SMCI Options History — June 2014

In June 2014, SMCI traded between $2.12 and $2.60. ATM implied volatility averaged 37.0%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 8.7% (HV 20d: 45.7%). Max pain ranged from $1.75 to $2.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2014-06-09: Highest Volume — 9,660 contracts
  • 2014-06-04: Largest IV drop — 11.5% change
  • 2014-06-03: Highest IV Rank — 47.8%
  • 2014-06-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.39$2.12$2.60$2.12$2.53
Max Pain$1.87$1.75$2.00$1.75$2.00
ATM IV37.0%34.9%39.5%39.5%37.4%
Expected Move10.6%10.0%11.3%11.3%10.7%
HV 20d45.7%41.9%49.4%49.4%47.3%
HV 60d43.2%40.1%45.6%43.5%45.4%
IV Rank41.3%35.8%47.8%47.7%42.4%
IV Percentile45.6%34.5%59.1%58.7%51.2%
Term Structure6.1%-0.6%10.8%-0.1%9.2%
VWIV36.0%25.1%39.8%39.4%37.4%
Skew 25d2.7%-8.1%11.5%0.9%-2.2%
Skew 10d7.2%-3.2%22.8%2.6%-1.0%
Call IV 25d34.4%27.5%39.5%38.2%33.7%
Put IV 25d37.1%24.9%42.8%39.2%31.5%
Bid-Ask Spread %56.3444.6570.5256.3270.52
Gamma HHI0.350.270.470.360.29
Net GEX105.9K90.2K135.5K90.2K93.3K
Net DEX-6.3M-9.7M-3.2M-3.2M-6.9M
Net VEX-13.5K-15.3K-11.4K-11.9K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.003.300.040.03
Total Volume2,823.3332409,6602401,110
Total OI58,523.33351,72068,50051,72058,950

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$2.12$1.7539.5%11.3%49.4%47.7%39.4%0.9%-0.1%90.2K-3.2M-11.9K0.0456.322301033,97017,750
2014-06-03$2.12$1.7539.5%11.3%48.5%47.8%35.5%3.2%-0.6%92.1K-3.2M-11.8K0.7947.9790071034,04017,760
2014-06-04$2.15$1.7534.9%10.0%47.9%35.8%35.2%3.8%1.1%95.4K-3.5M-11.7K0.0650.241,1007033,72018,030
2014-06-05$2.19$1.7535.8%10.3%47.7%38.1%36.6%6.9%0.7%103.1K-4.0M-11.8K0.7751.6573056034,57018,070
2014-06-06$2.18$1.7535.5%10.3%44.1%37.2%38.0%2.5%6.0%99.9K-3.9M-11.6K0.4754.6130014034,45018,090
2014-06-09$2.27$1.7538.5%10.8%45.3%45.3%38.1%3.6%6.4%107.1K-4.8M-11.4K0.0352.809,42024034,65018,130
2014-06-10$2.28$1.7536.9%10.8%45.3%41.0%39.1%3.9%6.2%129.2K-5.5M-14.7K0.0152.511,1301042,14018,070
2014-06-11$2.27$1.7536.6%10.7%44.1%40.3%37.2%3.8%6.3%129.8K-5.5M-14.9K0.0555.782,19010042,20018,080
2014-06-12$2.23$1.7537.7%10.8%41.9%43.0%34.5%2.3%5.3%135.5K-5.3M-13.6K0.8263.4349040041,53018,140
2014-06-13$2.31$1.7536.8%10.6%42.5%40.7%36.2%3.0%7.0%132.3K-5.7M-14.8K0.0451.792,1108041,62018,420
2014-06-16$2.56$1.7538.9%11.2%44.0%46.3%39.8%3.5%4.3%91.1K-8.6M-13.1K0.0562.938,61040043,71018,500
2014-06-17$2.49$2.0036.4%10.4%44.0%39.6%37.0%7.6%6.6%127.3K-8.5M-15.3K0.1261.597,64094047,14018,790
2014-06-18$2.60$2.0037.8%10.8%44.9%43.4%37.2%11.5%6.3%96.5K-9.3M-14.0K0.0065.814,1802045,63019,100
2014-06-19$2.59$2.0037.1%10.6%45.3%41.5%37.7%-0.6%6.4%102.4K-9.5M-13.7K0.1244.904,16048046,78019,020
2014-06-20$2.60$2.0037.4%10.7%44.9%42.3%32.9%9.7%6.7%109.6K-9.7M-14.7K0.3866.0865025049,30019,200
2014-06-23$2.57$2.0036.6%10.5%45.4%40.1%36.6%-1.3%10.8%104.5K-7.9M-14.5K0.0862.005,36042042,45016,550
2014-06-24$2.53$2.0035.8%10.3%46.1%38.0%25.1%-2.7%10.1%97.9K-7.2M-13.9K0.0854.802602040,45016,780
2014-06-25$2.53$2.0036.2%10.4%46.2%39.1%36.2%6.5%9.8%99.4K-6.9M-14.0K0.5057.861,10055040,33016,780
2014-06-26$2.54$2.0036.3%10.4%46.2%39.4%31.1%-1.6%9.7%92.9K-7.0M-14.1K3.3044.654601,52040,09017,250
2014-06-27$2.47$2.0035.6%10.2%47.7%37.6%35.6%-8.1%10.3%93.3K-6.4M-14.2K0.0054.82024040,15018,610
2014-06-30$2.53$2.0037.4%10.7%47.3%42.4%37.4%-2.2%9.2%93.3K-6.9M-13.7K0.0370.521,0803040,15018,800