SMCI Options History — March 2015

In March 2015, SMCI traded between $3.32 and $4.03. ATM implied volatility averaged 38.8%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 3.2% (HV 20d: 35.6%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-03-23: Highest Volume — 9,570 contracts
  • 2015-03-12: Largest IV spike — 12.0% change
  • 2015-03-18: Highest IV Rank — 29.2%
  • 2015-03-18: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.66$3.32$4.03$4.03$3.33
Max Pain$3.55$3.50$4.00$4.00$3.50
ATM IV38.8%34.6%42.9%34.6%36.1%
Expected Move11.2%9.9%12.3%9.9%10.3%
HV 20d35.6%32.6%38.8%33.5%38.8%
HV 60d46.3%45.2%47.3%46.6%47.3%
IV Rank19.9%10.4%29.2%10.4%13.7%
IV Percentile39.7%6.3%74.2%6.3%14.3%
Term Structure6.2%-0.6%14.6%2.5%14.6%
VWIV38.4%31.5%42.5%34.5%36.0%
Skew 25d-0.1%-16.9%10.0%-7.9%2.6%
Skew 10d5.5%-12.8%23.8%-12.8%13.4%
Call IV 25d38.0%32.2%42.3%38.9%34.9%
Put IV 25d37.9%25.3%45.9%31.0%37.6%
Bid-Ask Spread %73.0140.2490.5582.0986.10
Gamma HHI0.490.370.800.370.45
Net GEX-53.8K-452.8K123.1K38.5K-23.4K
Net DEX-1.7M-4.5M1.4M-4.5M1.3M
Net VEX-20.5K-22.4K-19.0K-19.6K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.024.730.590.97
Total Volume3,292.7278809,5703,3703,370
Total OI53,70539,83060,55048,97057,460

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$4.03$4.0034.6%9.9%33.5%10.4%34.5%-7.9%2.5%38.5K-4.5M-19.6K0.5982.092,1201,25023,68025,290
2015-03-03$3.98$4.0037.7%10.8%33.9%17.5%32.9%-8.9%-0.6%24.8K-4.0M-20.6K0.9490.551,5801,48024,37025,400
2015-03-04$3.92$3.5036.7%10.5%33.7%15.2%31.5%-11.6%0.8%11.8K-3.5M-21.7K0.9983.331,5401,53024,87025,760
2015-03-05$3.94$3.5035.9%10.5%33.5%13.3%37.4%2.3%6.6%24.3K-3.9M-21.6K0.5874.442,4401,41025,54025,810
2015-03-06$3.81$3.5036.3%11.1%35.0%14.3%38.6%1.4%5.3%-4.3K-2.6M-22.4K0.5073.602,7801,38026,16025,930
2015-03-09$3.81$3.5035.9%11.0%34.8%13.2%38.5%7.0%6.1%-16.6K-2.3M-21.7K0.0286.851,6104026,23026,170
2015-03-10$3.71$3.5037.7%11.7%36.2%17.4%40.1%-0.3%5.4%-101.7K-1.7M-20.6K0.3086.952,10064026,76026,190
2015-03-11$3.82$3.5038.3%11.0%32.6%18.7%40.4%7.2%7.2%-27.2K-2.6M-20.9K0.1783.001,03018026,84026,350
2015-03-12$3.73$3.5042.9%12.3%33.5%29.1%40.3%8.3%2.3%-91.4K-2.0M-19.9K0.3781.422,25084026,79026,350
2015-03-13$3.61$3.5041.3%11.8%34.3%25.5%39.5%-5.2%3.6%-253.9K-475.9K-20.0K0.1674.472,59041028,12026,920
2015-03-16$3.64$3.5042.6%12.2%34.7%28.7%42.3%5.1%3.3%-201.5K-1.9M-19.4K0.4460.9161027029,54027,030
2015-03-17$3.54$3.5042.5%12.2%35.3%28.4%42.5%5.3%3.2%-381.4K-29.2K-19.2K0.2540.242,37059029,60027,060
2015-03-18$3.54$3.5042.9%12.3%34.9%29.2%41.9%4.9%3.8%-452.8K-693.4K-20.2K0.3283.931,15037031,75027,470
2015-03-19$3.67$3.5041.4%11.9%37.5%25.8%41.4%4.3%4.8%86.0K-3.3M-19.4K0.3258.621,95062032,06027,420
2015-03-20$3.72$3.5041.2%11.8%38.0%25.3%40.3%4.6%6.3%123.1K-4.0M-20.1K0.3583.391,58056032,70027,850
2015-03-23$3.66$3.5038.9%11.2%37.9%20.2%38.7%-0.2%9.7%118.2K-3.0M-19.0K1.4966.353,8505,72027,79012,040
2015-03-24$3.54$3.5037.6%10.8%33.7%17.2%37.6%-6.4%10.4%42.0K-1.3M-20.8K4.7370.281,2806,06030,54017,430
2015-03-25$3.33$3.5039.1%11.2%38.5%20.5%37.1%-16.9%9.4%-28.7K1.4M-20.9K0.3673.922,51091031,29022,980
2015-03-26$3.32$3.5038.2%11.0%36.8%18.6%38.4%-1.8%10.1%-24.0K1.4M-20.7K0.9169.092,2002,00032,88023,310
2015-03-27$3.39$3.5038.0%10.9%38.1%18.2%37.8%-6.1%10.4%-21.3K625.5K-21.8K0.4749.281,17055033,55023,000
2015-03-30$3.41$3.5037.3%10.7%38.3%16.5%37.6%10.0%11.3%-24.3K418.3K-21.5K1.0647.291,7201,83034,19023,040
2015-03-31$3.33$3.5036.1%10.3%38.8%13.7%36.0%2.6%14.6%-23.4K1.3M-20.1K0.9786.101,7101,66034,42023,040