SMCI Options History — December 2014

In December 2014, SMCI traded between $3.13 and $3.64. ATM implied volatility averaged 38.3%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 4.7% (HV 20d: 33.6%). Max pain ranged from $2.25 to $3.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.79.

Notable Days

  • 2014-12-18: Highest Volume — 9,690 contracts
  • 2014-12-09: Largest IV spike — 27.5% change
  • 2014-12-10: Highest IV Rank — 51.4%
  • 2014-12-26: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.35$3.13$3.64$3.23$3.49
Max Pain$2.57$2.25$3.50$2.25$3.50
ATM IV38.3%31.1%48.4%32.7%39.3%
Expected Move13.3%12.3%14.2%13.0%13.8%
HV 20d33.6%25.4%41.2%26.3%39.7%
HV 60d43.4%38.9%44.9%44.6%38.9%
IV Rank32.0%18.3%51.4%21.4%34.0%
IV Percentile43.1%10.7%84.5%12.7%46.4%
Term Structure6.6%-3.3%15.0%15.0%9.1%
VWIV46.3%44.3%49.5%44.7%48.2%
Skew 25d2.5%-13.0%11.9%-2.6%3.8%
Skew 10d9.3%-5.0%55.9%4.8%5.3%
Call IV 25d36.7%30.4%47.1%39.8%30.4%
Put IV 25d39.1%25.4%50.1%37.2%34.2%
Bid-Ask Spread %66.2352.9678.8752.9670.81
Gamma HHI0.480.410.620.430.56
Net GEX106.2K90.6K135.3K99.8K134.0K
Net DEX-5.4M-7.4M-3.8M-4.8M-6.4M
Net VEX-8.4K-10.2K-7.3K-10.2K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.013.433.050.52
Total Volume4,993.1822309,6906,480440
Total OI36,362.27333,80038,71037,41035,190

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$3.23$2.2532.7%13.0%26.3%21.4%44.7%-2.6%15.0%99.8K-4.8M-10.2K3.0552.961,6004,88024,58012,830
2014-12-02$3.27$2.2532.3%12.6%25.4%20.7%45.3%5.3%0.6%102.4K-4.7M-10.1K1.8454.132,6404,87024,53012,900
2014-12-03$3.37$2.2533.9%12.5%27.7%23.6%45.6%6.1%1.3%102.7K-5.0M-9.0K3.4354.051,5005,15023,21012,880
2014-12-04$3.30$2.2531.4%12.3%28.0%19.1%46.0%-13.0%-3.3%90.6K-4.7M-9.6K0.1763.653005023,33013,230
2014-12-05$3.32$2.2534.4%12.5%27.1%24.6%44.4%7.3%10.3%91.4K-4.8M-9.3K3.0259.861,6805,08023,35013,280
2014-12-08$3.16$2.2531.1%13.2%30.5%18.3%44.3%-2.1%6.5%93.7K-3.9M-8.6K2.5256.951,9504,92023,35013,280
2014-12-09$3.20$2.2539.6%13.7%31.1%34.5%47.0%4.2%3.8%93.8K-4.1M-8.5K2.5659.921,9705,05023,29013,210
2014-12-10$3.14$2.2548.4%13.0%31.5%51.4%45.0%1.4%4.7%94.0K-4.1M-8.3K2.3470.262,1705,08023,44013,370
2014-12-11$3.13$2.2540.4%13.6%31.5%36.1%44.3%2.6%7.8%97.0K-4.2M-8.6K2.7264.931,8204,95024,03013,320
2014-12-12$3.13$2.2544.0%13.6%31.5%42.9%46.5%3.0%3.3%91.1K-3.8M-8.6K2.6866.441,8504,95024,02013,340
2014-12-15$3.13$2.2541.6%13.3%29.4%38.3%45.2%0.0%5.5%102.5K-4.1M-8.0K2.9464.941,6804,94024,02013,320
2014-12-16$3.14$2.2540.0%13.2%29.3%35.4%46.4%0.4%4.2%103.1K-4.2M-8.0K3.0366.121,6304,94024,02013,340
2014-12-17$3.26$2.2533.1%12.7%32.9%22.1%45.9%8.2%10.8%104.7K-4.7M-7.6K2.1961.062,3005,04023,97013,340
2014-12-18$3.44$2.2541.3%13.2%37.4%37.9%46.2%11.9%4.6%101.0K-5.8M-7.4K1.1361.884,5605,13023,90013,320
2014-12-19$3.49$2.5041.6%13.6%37.7%38.4%47.6%4.1%5.6%135.3K-6.3M-8.8K0.0173.142,6502025,40013,310
2014-12-22$3.64$0.0041.7%13.7%40.1%38.6%48.5%2.8%7.4%104.9K-7.2M-7.3K0.4178.252,7201,11024,8508,950
2014-12-23$3.59$3.0038.0%14.0%40.6%31.4%46.9%0.5%10.9%105.8K-7.2M-7.3K0.6869.161,4901,02025,7309,020
2014-12-24$3.64$3.0041.5%14.1%40.3%38.2%47.4%4.6%7.3%109.2K-7.4M-8.0K0.7178.511,4601,04025,9608,950
2014-12-26$3.64$3.5037.2%14.2%40.3%30.0%45.8%3.6%12.6%117.3K-7.3M-7.5K0.8678.871,2101,04025,6708,970
2014-12-29$3.54$3.5039.2%13.9%41.2%33.8%49.5%-1.1%9.1%127.8K-6.8M-7.8K0.7577.641,5701,17025,8908,970
2014-12-30$3.49$3.5039.1%13.6%39.7%33.6%47.3%2.9%8.5%134.7K-6.4M-8.0K1.8873.558015026,0609,050
2014-12-31$3.49$3.5039.3%13.8%39.7%34.0%48.2%3.8%9.1%134.0K-6.4M-7.9K0.5270.8129015026,0209,170