006,810
2014-03-12$1.92$1.7542.6%11.8%40.9%23.0%42.8%2.0%3.4%43.5K-801.2K-7.5K0.0180.287001024,6806,930
2014-03-13$1.83$1.7545.7%13.1%42.9%34.4%44.4%5.8%1.7%30.2K-345.4K-6.6K0.0286.632,1505024,4906,930
2014-03-14$1.84$1.7544.5%12.7%43.2%35.1%44.5%4.6%1.3%37.3K-506.9K-7.0K0.0881.695004026,0006,980
2014-03-17$1.83$1.7544.4%12.7%43.3%35.1%43.8%6.3%2.4%35.2K-428.3K-6.6K0.0381.702,5808026,0406,970
2014-03-18$1.87$1.7543.3%12.4%41.8%33.4%42.8%0.7%2.2%43.8K-712.7K-7.5K0.4181.781,22050027,7907,020
2014-03-19$1.82$1.7543.3%12.4%41.9%33.3%41.1%6.2%2.6%35.9K-421.9K-7.0K0.4687.261306027,5707,350
2014-03-20$1.83$1.7543.7%12.5%41.5%34.0%0.0%5.3%2.0%35.4K-458.0K-6.8K0.0685.747805026,8807,210
2014-03-21$1.81$1.7543.6%12.5%36.6%33.8%38.3%8.2%2.3%34.5K-317.3K-6.6K0.0086.8009027,3807,210
2014-03-24$1.78$1.7543.0%12.3%36.3%32.9%42.2%7.0%8.7%33.2K-218.2K-6.0K0.0294.572,0404023,3106,820
2014-03-25$1.82$1.7542.4%12.2%38.2%32.0%42.2%-0.3%9.6%40.3K-498.3K-6.8K0.1991.243607024,8806,860
2014-03-26$1.75$1.7543.3%12.4%39.8%33.4%43.3%0.9%9.2%36.8K-309.2K-6.3K0.0084.20055025,0406,870
2014-03-27$1.73$1.7542.6%12.2%39.7%32.4%0.0%8.3%9.1%30.9K-120.2K-6.0K0.0681.575003025,0407,420
2014-03-28$1.73$1.7542.2%12.1%39.2%31.8%0.0%13.4%9.6%31.2K-125.3K-6.0K0.0089.4250025,0607,420
2014-03-31$1.74$1.7539.1%11.2%39.2%27.0%39.2%0.6%11.5%32.4K-90.5K-5.7K0.0491.657003025,0607,420