SMCI Options History — August 2015

In August 2015, SMCI traded between $2.47 and $2.80. ATM implied volatility averaged 53.2%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 10.1% (HV 20d: 43.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2015-08-04: Highest Volume — 33,310 contracts
  • 2015-08-24: Largest IV spike — 47.0% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.66$2.47$2.80$2.66$2.73
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV53.2%41.9%75.6%69.6%64.0%
Expected Move15.1%12.0%21.7%20.0%18.3%
HV 20d43.1%34.4%49.4%34.4%49.4%
HV 60d38.8%34.7%40.5%34.9%40.0%
IV Rank53.1%28.4%100.0%89.9%74.2%
IV Percentile85.2%67.1%100.0%99.6%97.6%
Term Structure-5.5%-18.2%0.3%-17.5%-10.0%
VWIV50.7%41.3%71.4%69.0%51.0%
Skew 25d4.8%-2.0%23.5%2.4%11.3%
Skew 10d8.7%-16.1%31.8%-6.4%25.9%
Call IV 25d50.0%41.1%68.9%68.9%53.1%
Put IV 25d54.8%42.1%85.0%71.4%64.4%
Bid-Ask Spread %72.5930.8297.6451.5378.10
Gamma HHI0.390.280.530.320.46
Net GEX54.6K-32.5K117.8K115.7K83.0K
Net DEX-1.7M-3.9M228.3K-2.1M-1.6M
Net VEX-20.2K-24.4K-17.2K-20.7K-24.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.003.920.051.77
Total Volume9,643.811,40033,3103,0509,740
Total OI84,673.8161,070107,34066,92073,110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$2.66$2.5069.6%20.0%34.4%89.9%69.0%2.4%-17.5%115.7K-2.1M-20.7K0.0551.532,91014047,91019,010
2015-08-04$2.59$2.5070.5%20.2%35.2%91.9%71.2%3.7%-18.2%117.8K-1.6M-19.9K3.9247.156,77026,54050,14019,050
2015-08-05$2.80$2.5044.7%12.8%45.1%32.7%48.4%3.6%-4.4%107.7K-3.9M-22.2K0.3155.129,7202,99053,57042,560
2015-08-06$2.69$2.5045.9%12.2%40.5%38.5%41.9%0.9%-0.8%60.7K-2.0M-21.7K0.6130.826,6704,09053,14041,480
2015-08-07$2.65$2.5047.2%12.2%41.0%41.8%41.3%0.9%-0.4%22.5K-1.3M-22.3K1.1651.374,2804,95054,96040,700
2015-08-10$2.72$2.5045.6%12.8%41.3%37.7%42.7%2.1%-2.0%63.2K-2.5M-21.2K0.6981.214,5503,15054,87040,560
2015-08-11$2.61$2.5048.3%12.8%42.6%44.4%44.7%6.9%-2.2%-32.5K-755.3K-19.8K0.0081.981,400054,55040,300
2015-08-12$2.70$2.5043.9%12.6%41.5%33.5%44.2%0.5%-1.3%15.0K-2.1M-19.3K0.6359.126,7804,25055,05040,300
2015-08-13$2.73$2.5042.6%12.2%41.6%30.3%42.7%-0.6%0.3%35.1K-2.7M-20.2K1.0281.844,1504,25056,40041,020
2015-08-14$2.76$2.5041.9%12.0%41.7%28.4%42.0%4.5%-1.2%55.9K-3.1M-20.1K0.7487.516,7004,97056,47041,020
2015-08-17$2.76$2.5045.4%13.0%41.4%37.1%45.4%0.7%-2.2%86.2K-2.1M-22.3K1.0085.824,1004,12055,41041,020
2015-08-18$2.75$2.5042.4%12.2%41.5%29.7%42.9%1.5%-0.4%61.5K-3.2M-18.6K1.3982.082,9604,12055,41041,310
2015-08-19$2.74$2.5046.5%13.3%41.5%39.9%45.7%1.9%-2.1%54.3K-2.9M-18.0K0.1877.783,43063054,92041,300
2015-08-20$2.68$2.5045.3%13.0%42.5%36.9%45.9%-2.0%-0.5%43.7K-2.4M-17.2K0.8879.679,6208,49053,95041,480
2015-08-21$2.54$2.5051.4%14.7%46.4%52.3%51.8%3.4%-3.0%33.9K-1.6M-19.0K1.1983.206,9208,22060,97046,370
2015-08-24$2.47$2.5075.6%21.7%47.2%100.0%71.4%23.5%-17.2%39.6K228.3K-19.3K0.4697.643,1801,47041,00020,070
2015-08-25$2.48$2.5065.2%18.7%47.2%76.9%62.6%5.7%-6.6%39.9K-30.1K-19.8K0.4580.353,1401,42041,62019,950
2015-08-26$2.52$2.5062.0%17.8%47.3%69.8%56.1%5.3%-10.3%42.2K110.3K-19.3K0.6771.232,4301,64042,24020,200
2015-08-27$2.56$2.5059.6%17.1%47.5%64.4%53.5%11.9%-7.0%42.4K-120.9K-19.6K0.6380.102,4701,56042,25020,190
2015-08-28$2.67$2.5059.7%17.1%48.9%64.6%50.6%12.1%-9.5%58.5K-822.0K-20.1K0.8480.857,3806,22042,25020,070
2015-08-31$2.73$2.5064.0%18.3%49.4%74.2%51.0%11.3%-10.0%83.0K-1.6M-24.4K1.7778.103,5206,22048,23024,880