SMCI Options History — May 2014

In May 2014, SMCI traded between $1.77 and $2.18. ATM implied volatility averaged 36.7%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 9.5% (HV 20d: 46.2%). Max pain ranged from $1.75 to $1.75. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2014-05-19: Highest Volume — 9,970 contracts
  • 2014-05-13: Largest IV spike — 27.0% change
  • 2014-05-16: Highest IV Rank — 43.5%
  • 2014-05-08: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.99$1.77$2.18$1.98$2.15
Max Pain$1.75$1.75$1.75$1.75$1.75
ATM IV36.7%30.0%39.8%35.4%34.1%
Expected Move10.8%9.8%11.7%10.2%9.8%
HV 20d46.2%40.0%53.9%40.3%49.5%
HV 60d41.3%38.6%44.2%38.6%43.4%
IV Rank31.5%13.2%43.5%21.4%33.5%
IV Percentile41.6%16.7%56.7%34.5%30.6%
Term Structure0.6%-0.9%3.7%1.6%1.8%
VWIV37.3%33.1%41.4%35.5%34.9%
Skew 25d4.2%-1.7%14.3%0.4%4.3%
Skew 10d9.0%-1.3%18.3%5.8%7.8%
Call IV 25d35.0%28.0%39.8%32.8%32.8%
Put IV 25d39.2%32.1%43.9%33.1%37.2%
Bid-Ask Spread %64.3948.6689.6457.6589.64
Gamma HHI0.380.310.640.520.38
Net GEX64.3K11.8K155.6K70.7K95.0K
Net DEX-2.0M-3.7M-170.6K-1.9M-3.5M
Net VEX-11.2K-14.3K-9.3K-10.0K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.002.862.550.00
Total Volume2,8401109,9704,220110
Total OI48,226.66739,76054,81039,76051,740

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$1.98$1.7535.4%10.2%40.3%21.4%35.5%0.4%1.6%70.7K-1.9M-10.0K2.5557.651,1903,03026,55013,210
2014-05-02$2.03$1.7535.1%10.1%40.8%20.8%33.8%8.2%3.7%71.5K-2.3M-10.8K0.0648.661,72011027,11015,410
2014-05-05$1.98$1.7537.9%11.2%41.7%25.1%37.8%2.8%0.6%74.3K-2.0M-10.8K0.4162.2079032028,68015,440
2014-05-06$1.94$1.7539.0%11.2%40.6%26.8%41.4%2.8%1.4%66.3K-1.6M-10.7K0.4460.961,21053029,15015,730
2014-05-07$1.92$1.7537.5%11.3%41.1%24.6%39.8%5.5%-0.5%56.5K-1.2M-10.5K0.7561.061,13085029,45016,160
2014-05-08$1.84$1.7534.8%11.7%44.2%20.4%40.7%2.9%0.9%27.9K-643.6K-10.1K0.1260.603,55041030,11016,820
2014-05-09$1.85$1.7536.6%11.6%41.2%23.1%0.0%6.4%-0.9%32.2K-708.2K-10.1K2.8665.344401,26030,88017,040
2014-05-12$1.88$1.7530.0%10.9%40.0%13.2%0.0%4.9%-0.3%33.3K-995.5K-10.2K0.7169.8277055031,14017,810
2014-05-13$1.84$1.7538.1%11.4%41.1%25.5%0.0%-0.9%1.4%25.8K-700.1K-9.8K1.4561.8831045031,64018,200
2014-05-14$1.77$1.7537.9%11.4%42.3%25.1%33.1%3.6%-0.6%20.3K-170.6K-9.5K0.2464.242,92069031,82018,380
2014-05-15$1.79$1.7539.8%11.4%42.1%28.1%39.2%5.0%0.1%11.8K-366.6K-9.3K0.5860.431,9201,12032,31018,430
2014-05-16$1.98$1.7537.8%10.8%53.9%43.5%37.6%14.3%2.8%155.6K-2.0M-11.4K0.3363.484,7201,56033,33018,780
2014-05-19$2.07$1.7537.7%10.8%52.2%43.0%37.2%5.0%0.4%64.9K-2.6M-11.7K0.2560.647,9702,00029,45016,400
2014-05-20$2.05$1.7537.6%10.8%52.5%42.8%37.2%-1.7%0.5%56.4K-2.4M-12.4K0.1165.617608029,93017,890
2014-05-21$2.07$1.7537.8%10.8%52.3%43.3%36.5%6.0%0.3%61.1K-2.6M-12.3K0.5959.522,2901,34030,19017,960
2014-05-22$2.06$1.7536.8%10.6%51.6%40.7%37.2%5.4%0.4%69.6K-2.6M-12.2K0.0360.493701031,22017,610
2014-05-23$2.12$1.7537.4%10.7%51.4%42.3%35.2%0.3%-0.6%77.3K-3.1M-12.1K0.0164.156,0808031,17017,600
2014-05-27$2.14$1.7535.8%10.3%51.1%38.1%36.5%3.8%0.8%96.8K-3.6M-14.3K0.0264.235,57012037,22017,590
2014-05-28$2.17$1.7537.2%10.7%50.4%41.7%40.0%4.6%-0.9%91.4K-3.7M-12.5K0.0863.089508033,84017,700
2014-05-29$2.18$1.7535.8%10.3%50.4%38.0%34.9%5.3%0.2%91.4K-3.7M-12.4K0.0088.56280033,92017,750
2014-05-30$2.15$1.7534.1%9.8%49.5%33.5%0.0%4.3%1.8%95.0K-3.5M-12.3K0.0089.64110033,99017,750