SMCI Options History — February 2015

In February 2015, SMCI traded between $3.56 and $4.11. ATM implied volatility averaged 38.5%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 12.7% (HV 20d: 51.2%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2015-02-11: Highest Volume — 11,950 contracts
2015-02-25: Largest IV drop — 8.6% change
2015-02-05: Highest IV Rank — 28.3%
2015-02-02: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.87	$3.56	$4.11	$3.65	$4.03
Max Pain	$3.50	$3.50	$3.50	$3.50	$3.50
ATM IV	38.5%	34.2%	42.5%	42.4%	34.4%
Expected Move	11.0%	9.8%	12.1%	12.1%	9.9%
HV 20d	51.2%	29.1%	63.5%	63.5%	36.2%
HV 60d	45.7%	44.8%	46.9%	44.9%	46.6%
IV Rank	19.2%	9.4%	28.3%	28.0%	10.0%
IV Percentile	35.2%	4.8%	69.4%	68.3%	5.6%
Term Structure	0.9%	-0.4%	3.0%	-0.4%	2.7%
VWIV	38.4%	33.0%	42.1%	40.6%	33.0%
Skew 25d	1.6%	-6.8%	11.3%	11.3%	-6.8%
Skew 10d	6.0%	-12.1%	19.7%	10.7%	-12.1%
Call IV 25d	38.3%	28.8%	41.9%	28.8%	35.3%
Put IV 25d	39.9%	28.6%	44.1%	40.1%	28.6%
Bid-Ask Spread %	75.93	39.54	85.81	80.94	43.99
Gamma HHI	0.45	0.36	0.51	0.47	0.38
Net GEX	11.6K	-44.9K	78.1K	-26.1K	31.9K
Net DEX	-3.5M	-5.3M	-1.1M	-1.7M	-4.4M
Net VEX	-17.9K	-19.8K	-14.5K	-17.3K	-19.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.17	2.43	0.22	0.60
Total Volume	4,464.737	1,830	11,950	1,920	3,750
Total OI	45,224.211	39,960	53,220	40,300	47,740

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
2015-02-02	$3.65	$3.50	42.4%	12.1%	63.5%	28.0%	40.6%	11.3%	-0.4%	-26.1K	-1.7M	-17.3K	0.22	80.94	1,580	340	19,520	20,780
2015-02-03	$3.58	$3.50	39.4%	11.3%	62.9%	21.2%	36.8%	-4.7%	1.2%	-36.2K	-1.2M	-17.3K	1.07	83.52	2,280	2,450	19,130	20,830
2015-02-04	$3.56	$3.50	39.8%	11.4%	61.9%	22.3%	37.3%	-4.2%	0.8%	-38.5K	-1.1M	-17.4K	0.93	85.81	1,980	1,840	19,350	21,250
2015-02-05	$3.67	$3.50	42.5%	12.0%	62.5%	28.3%	42.1%	4.5%	-0.4%	-25.9K	-1.9M	-17.1K	0.36	76.93	2,840	1,010	19,650	21,290
2015-02-06	$3.71	$3.50	41.7%	11.8%	60.5%	26.5%	40.0%	1.1%	0.2%	-25.9K	-2.4M	-16.4K	0.40	77.24	3,290	1,330	19,530	21,210
2015-02-09	$3.72	$3.50	40.4%	12.0%	60.5%	23.4%	41.3%	2.8%	0.1%	-10.8K	-2.6M	-16.3K	0.73	77.85	1,730	1,270	20,730	21,370
2015-02-10	$3.92	$3.50	38.6%	11.2%	62.7%	19.4%	41.4%	3.1%	1.2%	24.9K	-4.5M	-14.5K	0.42	75.12	4,910	2,080	20,940	21,510
2015-02-11	$3.92	$3.50	38.6%	11.1%	62.5%	19.5%	39.0%	-0.2%	0.5%	15.0K	-3.7M	-14.5K	0.52	73.65	7,840	4,110	19,270	22,560
2015-02-12	$4.00	$3.50	38.4%	11.0%	62.3%	19.0%	38.7%	2.4%	1.2%	32.8K	-4.6M	-18.1K	0.50	77.57	2,850	1,430	22,400	24,630
2015-02-13	$3.96	$3.50	38.0%	10.9%	62.0%	18.1%	38.3%	0.1%	1.2%	41.4K	-4.6M	-18.9K	0.48	77.11	3,090	1,470	23,360	25,060
2015-02-17	$3.99	$3.50	39.5%	11.3%	59.5%	21.6%	39.8%	1.6%	0.0%	69.7K	-5.0M	-18.8K	0.46	79.95	3,240	1,490	24,570	25,030
2015-02-18	$3.90	$3.50	37.3%	10.7%	54.6%	16.5%	38.9%	0.1%	1.1%	59.3K	-4.3M	-19.2K	0.65	80.33	2,770	1,790	25,660	25,110
2015-02-19	$3.92	$3.50	38.3%	11.0%	38.9%	18.8%	40.4%	2.8%	0.6%	78.1K	-4.4M	-19.8K	2.43	81.55	1,100	2,670	26,130	25,180
2015-02-20	$3.92	$3.50	37.8%	10.8%	29.1%	17.5%	38.1%	2.5%	0.3%	-36.7K	-4.0M	-19.5K	0.17	84.58	1,570	260	25,450	27,770
2015-02-23	$3.86	$3.50	37.1%	10.6%	29.7%	16.1%	37.4%	2.5%	0.9%	-44.9K	-2.6M	-19.3K	0.45	80.67	2,670	1,200	19,890	23,660
2015-02-24	$4.06	$3.50	37.4%	10.7%	34.4%	16.7%	37.3%	4.2%	1.1%	20.2K	-4.3M	-18.9K	0.39	80.49	3,400	1,320	21,090	23,960
2015-02-25	$4.02	$3.50	34.2%	9.8%	34.6%	9.4%	34.2%	4.2%	3.0%	40.3K	-4.5M	-19.0K	0.77	85.74	2,090	1,600	22,210	24,320
2015-02-26	$4.11	$3.50	35.5%	10.2%	35.2%	12.4%	35.3%	2.3%	1.2%	51.8K	-5.3M	-18.5K	0.61	39.54	2,600	1,590	22,340	24,780
2015-02-27	$4.03	$3.50	34.4%	9.9%	36.2%	10.0%	33.0%	-6.8%	2.7%	31.9K	-4.4M	-19.5K	0.60	43.99	2,340	1,410	22,720	25,020