SMCI Options History — April 2015

In April 2015, SMCI traded between $2.88 and $3.77. ATM implied volatility averaged 47.0%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 5.3% (HV 20d: 41.7%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2015-04-22: Highest Volume — 31,560 contracts
2015-04-22: Largest IV drop — 35.6% change
2015-04-21: Highest IV Rank — 77.9%
2015-04-21: Largest Expected Move — 18.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.36	$2.88	$3.77	$3.36	$2.88
Max Pain	$3.50	$3.50	$3.50	$3.50	$3.50
ATM IV	47.0%	34.9%	64.3%	34.9%	40.5%
Expected Move	14.0%	10.0%	18.4%	10.0%	11.6%
HV 20d	41.7%	35.0%	51.5%	39.3%	49.9%
HV 60d	43.0%	34.6%	47.0%	47.0%	41.8%
IV Rank	38.5%	10.9%	77.9%	11.0%	23.8%
IV Percentile	69.5%	7.5%	98.8%	7.5%	64.3%
Term Structure	-5.1%	-16.2%	15.5%	15.5%	-1.1%
VWIV	48.4%	33.0%	63.3%	33.0%	39.6%
Skew 25d	0.8%	-12.0%	10.2%	-10.0%	-12.0%
Skew 10d	7.5%	-18.8%	28.7%	28.6%	-14.1%
Call IV 25d	48.2%	34.8%	60.7%	34.8%	44.0%
Put IV 25d	49.1%	24.8%	66.0%	24.8%	32.1%
Bid-Ask Spread %	54.65	18.75	96.47	96.47	31.09
Gamma HHI	0.48	0.27	0.88	0.45	0.27
Net GEX	-61.3K	-605.5K	81.6K	-25.4K	5.8K
Net DEX	-103.0K	-5.8M	2.7M	1.2M	2.7M
Net VEX	-17.6K	-22.5K	-10.7K	-20.0K	-10.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.35	3.12	1.25	0.52
Total Volume	8,573.81	3,010	31,560	3,010	6,520
Total OI	61,231.429	37,500	72,310	58,410	61,390

Daily Data (21 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
2015-04-01	$3.36	$3.50	34.9%	10.0%	39.3%	11.0%	33.0%	-10.0%	15.5%	-25.4K	1.2M	-20.0K	1.25	96.47	1,340	1,670	35,330	23,080
2015-04-02	$3.41	$3.50	34.9%	14.8%	39.8%	10.9%	51.4%	4.8%	-6.8%	-34.5K	548.3K	-21.0K	1.28	47.70	1,390	1,780	35,380	23,250
2015-04-06	$3.37	$3.50	41.8%	15.2%	38.7%	26.7%	52.8%	1.5%	-7.1%	-22.3K	1.0M	-19.5K	0.75	62.03	2,680	2,000	35,670	23,250
2015-04-07	$3.38	$3.50	39.5%	15.2%	38.8%	21.4%	53.6%	5.3%	-6.9%	-18.9K	898.9K	-19.3K	0.63	62.29	2,990	1,880	37,060	23,440
2015-04-08	$3.42	$3.50	52.3%	15.0%	38.6%	50.5%	52.4%	4.9%	-6.6%	-15.8K	60.9K	-20.4K	3.12	45.98	1,610	5,020	37,840	23,270
2015-04-09	$3.46	$3.50	51.4%	14.7%	36.8%	48.5%	53.3%	4.1%	-5.8%	-140.3K	646.7K	-21.0K	2.74	63.89	2,560	7,020	37,940	27,610
2015-04-10	$3.51	$3.50	51.7%	14.8%	36.8%	49.3%	51.8%	7.6%	-6.9%	-319.4K	-184.9K	-22.5K	0.81	71.34	2,620	2,110	38,300	32,740
2015-04-13	$3.54	$3.50	53.1%	15.2%	35.2%	52.5%	53.7%	4.7%	-7.8%	-334.9K	-1.4M	-21.0K	0.95	69.42	1,720	1,640	38,700	32,660
2015-04-14	$3.54	$3.50	53.1%	15.2%	35.0%	52.4%	52.9%	2.2%	-8.5%	-605.5K	-1.2M	-20.7K	0.82	73.96	2,060	1,680	39,380	32,930
2015-04-15	$3.71	$3.50	55.4%	15.9%	37.5%	57.6%	51.2%	10.2%	-8.3%	-73.9K	-5.2M	-18.7K	0.35	73.73	4,640	1,620	38,890	32,910
2015-04-16	$3.77	$3.50	50.9%	14.6%	37.9%	47.6%	52.7%	6.5%	-7.0%	78.1K	-5.8M	-18.2K	0.47	69.34	3,570	1,690	37,890	32,790
2015-04-17	$3.68	$3.50	58.3%	16.7%	37.3%	64.3%	57.1%	4.4%	-12.5%	81.6K	-5.0M	-17.7K	1.19	72.55	5,660	6,720	37,060	32,800
2015-04-20	$3.71	$3.50	63.1%	18.1%	37.1%	75.2%	61.8%	6.7%	-12.9%	65.1K	-2.7M	-20.4K	0.80	57.24	6,350	5,090	23,740	13,760
2015-04-21	$3.50	$3.50	64.3%	18.4%	42.5%	77.9%	63.3%	5.3%	-16.2%	52.6K	-946.2K	-21.3K	0.65	51.76	17,210	11,150	27,900	16,980
2015-04-22	$3.20	$3.50	41.4%	11.9%	51.5%	25.8%	39.7%	2.5%	-1.6%	-36.7K	2.7M	-15.0K	1.00	29.83	15,770	15,790	36,400	21,190
2015-04-23	$3.12	$3.50	39.9%	11.4%	47.9%	22.3%	39.5%	5.0%	-0.6%	10.6K	1.8M	-14.1K	1.27	43.90	3,510	4,460	39,310	18,410
2015-04-24	$3.04	$3.50	39.5%	11.3%	48.7%	21.4%	39.4%	-10.2%	-0.9%	11.3K	2.2M	-11.9K	0.59	43.87	5,020	2,940	39,860	17,390
2015-04-27	$3.08	$3.50	41.3%	11.8%	48.2%	25.6%	40.9%	-3.7%	-2.8%	15.3K	1.9M	-12.8K	0.66	20.86	4,330	2,870	41,440	17,920
2015-04-28	$2.97	$3.50	40.1%	11.5%	49.3%	22.9%	38.3%	-10.9%	-1.4%	10.9K	2.3M	-11.5K	0.66	41.60	3,500	2,310	41,710	17,910
2015-04-29	$2.98	$3.50	39.4%	11.3%	49.0%	21.2%	38.5%	-11.8%	-1.0%	8.2K	2.3M	-12.1K	0.49	18.75	3,730	1,830	41,900	18,480
2015-04-30	$2.88	$3.50	40.5%	11.6%	49.9%	23.8%	39.6%	-12.0%	-1.1%	5.8K	2.7M	-10.7K	0.52	31.09	4,290	2,230	42,670	18,720