SMCI Options History — November 2014

In November 2014, SMCI traded between $3.23 and $3.47. ATM implied volatility averaged 38.9%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 3.3% (HV 20d: 35.5%). Max pain ranged from $2.25 to $2.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.62.

Notable Days

2014-11-07: Highest Volume — 9,500 contracts
2014-11-06: Largest IV spike — 29.3% change
2014-11-14: Highest IV Rank — 41.3%
2014-11-07: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.36	$3.23	$3.47	$3.27	$3.33
Max Pain	$2.25	$2.25	$2.25	$2.25	$2.25
ATM IV	38.9%	30.5%	43.2%	38.0%	38.3%
Expected Move	12.9%	12.4%	13.3%	13.1%	12.4%
HV 20d	35.5%	22.5%	47.4%	47.4%	23.6%
HV 60d	48.4%	43.9%	49.4%	49.1%	44.0%
IV Rank	33.2%	17.3%	41.3%	31.5%	32.0%
IV Percentile	49.7%	13.1%	75.8%	47.2%	42.9%
Term Structure	0.6%	-2.6%	19.7%	1.6%	-1.2%
VWIV	44.4%	39.3%	48.2%	42.8%	39.3%
Skew 25d	2.6%	-4.2%	7.9%	5.0%	4.2%
Skew 10d	4.7%	-11.1%	40.4%	-1.9%	13.5%
Call IV 25d	39.6%	34.0%	43.9%	39.2%	37.4%
Put IV 25d	42.2%	36.4%	46.5%	44.1%	41.7%
Bid-Ask Spread %	56.64	49.58	68.11	51.80	60.25
Gamma HHI	0.53	0.38	0.72	0.70	0.40
Net GEX	114.0K	94.2K	137.9K	118.0K	96.3K
Net DEX	-7.6M	-9.2M	-5.3M	-7.2M	-5.3M
Net VEX	-11.2K	-12.9K	-9.6K	-12.9K	-10.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.00	2.73	1.47	0.00
Total Volume	6,159.474	240	9,500	9,380	250
Total OI	46,915.789	36,100	51,920	47,330	37,350

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-11-03	$3.27	$2.25	38.0%	13.1%	47.4%	31.5%	42.8%	5.0%	1.6%	118.0K	-7.2M	-12.9K	1.47	51.80	3,800	5,580	30,280	17,050
2014-11-04	$3.28	$2.25	39.9%	13.2%	45.6%	35.1%	41.9%	3.5%	0.9%	111.4K	-7.1M	-12.6K	2.73	54.04	2,040	5,570	30,440	17,250
2014-11-05	$3.23	$2.25	30.5%	13.0%	45.7%	17.3%	45.9%	-4.2%	19.7%	129.2K	-7.0M	-12.3K	2.56	54.14	2,170	5,560	30,470	17,260
2014-11-06	$3.29	$2.25	39.5%	13.3%	42.4%	34.3%	45.0%	3.3%	2.8%	114.7K	-7.4M	-12.2K	2.27	51.28	2,510	5,690	30,740	17,240
2014-11-07	$3.39	$2.25	38.6%	13.3%	39.4%	32.6%	45.5%	2.4%	-0.7%	113.3K	-8.1M	-11.5K	1.44	49.58	3,890	5,610	31,200	17,470
2014-11-10	$3.37	$2.25	39.8%	13.3%	40.3%	34.8%	45.7%	-1.2%	-1.6%	115.9K	-8.1M	-12.1K	1.69	49.73	3,320	5,620	31,800	17,550
2014-11-11	$3.37	$2.25	38.4%	12.9%	40.6%	32.3%	44.2%	4.2%	0.8%	118.4K	-8.2M	-11.5K	2.30	52.42	2,420	5,560	31,840	17,080
2014-11-12	$3.38	$2.25	38.6%	13.2%	41.0%	32.6%	46.4%	-1.4%	-2.3%	130.7K	-8.3M	-11.7K	2.37	53.91	2,350	5,560	32,850	17,660
2014-11-13	$3.37	$2.25	41.1%	13.1%	41.0%	37.5%	46.9%	1.4%	-1.0%	121.3K	-8.4M	-12.0K	2.43	53.34	2,290	5,560	32,810	17,660
2014-11-14	$3.47	$2.25	43.2%	13.0%	40.1%	41.3%	48.2%	3.4%	-0.6%	103.1K	-9.2M	-10.5K	0.27	59.57	670	180	32,790	17,650
2014-11-17	$3.42	$2.25	41.2%	12.7%	41.5%	37.6%	42.9%	1.8%	-2.2%	115.9K	-9.0M	-9.8K	2.17	60.79	2,480	5,380	32,710	17,690
2014-11-18	$3.42	$2.25	40.1%	12.7%	41.2%	35.5%	43.8%	-1.4%	-1.7%	106.1K	-9.2M	-9.7K	1.66	57.23	3,220	5,340	33,240	17,820
2014-11-19	$3.35	$2.25	40.1%	12.8%	31.1%	35.5%	46.4%	1.9%	-1.4%	131.8K	-8.6M	-10.9K	0.12	65.31	670	80	34,150	17,770
2014-11-20	$3.33	$2.25	39.0%	13.0%	23.1%	33.5%	45.7%	7.9%	-0.3%	137.9K	-7.8M	-10.6K	2.44	58.69	2,220	5,420	32,870	17,640
2014-11-21	$3.38	$2.25	38.4%	12.7%	23.0%	32.3%	44.0%	5.3%	-0.2%	116.0K	-8.6M	-10.3K	2.38	63.88	2,240	5,340	33,140	17,690
2014-11-24	$3.40	$2.25	37.2%	12.6%	23.0%	30.1%	43.3%	4.1%	1.7%	94.9K	-5.6M	-9.6K	0.06	68.11	1,270	80	23,580	12,520
2014-11-25	$3.35	$2.25	36.8%	12.5%	22.5%	29.2%	42.2%	5.3%	-0.4%	96.0K	-5.5M	-10.4K	2.41	59.13	2,010	4,840	24,310	12,530
2014-11-26	$3.38	$2.25	39.9%	12.6%	22.6%	35.1%	44.2%	3.6%	-2.6%	94.2K	-5.5M	-10.7K	0.00	52.92	240	0	24,470	12,830
2014-11-28	$3.33	$2.25	38.3%	12.4%	23.6%	32.0%	39.3%	4.2%	-1.2%	96.3K	-5.3M	-10.7K	0.00	60.25	250	0	24,520	12,830