SMCI Options History — July 2014

In July 2014, SMCI traded between $2.42 and $2.66. ATM implied volatility averaged 49.2%, placing in the 73.0% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 7.2% (HV 20d: 42.0%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2014-07-22: Highest Volume — 3,600 contracts
  • 2014-07-10: Largest IV spike — 40.0% change
  • 2014-07-28: Highest IV Rank — 100.0%
  • 2014-07-30: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.54$2.42$2.66$2.54$2.62
Max Pain$2.43$2.00$2.50$2.00$2.50
ATM IV49.2%32.9%60.7%35.3%60.4%
Expected Move14.6%9.4%17.4%10.1%17.3%
HV 20d42.0%29.4%51.2%47.2%41.1%
HV 60d44.8%43.7%45.4%45.3%45.0%
IV Rank73.0%30.4%100.0%36.7%99.3%
IV Percentile80.0%25.0%100.0%35.3%99.6%
Term Structure-3.9%-12.0%14.0%10.5%-8.9%
VWIV50.9%31.0%60.6%35.6%60.3%
Skew 25d2.4%-2.5%7.5%-2.5%0.5%
Skew 10d2.0%-19.0%13.3%-7.2%5.6%
Call IV 25d49.7%31.3%60.6%32.3%60.6%
Put IV 25d52.1%29.8%63.2%29.8%61.1%
Bid-Ask Spread %66.2136.3786.4336.7678.04
Gamma HHI0.350.300.420.300.40
Net GEX75.3K39.0K109.4K90.9K52.1K
Net DEX-5.3M-7.7M-2.7M-7.1M-3.5M
Net VEX-12.9K-14.2K-12.1K-13.2K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.003.403.400.05
Total Volume1,4202203,6002202,520
Total OI50,188.63630,39063,61058,69037,410

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$2.54$2.0035.3%10.1%47.2%36.7%35.6%-2.5%10.5%90.9K-7.1M-13.2K3.4036.765017039,86018,830
2014-07-02$2.56$2.0032.9%9.4%47.1%30.4%31.0%-0.9%14.0%87.6K-7.3M-12.8K0.0036.37420039,86019,000
2014-07-03$2.60$2.0037.4%10.7%47.0%42.4%37.4%2.6%9.7%89.4K-7.6M-12.6K2.6736.6927072040,21019,000
2014-07-07$2.54$2.5035.7%13.5%47.9%37.7%40.8%0.9%-2.8%89.7K-7.3M-12.4K0.7171.4559042040,29019,420
2014-07-08$2.42$2.5034.4%13.7%50.3%34.5%48.9%1.9%-4.2%100.9K-6.0M-13.0K0.3364.951,29042040,73019,790
2014-07-09$2.49$2.5034.8%14.2%50.9%35.3%0.0%5.8%-4.9%95.6K-6.7M-12.6K0.5669.5525014040,51019,950
2014-07-10$2.46$2.5048.7%14.0%51.2%72.2%48.7%4.4%-5.0%95.3K-6.4M-12.7K0.8167.7869056040,56020,080
2014-07-11$2.51$2.5049.4%14.2%51.1%74.1%53.2%6.1%-4.3%94.0K-6.9M-12.9K2.5169.424701,18041,03020,340
2014-07-14$2.49$2.5051.3%14.7%50.3%79.2%51.5%3.8%-6.4%100.8K-6.8M-12.8K0.0863.611,36011041,33021,470
2014-07-15$2.44$2.5051.4%14.7%35.0%79.3%51.2%1.5%-5.5%105.3K-6.3M-12.8K0.9568.9021020041,71021,490
2014-07-16$2.44$2.5052.3%15.0%33.8%81.7%52.6%1.0%-5.9%109.4K-6.4M-12.5K0.1469.631,25018041,79021,490
2014-07-17$2.42$2.5052.8%15.1%29.4%83.0%0.0%-2.0%-7.1%96.9K-6.0M-12.2K0.1066.898408041,72021,540
2014-07-18$2.54$2.5052.7%15.1%35.2%82.8%52.7%5.5%-6.5%94.1K-7.7M-12.3K0.2271.892,19049042,15021,460
2014-07-21$2.62$2.5055.6%15.9%36.8%90.4%55.3%7.5%-5.3%49.9K-3.4M-12.1K1.5871.981,0001,58022,6807,710
2014-07-22$2.65$2.5055.3%15.8%36.7%89.6%55.2%2.9%-5.1%48.8K-3.6M-12.5K1.0259.121,7801,82023,3108,730
2014-07-23$2.58$2.5052.2%15.0%38.1%81.6%53.8%5.1%-3.4%42.1K-3.1M-13.3K0.2174.191,87040023,76010,320
2014-07-24$2.57$2.5054.8%15.7%38.1%88.5%54.8%2.6%-5.6%39.5K-3.0M-13.5K0.4576.3633015023,72010,600
2014-07-25$2.52$2.5054.4%15.6%38.8%87.2%54.2%0.7%-6.5%39.8K-2.8M-13.3K1.9271.0226050023,82010,600
2014-07-28$2.50$2.5060.3%17.3%37.2%100.0%60.4%3.3%-12.0%39.0K-2.7M-13.1K0.0571.219205023,60010,900
2014-07-29$2.63$2.5060.2%17.3%40.6%99.6%59.7%3.7%-9.3%46.2K-3.4M-13.6K0.1374.301,15015024,30010,950
2014-07-30$2.66$2.5060.7%17.4%40.6%100.0%60.6%-1.8%-10.5%49.6K-3.6M-13.3K0.1686.431,91030025,08011,050
2014-07-31$2.62$2.5060.4%17.3%41.1%99.3%60.3%0.5%-8.9%52.1K-3.5M-14.2K0.0578.042,41011026,06011,350