SMCI Options History — September 2014

In September 2014, SMCI traded between $2.53 and $2.94. ATM implied volatility averaged 38.7%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 12.0% (HV 20d: 50.7%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2014-09-30: Highest Volume — 6,670 contracts
  • 2014-09-30: Largest IV spike — 18.9% change
  • 2014-09-30: Highest IV Rank — 43.8%
  • 2014-09-30: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.72$2.53$2.94$2.70$2.94
Max Pain$2.39$2.25$2.50$2.50$2.25
ATM IV38.7%35.3%44.4%40.2%44.4%
Expected Move12.5%12.2%13.0%12.7%13.0%
HV 20d50.7%45.5%56.5%51.1%45.9%
HV 60d45.7%43.0%48.6%47.1%46.3%
IV Rank32.9%26.4%43.8%35.7%43.8%
IV Percentile54.8%33.3%84.1%66.3%84.1%
Term Structure3.9%0.2%9.2%2.3%6.1%
VWIV44.2%42.0%51.0%46.0%44.4%
Skew 25d1.6%-7.9%12.2%12.2%-7.7%
Skew 10d0.9%-8.8%19.8%10.8%-8.8%
Call IV 25d38.6%27.3%44.8%27.3%44.4%
Put IV 25d40.2%29.2%50.1%39.5%36.8%
Bid-Ask Spread %27.6520.4833.4021.6233.40
Gamma HHI0.420.300.610.370.59
Net GEX69.1K54.2K87.5K62.6K82.0K
Net DEX-4.3M-5.7M-3.1M-4.2M-5.7M
Net VEX-11.8K-12.9K-10.8K-11.2K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.023.411.430.05
Total Volume1,776.6671306,6705,7106,670
Total OI40,246.1937,41042,71037,41042,710

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$2.70$2.5040.2%12.7%51.1%35.7%46.0%12.2%2.3%62.6K-4.2M-11.2K1.4321.622,3503,36026,58010,830
2014-09-03$2.57$2.2537.0%12.3%54.0%29.5%42.7%0.7%2.6%59.7K-3.4M-11.5K0.3420.481,34046027,30012,320
2014-09-04$2.56$2.5037.0%12.4%45.5%29.7%43.8%0.2%2.7%54.5K-3.3M-11.7K2.7422.7234093027,22012,600
2014-09-05$2.55$2.5035.3%12.2%45.5%26.4%42.7%-0.6%2.5%55.2K-3.2M-11.7K0.2324.5764015027,41012,740
2014-09-08$2.66$2.5035.7%12.6%46.7%27.1%42.6%4.3%3.1%60.2K-3.9M-11.7K0.0526.332,01010027,74012,800
2014-09-09$2.56$2.5036.2%12.6%48.5%28.1%45.6%0.2%1.8%55.7K-3.3M-11.8K0.5624.4866037027,69012,850
2014-09-10$2.53$2.5036.5%12.5%48.7%28.7%43.4%1.1%1.4%54.2K-3.1M-11.8K1.4123.9222031027,91013,050
2014-09-11$2.60$2.5041.3%12.4%49.1%37.7%43.4%4.8%0.7%62.4K-3.6M-11.3K0.2622.712306027,80012,760
2014-09-12$2.61$2.5040.4%12.8%49.0%36.1%42.0%2.1%2.0%60.9K-3.7M-11.6K0.3624.9759021027,73012,770
2014-09-15$2.63$2.5041.2%12.6%48.9%37.6%43.9%3.2%1.0%62.7K-3.8M-10.8K0.3024.9070021027,67012,670
2014-09-16$2.68$2.5043.5%12.8%49.0%41.9%42.7%5.7%0.2%64.4K-4.2M-11.1K0.0224.721,5303027,56012,770
2014-09-17$2.84$2.5038.0%12.2%52.6%31.6%42.1%5.1%4.1%82.3K-4.9M-12.2K0.0728.242,14015028,28012,770
2014-09-18$2.90$2.5039.3%12.4%51.7%34.1%44.0%2.0%3.2%87.5K-5.4M-11.9K0.3432.951,38047028,33012,610
2014-09-19$2.84$2.2538.5%12.6%52.2%32.5%44.4%-3.3%3.9%75.2K-5.0M-12.0K0.0230.911,4003028,46012,810
2014-09-22$2.83$2.2538.6%12.3%51.7%32.7%44.4%2.4%6.4%77.5K-4.7M-11.9K0.2732.2775020027,10010,660
2014-09-23$2.78$2.2537.8%12.4%52.3%31.1%0.0%1.2%7.3%75.4K-4.5M-11.6K0.9031.7729026027,24010,720
2014-09-24$2.89$2.2537.2%12.4%53.6%30.0%47.3%5.6%8.9%80.8K-5.1M-11.8K3.4131.977902,69027,38010,550
2014-09-25$2.77$2.2540.3%12.4%56.2%36.0%44.2%-2.0%4.7%71.6K-4.3M-12.3K0.0731.441,81013027,40013,230
2014-09-26$2.84$2.2537.0%12.3%56.1%29.7%42.8%-7.9%8.1%81.9K-4.9M-12.9K0.1832.841102028,70013,360
2014-09-29$2.94$2.2537.4%12.5%56.5%30.3%51.0%5.0%9.2%85.0K-5.6M-12.2K0.1633.361,05017028,71013,380
2014-09-30$2.94$2.2544.4%13.0%45.9%43.8%44.4%-7.7%6.1%82.0K-5.7M-12.6K0.0533.406,38029029,22013,490