SMCI Options History — July 2015

In July 2015, SMCI traded between $2.50 and $3.03. ATM implied volatility averaged 51.5%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 14.6% (HV 20d: 36.9%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-07-09: Highest Volume — 12,560 contracts
  • 2015-07-15: Largest IV spike — 16.7% change
  • 2015-07-30: Highest IV Rank — 73.3%
  • 2015-07-30: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.62$2.50$3.03$3.03$2.66
Max Pain$2.64$2.50$3.00$3.00$2.50
ATM IV51.5%39.0%62.4%39.0%62.3%
Expected Move15.3%11.2%17.9%11.2%17.9%
HV 20d36.9%33.4%40.0%33.5%36.4%
HV 60d38.5%34.6%43.0%40.2%35.0%
IV Rank48.3%19.5%73.3%19.5%73.1%
IV Percentile83.7%40.9%98.0%40.9%97.6%
Term Structure-6.2%-13.3%8.3%8.3%-12.6%
VWIV52.3%37.2%65.6%38.6%65.6%
Skew 25d-1.1%-15.0%3.9%-7.1%3.2%
Skew 10d-3.7%-22.8%5.4%-11.4%-2.4%
Call IV 25d54.7%43.3%63.8%43.3%61.6%
Put IV 25d53.6%31.9%64.8%36.2%64.8%
Bid-Ask Spread %53.7132.5067.7733.2839.48
Gamma HHI0.410.250.750.750.32
Net GEX102.2K-11.2K370.6K370.6K111.8K
Net DEX273.6K-3.5M3.0M-3.5M-2.0M
Net VEX-18.5K-27.0K-14.7K-27.0K-20.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.241.420.470.78
Total Volume6,454.5453,93012,5605,2506,710
Total OI76,120.45549,01093,71087,47065,740

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$3.03$3.0039.0%11.2%33.5%19.5%38.6%-7.1%8.3%370.6K-3.5M-27.0K0.4733.283,5701,68064,43023,040
2015-07-02$2.90$3.0040.8%11.7%33.4%23.7%37.2%-15.0%6.6%306.6K-1.2M-25.2K0.6445.673,3202,12064,81023,160
2015-07-06$2.80$3.0046.9%14.1%34.6%37.7%48.7%-0.5%-4.5%239.9K678.6K-21.6K0.9262.022,4802,28065,57023,250
2015-07-07$2.76$3.0050.4%13.8%34.6%45.7%50.2%2.7%-4.1%201.0K877.2K-20.7K0.6667.133,4402,26065,63023,140
2015-07-08$2.76$3.0043.3%14.5%34.7%29.3%50.4%0.0%-7.1%198.7K1.4M-19.6K0.5666.264,2302,37064,97023,430
2015-07-09$2.59$3.0044.7%14.4%35.9%32.6%49.1%3.9%-3.3%6.0K3.0M-14.8K0.5861.757,9704,59063,21023,750
2015-07-10$2.58$2.5042.5%14.8%35.6%27.6%51.6%1.3%-6.7%11.0K2.5M-15.2K0.5167.776,8603,53065,67023,160
2015-07-13$2.54$2.5042.4%14.2%35.5%27.2%43.1%0.2%-3.4%18.0K2.2M-14.9K1.4267.271,8502,63067,16022,880
2015-07-14$2.61$2.5045.0%15.1%38.3%33.4%51.4%2.5%-6.9%22.8K1.5M-14.8K0.7166.793,9002,76067,42020,260
2015-07-15$2.52$2.5052.5%15.1%39.3%50.7%52.5%-1.2%-7.2%4.8K1.9M-14.7K1.3160.823,1804,17068,89021,100
2015-07-16$2.51$2.5051.7%14.8%39.3%48.6%50.8%-0.1%-6.7%-11.2K1.8M-15.7K0.7566.344,1903,16069,69022,800
2015-07-17$2.52$2.5052.4%15.0%38.6%50.2%53.1%0.3%-7.4%30.0K1.7M-15.4K0.9161.613,6003,28070,53023,180
2015-07-20$2.50$2.5052.5%15.1%37.7%50.6%52.1%0.8%-6.0%29.6K845.6K-15.3K0.2464.338,4602,05032,92016,090
2015-07-21$2.51$2.5054.1%15.5%37.7%54.2%50.1%-2.2%-6.4%68.6K-17.1K-17.5K0.7742.392,5901,99040,01016,680
2015-07-22$2.54$2.5055.7%16.0%38.6%58.0%59.4%-1.4%-8.0%73.8K-448.1K-18.9K0.4332.504,6601,99040,88016,900
2015-07-23$2.58$2.5056.6%16.2%40.0%60.1%58.1%-1.1%-8.6%87.0K-1.0M-20.2K0.7652.513,1702,40042,67016,900
2015-07-24$2.55$2.5057.8%16.6%39.0%62.8%53.0%-0.4%-7.6%88.9K-766.2K-19.7K0.6244.203,0401,89044,02017,550
2015-07-27$2.52$2.5059.6%17.1%37.8%66.8%57.4%-4.8%-9.9%90.1K-466.5K-18.4K0.4845.703,7201,77044,78017,490
2015-07-28$2.53$2.5060.1%17.2%37.0%68.1%64.3%-2.1%-11.1%94.5K-761.5K-19.1K0.7943.782,2001,73045,94017,480
2015-07-29$2.57$2.5060.7%17.4%37.7%69.4%51.1%-3.7%-10.8%101.5K-952.1K-18.8K0.7454.032,3801,76046,29017,480
2015-07-30$2.58$2.5062.4%17.9%36.1%73.3%62.9%-0.4%-13.3%104.3K-1.1M-19.2K1.3136.042,6303,44046,27017,430
2015-07-31$2.66$2.5062.3%17.9%36.4%73.1%65.6%3.2%-12.6%111.8K-2.0M-20.9K0.7839.483,7702,94046,86018,880