SMCI Options History — June 2015

In June 2015, SMCI traded between $2.94 and $3.52. ATM implied volatility averaged 38.5%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 5.5% (HV 20d: 33.0%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2015-06-24: Highest Volume — 8,680 contracts
  • 2015-06-29: Largest IV spike — 10.2% change
  • 2015-06-17: Highest IV Rank — 23.3%
  • 2015-06-17: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.30$2.94$3.52$3.52$2.96
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV38.5%36.4%40.7%38.9%40.0%
Expected Move11.0%10.4%11.7%11.2%11.5%
HV 20d33.0%28.1%36.7%29.4%32.3%
HV 60d40.5%38.4%42.1%41.9%39.8%
IV Rank18.3%13.6%23.3%19.3%21.7%
IV Percentile37.1%14.3%61.5%42.1%54.0%
Term Structure4.6%-1.3%9.6%-0.7%7.5%
VWIV38.1%33.5%40.4%39.2%37.5%
Skew 25d2.5%-13.0%16.7%16.7%-10.2%
Skew 10d3.5%-19.2%27.3%27.3%-16.2%
Call IV 25d37.8%29.2%44.7%29.2%43.5%
Put IV 25d40.3%31.7%45.9%45.9%33.3%
Bid-Ask Spread %39.4311.4459.2426.8340.92
Gamma HHI0.500.410.730.410.73
Net GEX289.0K207.4K328.8K291.7K319.2K
Net DEX-7.9M-12.0M-1.5M-11.3M-2.1M
Net VEX-28.3K-31.6K-25.1K-27.7K-25.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.323.970.540.56
Total Volume5,330.4553,6608,6808,2805,330
Total OI82,714.09175,94086,76075,94086,070

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$3.52$3.0038.9%11.2%29.4%19.3%39.2%16.7%-0.7%291.7K-11.3M-27.7K0.5426.835,3702,91059,29016,650
2015-06-02$3.46$3.0038.9%11.1%30.5%19.2%38.8%11.0%-0.8%314.4K-11.7M-29.0K3.9758.229203,65062,11016,930
2015-06-03$3.50$3.0038.5%11.0%28.1%18.3%39.1%14.0%-1.3%302.8K-12.0M-31.6K1.8635.282,6604,95062,48020,290
2015-06-04$3.35$3.0040.7%10.9%33.3%23.3%37.7%1.2%4.3%305.3K-9.3M-31.4K0.6252.763,0401,87062,15020,390
2015-06-05$3.37$3.0039.3%10.8%33.2%20.2%36.4%2.4%5.5%309.2K-9.4M-31.4K0.8632.892,0501,76062,05020,550
2015-06-08$3.35$3.0038.9%10.7%32.5%19.2%36.6%2.9%5.1%311.7K-8.7M-30.6K1.1123.331,8602,07062,14020,600
2015-06-09$3.35$3.0038.6%11.0%32.5%18.7%39.6%3.2%4.1%298.9K-8.5M-30.5K1.5029.061,6002,40061,83021,390
2015-06-10$3.47$3.0037.7%10.8%34.2%16.5%38.8%6.7%4.6%318.2K-10.5M-29.8K1.5029.101,6702,50061,86021,550
2015-06-11$3.47$3.0037.1%10.6%33.5%15.1%36.7%5.7%5.3%328.8K-10.8M-29.6K1.0138.081,8201,84061,99021,730
2015-06-12$3.40$3.0037.9%10.9%32.4%16.9%37.0%1.9%4.4%319.6K-9.8M-28.3K0.9943.821,9301,92062,02021,780
2015-06-15$3.30$3.0039.1%11.2%34.1%19.6%38.6%0.6%3.5%316.6K-8.0M-27.4K1.5355.321,5502,37061,98021,960
2015-06-16$3.25$3.0038.4%11.0%34.1%18.1%39.3%1.5%3.9%307.2K-7.1M-27.8K0.9933.082,0202,00062,15022,790
2015-06-17$3.25$3.0040.7%11.7%33.5%23.3%39.3%1.3%4.3%250.0K-6.9M-26.8K1.3034.541,7402,26062,05023,270
2015-06-18$3.29$3.0037.3%10.7%33.7%15.6%38.5%1.2%5.3%239.9K-7.6M-26.8K0.8045.942,5702,06062,15023,570
2015-06-19$3.32$3.0036.4%10.4%33.9%13.6%37.8%1.5%4.8%249.2K-8.1M-25.3K0.3248.475,3801,74062,67024,090
2015-06-22$3.33$3.0036.9%10.6%33.6%14.7%39.4%2.3%5.7%227.8K-7.8M-25.1K0.3235.834,9601,58054,83021,500
2015-06-23$3.32$3.0038.0%10.9%33.7%17.2%33.5%5.3%5.8%207.4K-7.0M-28.1K0.4531.444,7602,14056,74021,500
2015-06-24$3.27$3.0037.8%10.8%33.1%16.8%40.4%3.3%7.4%231.4K-6.7M-27.3K0.3411.446,4802,20057,44022,320
2015-06-25$3.16$3.0038.5%11.0%34.7%18.4%38.5%-0.3%7.0%299.8K-5.7M-28.0K0.5756.913,9002,21059,88022,490
2015-06-26$3.04$3.0036.6%10.5%36.7%14.0%36.7%-4.6%9.6%324.7K-3.5M-27.7K1.1959.242,2602,70062,02023,260
2015-06-29$2.94$3.0040.4%11.6%32.0%22.6%39.1%-13.0%7.1%284.1K-1.5M-25.7K0.6644.903,7802,49061,56023,640
2015-06-30$2.96$3.0040.0%11.5%32.3%21.7%37.5%-10.2%7.5%319.2K-2.1M-25.9K0.5640.923,4201,91063,01023,060