SMCI Options History — January 2015

In January 2015, SMCI traded between $3.28 and $3.79. ATM implied volatility averaged 43.1%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 5.6% (HV 20d: 48.7%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2015-01-21: Highest Volume — 15,580 contracts
  • 2015-01-14: Largest IV spike — 69.8% change
  • 2015-01-20: Highest IV Rank — 66.6%
  • 2015-01-20: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.52$3.28$3.79$3.46$3.66
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV43.1%31.6%59.3%40.1%39.7%
Expected Move13.8%10.6%17.0%13.7%11.4%
HV 20d48.7%35.8%63.5%38.4%63.5%
HV 60d41.0%38.1%44.9%38.6%44.9%
IV Rank33.8%7.4%66.6%35.5%22.0%
IV Percentile57.7%2.4%95.2%53.6%46.0%
Term Structure-2.6%-7.4%7.4%7.4%-0.4%
VWIV48.6%36.7%62.4%48.3%36.7%
Skew 25d2.6%-3.6%6.8%2.3%-3.6%
Skew 10d6.8%-9.5%20.8%-8.0%-4.8%
Call IV 25d47.7%35.9%60.2%48.0%41.2%
Put IV 25d50.3%37.7%63.7%50.2%37.7%
Bid-Ask Spread %69.2343.4678.4972.7972.53
Gamma HHI0.590.450.970.550.47
Net GEX118.9K-23.7K667.6K137.0K-23.7K
Net DEX-4.3M-6.3M-1.5M-6.1M-2.0M
Net VEX-9.4K-17.4K-5.8K-8.0K-17.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.013.290.971.01
Total Volume5,0291,23015,5802,8303,360
Total OI32,189.511,66039,98035,42039,980

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$3.46$3.5040.1%13.7%38.4%35.5%48.3%2.3%7.4%137.0K-6.1M-8.0K0.9772.791,4401,39026,1009,320
2015-01-05$3.37$3.5039.8%14.8%39.1%35.0%51.5%2.5%-3.3%135.5K-5.4M-7.5K0.0671.441,96012025,8509,270
2015-01-06$3.28$3.5042.7%15.3%40.3%38.6%53.1%2.7%-6.4%117.9K-4.7M-7.8K0.1069.361,12011025,8209,370
2015-01-07$3.30$3.5043.9%15.1%35.8%40.9%53.1%3.3%-5.3%122.6K-4.9M-7.5K0.0172.181,5002025,8109,460
2015-01-08$3.46$3.5040.1%15.5%39.1%33.5%53.7%4.0%-7.3%146.1K-6.2M-7.2K0.5665.831,8401,03026,1309,480
2015-01-09$3.46$3.5039.5%15.3%38.3%32.2%53.9%5.0%-5.7%152.1K-6.2M-7.1K0.9266.911,5701,44026,2109,500
2015-01-12$3.42$3.5040.0%15.3%38.5%33.2%55.2%3.8%-6.6%163.7K-6.0M-6.7K0.7871.411,7101,34026,3509,620
2015-01-13$3.40$3.5031.6%15.1%38.7%7.4%53.0%5.9%-4.9%167.9K-5.6M-6.4K0.7276.961,8501,34026,1209,590
2015-01-14$3.37$3.5053.6%15.4%39.0%55.5%52.7%3.0%-5.6%152.7K-5.4M-6.4K0.7173.031,8701,33026,0009,590
2015-01-15$3.32$3.5054.9%15.7%39.6%57.4%56.4%4.0%-6.0%139.4K-4.8M-6.4K0.7270.972,0001,44025,1109,450
2015-01-16$3.51$3.5056.6%16.2%42.1%60.5%58.3%6.8%-7.4%667.6K-6.3M-6.2K0.0465.703,16012025,2709,520
2015-01-20$3.77$3.5059.3%17.0%45.8%66.6%62.4%3.5%-7.1%39.1K-2.4M-5.8K0.8543.464,1603,5209,5302,130
2015-01-21$3.41$3.5043.4%12.4%58.9%30.4%43.8%-2.7%-0.1%40.6K-1.5M-6.7K0.4270.6610,9804,60011,3105,040
2015-01-22$3.68$3.5041.8%12.0%63.3%26.7%40.9%3.8%-0.7%73.4K-3.3M-9.5K1.4867.665,5108,16016,6007,300
2015-01-23$3.65$3.5039.4%11.3%63.1%21.4%41.3%1.9%1.2%39.1K-2.6M-13.3K1.6567.693,5305,81017,32012,350
2015-01-26$3.67$3.5039.9%11.5%63.0%22.5%39.6%-1.0%1.3%23.6K-2.3M-13.7K0.7871.6298076017,25014,510
2015-01-27$3.73$3.5039.1%11.2%63.2%20.5%38.5%1.0%2.5%25.1K-2.8M-14.3K0.1378.492,42032017,91015,130
2015-01-28$3.74$3.5039.1%11.2%62.4%20.5%38.1%-0.7%1.2%28.7K-3.0M-14.5K1.7572.162,7604,82018,76015,210
2015-01-29$3.79$3.5036.9%10.6%62.1%15.6%42.4%6.7%1.7%29.4K-3.3M-14.7K3.2963.742,1407,05018,94015,580
2015-01-30$3.66$3.5039.7%11.4%63.5%22.0%36.7%-3.6%-0.4%-23.7K-2.0M-17.4K1.0172.531,6701,69019,26020,720