SMCI Options History — May 2015

In May 2015, SMCI traded between $2.91 and $3.43. ATM implied volatility averaged 40.0%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 4.1% (HV 20d: 44.1%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.34.

Notable Days

  • 2015-05-08: Highest Volume — 20,310 contracts
  • 2015-05-12: Largest IV drop — 22.4% change
  • 2015-05-11: Highest IV Rank — 52.2%
  • 2015-05-13: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.20$2.91$3.43$2.93$3.35
Max Pain$3.02$3.00$3.50$3.50$3.00
ATM IV40.0%34.9%53.0%36.8%36.4%
Expected Move10.9%10.0%11.7%10.6%10.4%
HV 20d44.1%25.7%52.5%50.1%25.7%
HV 60d41.2%40.2%42.2%42.1%40.5%
IV Rank22.0%10.1%52.2%15.4%13.5%
IV Percentile43.3%7.5%89.3%20.6%15.9%
Term Structure1.2%-0.7%3.1%1.6%1.6%
VWIV37.2%30.6%40.7%36.7%39.0%
Skew 25d4.4%-5.4%9.1%3.9%4.7%
Skew 10d9.5%-9.3%19.9%6.5%13.4%
Call IV 25d36.0%30.7%40.8%35.2%33.6%
Put IV 25d40.4%35.5%44.1%39.1%38.3%
Bid-Ask Spread %62.0635.6481.9957.4236.90
Gamma HHI0.460.280.620.280.43
Net GEX209.7K10.3K297.7K10.3K294.0K
Net DEX-5.7M-9.9M2.4M2.4M-8.7M
Net VEX-27.2K-35.9K-12.0K-12.0K-29.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.070.660.330.64
Total Volume7,7351,97020,3108,2004,200
Total OI81,63363,490107,56063,49075,960

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$2.93$3.5036.8%10.6%50.1%15.4%36.7%3.9%1.6%10.3K2.4M-12.0K0.3357.426,1802,02044,39019,100
2015-05-04$2.98$3.0042.7%11.1%50.9%28.7%37.5%3.7%0.1%37.6K1.4M-14.8K0.1135.648,88098048,24019,480
2015-05-05$2.91$3.0045.7%11.3%51.2%35.7%34.2%0.9%-0.7%80.8K928.7K-17.8K0.2054.4710,1202,02055,71019,940
2015-05-06$2.98$3.0040.4%11.1%51.6%23.5%30.6%1.0%-0.4%81.3K423.1K-18.6K0.4748.673,3401,57055,80020,060
2015-05-07$3.01$3.0043.5%11.1%51.8%30.6%30.9%2.4%0.4%97.6K-9.4K-18.8K0.4981.996,0402,95056,50019,970
2015-05-08$3.09$3.0048.6%11.4%52.5%42.1%39.6%4.6%2.3%101.6K-1.4M-22.1K0.0753.5719,0501,26059,46021,190
2015-05-11$3.09$3.0053.0%11.5%52.2%52.2%39.6%-5.4%3.1%180.0K-3.8M-28.6K0.1578.415,45080072,79021,970
2015-05-12$3.12$3.0041.1%11.7%52.5%25.2%39.8%4.3%1.3%200.2K-4.7M-29.9K0.2175.4111,6002,39075,24021,790
2015-05-13$3.20$3.0040.8%11.7%50.0%23.7%39.3%4.2%0.4%248.9K-7.4M-34.5K0.2580.178,8702,22083,25022,030
2015-05-14$3.32$3.0039.0%11.2%51.8%19.5%40.7%8.2%1.3%273.7K-9.6M-35.9K0.4877.824,5402,20085,60021,960
2015-05-15$3.31$3.0037.5%10.8%51.3%16.1%37.7%5.4%1.1%290.9K-9.3M-34.5K0.1975.858,8901,67085,26022,170
2015-05-18$3.35$3.0036.6%10.5%51.5%14.0%36.2%7.1%1.5%286.8K-9.9M-33.0K0.1860.924,41081061,12015,470
2015-05-19$3.29$3.0036.9%10.6%47.7%14.7%37.7%4.3%2.0%292.1K-8.7M-31.8K0.2259.521,61036060,55015,470
2015-05-20$3.30$3.0036.9%10.6%35.1%14.6%36.8%7.2%2.4%274.6K-8.7M-32.4K0.3377.183,4801,14059,94015,630
2015-05-21$3.33$3.0036.4%10.4%33.8%13.5%37.3%6.9%1.8%293.7K-8.8M-30.9K0.4851.272,2701,08060,17015,860
2015-05-22$3.36$3.0034.9%10.0%31.9%10.1%35.5%6.2%2.4%297.7K-9.7M-30.3K0.1763.837,1501,22059,99015,870
2015-05-26$3.35$3.0037.8%10.8%31.8%16.7%39.7%5.1%0.6%280.1K-8.7M-29.4K0.6462.522,6101,67058,06015,990
2015-05-27$3.43$3.0037.2%10.7%28.6%15.3%36.9%9.1%0.9%281.2K-9.7M-29.3K0.5252.203,3901,77058,48016,250
2015-05-28$3.37$3.0037.4%10.7%29.8%15.9%37.7%4.3%0.4%290.2K-9.1M-29.9K0.6657.492,7001,79059,44016,510
2015-05-29$3.35$3.0036.4%10.4%25.7%13.5%39.0%4.7%1.6%294.0K-8.7M-29.2K0.6436.902,5601,64059,42016,540