SMCI Options History — April 2014

In April 2014, SMCI traded between $1.65 and $2.09. ATM implied volatility averaged 46.8%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 10.5% (HV 20d: 36.3%). Max pain ranged from $1.50 to $1.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2014-04-23: Highest Volume — 13,220 contracts
  • 2014-04-10: Largest IV spike — 35.6% change
  • 2014-04-22: Highest IV Rank — 57.6%
  • 2014-04-22: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.83$1.65$2.09$1.77$2.04
Max Pain$1.64$1.50$1.75$1.75$1.75
ATM IV46.8%37.7%59.2%43.8%38.8%
Expected Move14.1%10.8%17.0%12.6%11.1%
HV 20d36.3%31.9%40.2%38.9%38.6%
HV 60d50.5%38.2%59.7%58.9%38.2%
IV Rank38.8%24.8%57.6%34.2%26.5%
IV Percentile72.8%43.7%98.8%70.6%47.6%
Term Structure-3.2%-9.9%12.4%8.7%-0.0%
VWIV48.2%28.3%61.4%28.3%35.5%
Skew 25d5.9%-3.2%18.1%6.0%18.1%
Skew 10d12.6%-7.5%30.9%8.2%30.9%
Call IV 25d45.9%29.6%59.3%34.7%29.6%
Put IV 25d51.7%36.8%64.4%40.7%47.8%
Bid-Ask Spread %57.9929.9867.1762.1253.22
Gamma HHI0.410.290.630.290.50
Net GEX51.6K30.3K87.5K35.0K73.5K
Net DEX-971.0K-3.1M61.5K-277.1K-2.3M
Net VEX-7.3K-10.4K-5.4K-6.0K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.002.210.590.52
Total Volume2,466.66738013,2206201,020
Total OI36,009.52426,43041,51032,39039,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$1.77$1.7543.8%12.6%38.9%34.2%0.0%6.0%8.7%35.0K-277.1K-6.0K0.5962.1239023025,2407,150
2014-04-02$1.77$1.7542.3%12.1%38.0%31.8%28.3%7.6%10.0%35.7K-313.5K-6.0K1.0063.4430030025,5607,360
2014-04-03$1.79$1.7540.8%11.7%38.3%29.6%40.8%6.3%12.4%36.3K-367.1K-6.2K0.9261.9338035025,6907,650
2014-04-04$1.77$1.7541.0%15.2%38.3%29.8%53.5%5.8%-6.5%33.7K-248.6K-5.9K0.2867.1260017025,5507,970
2014-04-07$1.71$1.7544.0%15.2%39.0%34.4%0.0%4.9%-6.1%30.3K12.8K-5.4K0.1061.474204026,1208,110
2014-04-08$1.73$1.7542.0%15.8%31.9%31.5%55.2%5.2%-8.7%33.2K-83.1K-5.5K0.0962.032,58023026,5208,110
2014-04-09$1.76$1.5040.7%15.7%32.7%29.4%0.0%6.9%-8.1%42.2K-427.9K-6.4K0.0067.17380028,8308,230
2014-04-10$1.69$1.5055.1%15.8%31.9%51.4%54.0%5.6%-7.6%37.0K-110.4K-5.9K0.2959.0780023029,1208,230
2014-04-11$1.65$1.5055.5%15.9%32.4%52.0%59.7%5.9%-8.3%34.5K42.2K-5.5K2.2166.456201,37029,8208,160
2014-04-14$1.67$1.5055.8%16.0%33.0%52.5%56.0%4.3%-9.0%36.3K61.5K-5.7K0.3660.041,19043030,3309,060
2014-04-15$1.72$1.5055.7%16.0%34.0%52.3%56.3%6.3%-8.1%48.5K-302.3K-6.5K0.0860.873,02024031,4009,110
2014-04-16$1.75$1.5056.6%16.2%33.3%53.7%57.6%5.9%-8.2%69.6K-634.9K-7.0K0.0262.445201032,0809,230
2014-04-17$1.78$1.5055.3%15.9%33.9%51.7%53.8%7.7%-6.8%65.5K-1.0M-7.0K0.1159.861,42016032,2809,230
2014-04-21$1.89$1.5056.4%16.2%40.2%53.3%57.3%4.3%-7.5%42.1K-1.3M-7.5K0.1658.351,10018019,7006,730
2014-04-22$1.90$1.5059.2%17.0%39.5%57.6%61.4%5.1%-9.9%43.8K-1.4M-7.7K0.7757.823,5402,72020,3506,820
2014-04-23$1.93$1.7541.7%12.0%39.2%30.9%42.0%10.2%-1.0%59.2K-1.6M-8.2K0.2448.7610,6502,57023,1009,350
2014-04-24$1.99$1.7539.9%11.4%36.6%28.2%38.4%9.9%0.9%85.8K-2.2M-10.4K0.1129.985,12055027,76011,400
2014-04-25$2.05$1.7541.3%11.8%36.8%30.3%41.0%-3.2%-2.8%83.1K-2.6M-10.1K0.2847.331,35038026,97011,740
2014-04-28$2.09$1.7537.7%10.8%36.9%24.8%38.1%2.3%1.6%87.5K-3.1M-9.8K0.0755.353,93027027,18012,120
2014-04-29$2.04$1.7539.6%11.4%38.6%27.8%39.4%-2.0%-1.4%70.0K-2.4M-9.7K0.6652.921,23081025,33012,390
2014-04-30$2.04$1.7538.8%11.1%38.6%26.5%35.5%18.1%-0.0%73.5K-2.3M-10.1K0.5253.2267035026,19012,930