SMCI Options History — August 2014

In August 2014, SMCI traded between $2.43 and $2.69. ATM implied volatility averaged 43.1%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 1.9% (HV 20d: 45.0%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2014-08-04: Highest Volume — 6,740 contracts
  • 2014-08-06: Largest IV drop — 43.9% change
  • 2014-08-01: Highest IV Rank — 100.0%
  • 2014-08-01: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.52$2.43$2.69$2.56$2.45
Max Pain$2.56$2.00$3.00$2.50$2.50
ATM IV43.1%31.8%74.0%61.2%37.9%
Expected Move12.8%11.4%17.5%17.5%12.5%
HV 20d45.0%39.6%49.5%41.6%39.9%
HV 60d44.1%42.4%48.1%45.2%42.9%
IV Rank42.9%19.7%100.0%100.0%31.3%
IV Percentile64.5%19.8%100.0%100.0%54.4%
Term Structure0.5%-11.9%3.9%-11.9%1.5%
VWIV45.7%39.9%62.0%62.0%42.9%
Skew 25d6.1%-1.8%13.7%3.8%-1.8%
Skew 10d9.7%-3.9%28.4%13.3%1.1%
Call IV 25d37.7%28.3%61.7%61.7%35.1%
Put IV 25d43.8%33.3%65.5%65.5%33.3%
Bid-Ask Spread %50.2320.2085.3866.3127.07
Gamma HHI0.330.280.480.370.30
Net GEX58.5K37.0K73.1K50.3K58.6K
Net DEX-3.1M-4.2M-2.2M-3.2M-2.6M
Net VEX-13.2K-14.9K-11.8K-14.0K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.084.190.371.45
Total Volume1,831.9051506,7403,770490
Total OI40,809.04835,70046,82037,58037,160

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$2.56$2.5061.2%17.5%41.6%100.0%62.0%3.8%-11.9%50.3K-3.2M-14.0K0.3766.312,7601,01026,22011,360
2014-08-04$2.67$2.5069.4%14.8%43.9%100.0%51.7%7.4%-3.0%57.5K-3.8M-14.6K0.4170.064,7701,97027,65012,360
2014-08-05$2.69$2.5074.0%15.0%39.6%100.0%52.2%7.5%-5.3%66.5K-4.2M-14.9K0.3872.433,6201,36029,61012,920
2014-08-06$2.48$2.5041.5%12.4%49.0%38.2%43.7%3.2%0.7%48.9K-2.9M-14.4K0.6770.102,5401,71031,69013,760
2014-08-07$2.49$2.5043.9%12.6%48.8%42.7%45.9%2.7%-0.9%37.3K-2.7M-14.6K0.8173.8683067031,80015,020
2014-08-08$2.43$2.5041.2%12.1%48.9%37.6%43.7%1.2%0.6%37.0K-2.2M-14.1K2.3173.258401,94031,81014,840
2014-08-11$2.48$2.5042.3%12.4%49.4%39.8%44.0%13.7%0.6%44.0K-2.8M-13.9K2.5977.556801,76032,03014,510
2014-08-12$2.46$2.5039.5%12.2%48.9%34.3%42.5%12.4%1.2%59.0K-2.6M-13.5K0.1376.964005032,32014,160
2014-08-13$2.51$2.5031.8%12.2%49.5%19.7%0.0%13.7%0.3%64.3K-3.2M-13.4K0.2475.422907032,17014,150
2014-08-14$2.54$2.5041.5%11.9%49.3%38.2%39.9%12.9%1.7%73.1K-3.8M-13.2K0.0885.381,36011031,80013,700
2014-08-15$2.53$2.5039.9%11.4%45.9%35.1%39.9%0.6%2.4%70.6K-3.7M-12.8K0.3179.791,90058031,85013,800
2014-08-18$2.58$0.0040.1%12.8%45.2%35.5%0.0%2.7%2.2%67.8K-3.5M-12.8K4.1921.9516067026,5009,200
2014-08-19$2.60$0.0039.5%12.8%44.9%34.4%0.0%5.3%3.3%66.5K-3.5M-12.9K0.6721.22906026,5809,790
2014-08-20$2.53$0.0038.0%12.7%44.7%31.6%45.6%11.9%2.9%63.8K-3.2M-12.6K0.9825.1841040026,6309,800
2014-08-21$2.50$2.0039.4%12.3%44.8%34.1%46.5%9.0%1.5%63.5K-2.9M-12.7K0.4122.6158024026,70010,080
2014-08-22$2.46$3.0037.5%12.4%44.7%30.6%41.9%8.4%2.8%61.1K-2.6M-12.3K0.2020.204008026,65010,270
2014-08-25$2.46$3.0037.4%12.4%44.7%30.4%0.0%3.3%0.8%63.9K-2.7M-12.0K0.1221.771,65020026,76010,280
2014-08-26$2.47$3.0036.8%12.3%40.3%29.3%43.1%4.0%3.1%57.6K-2.7M-12.1K0.1825.521703026,57010,480
2014-08-27$2.51$2.5035.8%12.4%40.6%27.4%42.9%6.7%3.9%58.5K-3.0M-11.8K0.1323.431,20015026,50010,490
2014-08-28$2.47$2.5037.4%12.4%40.5%30.5%0.0%0.1%1.7%58.8K-2.7M-11.9K0.6924.7116011026,55010,470
2014-08-29$2.45$2.5037.9%12.5%39.9%31.3%0.0%-1.8%1.5%58.6K-2.6M-11.8K1.4527.0720029026,58010,580