SMCI Options History — September 2015

In September 2015, SMCI traded between $2.44 and $2.94. ATM implied volatility averaged 54.1%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 1.7% (HV 20d: 55.8%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-09-28: Highest Volume — 16,980 contracts
  • 2015-09-30: Largest IV drop — 24.7% change
  • 2015-09-01: Highest IV Rank — 83.6%
  • 2015-09-01: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.70$2.44$2.94$2.47$2.73
Max Pain$2.95$2.50$3.00$2.50$3.00
ATM IV54.1%43.6%68.2%68.2%43.6%
Expected Move15.1%12.5%19.6%19.6%12.5%
HV 20d55.8%43.1%61.0%60.4%43.1%
HV 60d46.8%43.9%49.1%44.6%47.0%
IV Rank52.3%29.0%83.6%83.6%29.0%
IV Percentile83.3%63.5%98.8%98.8%63.5%
Term Structure2.1%-11.0%22.6%-11.0%22.6%
VWIV50.0%33.0%65.7%65.7%44.7%
Skew 25d4.5%-1.8%15.5%2.7%0.2%
Skew 10d17.4%-5.7%33.4%-5.7%20.5%
Call IV 25d51.2%41.2%71.7%67.2%50.2%
Put IV 25d55.7%50.2%69.9%69.9%50.4%
Bid-Ask Spread %71.5342.5384.9584.9573.32
Gamma HHI0.480.390.720.390.47
Net GEX86.9K20.8K307.9K32.8K75.5K
Net DEX-1.6M-5.3M721.8K466.9K-1.1M
Net VEX-20.8K-24.2K-18.5K-21.4K-19.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.002.190.970.76
Total Volume5,980.47674016,98013,9104,400
Total OI76,151.42968,95085,14072,93081,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$2.47$2.5068.2%19.6%60.4%83.6%65.7%2.7%-11.0%32.8K466.9K-21.4K0.9784.957,0706,84048,05024,880
2015-09-02$2.48$2.5065.1%18.7%53.0%76.6%63.5%-1.8%-9.7%33.2K721.8K-20.1K1.2084.695,6106,73050,11024,870
2015-09-03$2.49$3.0063.7%15.1%51.8%73.5%52.3%4.8%-0.0%43.2K120.0K-20.9K2.1970.443,0806,73050,04024,870
2015-09-04$2.44$3.0065.7%15.6%51.9%78.0%59.3%3.9%-1.0%31.3K673.5K-20.3K0.6265.912,8301,75051,01024,870
2015-09-08$2.51$3.0065.6%15.8%52.4%77.7%56.4%4.5%-1.5%26.3K435.4K-19.7K0.8549.2140034050,78024,860
2015-09-09$2.51$3.0054.9%15.7%50.8%54.1%53.8%2.1%-0.4%20.8K213.2K-19.7K0.6447.462,2501,44050,78025,090
2015-09-10$2.70$3.0054.0%15.5%56.2%52.1%49.5%7.5%-2.2%45.8K-1.5M-20.6K0.6563.712,0001,30050,69025,040
2015-09-11$2.71$3.0053.4%15.3%56.1%50.8%45.1%5.2%-2.1%53.3K-1.7M-20.8K0.7179.481,8201,30050,81025,030
2015-09-14$2.66$3.0053.2%15.2%56.4%50.2%52.1%3.3%1.2%57.4K-1.7M-18.8K1.0073.396,7906,76050,79025,030
2015-09-15$2.80$3.0049.2%14.1%59.6%41.3%46.2%5.4%1.1%115.6K-3.0M-22.3K0.0042.531,850055,74029,400
2015-09-16$2.91$3.0049.0%14.1%61.0%41.1%41.8%6.2%1.8%219.7K-4.7M-24.2K0.6377.402,5601,61055,55029,440
2015-09-17$2.94$3.0047.2%13.5%61.0%37.0%45.0%5.8%2.9%307.9K-5.3M-23.9K0.5378.513,1801,69055,76029,200
2015-09-18$2.88$3.0048.5%13.9%60.8%39.9%44.8%-0.8%1.8%115.4K-4.1M-22.7K0.6577.642,7201,78055,30029,200
2015-09-21$2.89$3.0049.0%14.0%57.1%40.9%47.8%3.4%5.8%123.2K-3.4M-21.7K0.5573.682,9901,64045,55023,400
2015-09-22$2.85$3.0049.6%14.2%56.2%42.2%46.3%11.1%6.0%109.1K-2.6M-21.7K0.5272.553,1701,64045,55023,530
2015-09-23$2.86$3.0047.9%13.7%56.3%38.6%33.0%15.5%5.4%112.3K-2.5M-21.2K0.5773.341,9401,11045,61023,620
2015-09-24$2.78$3.0049.6%14.2%57.5%42.3%43.7%4.9%5.9%90.9K-1.7M-20.2K0.4681.252,4201,11046,18023,690
2015-09-25$2.78$3.0048.6%13.9%57.5%40.0%49.9%4.1%7.0%93.3K-1.6M-19.6K0.3481.703,2401,10046,22023,680
2015-09-28$2.70$3.0052.8%15.1%56.4%49.3%53.0%-0.6%6.7%62.9K-996.9K-18.5K1.0176.758,4508,53047,63023,680
2015-09-29$2.66$3.0058.0%16.6%56.1%60.8%56.8%7.1%3.1%55.4K-480.0K-19.6K0.7174.312,0001,42053,05028,770
2015-09-30$2.73$3.0043.6%12.5%43.1%29.0%44.7%0.2%22.6%75.5K-1.1M-19.5K0.7673.322,5001,90053,02028,810