SMCI Options History — October 2015

In October 2015, SMCI traded between $2.54 and $3.18. ATM implied volatility averaged 52.1%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 16.8% (HV 20d: 68.9%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-10-09: Highest Volume — 31,160 contracts
  • 2015-10-12: Largest IV spike — 38.2% change
  • 2015-10-13: Highest IV Rank — 100.0%
  • 2015-10-12: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.75$2.54$3.18$2.66$2.83
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV52.1%41.4%75.8%54.3%43.5%
Expected Move15.2%11.9%17.1%15.6%12.5%
HV 20d68.9%44.4%84.8%44.4%83.3%
HV 60d56.9%46.0%64.1%47.2%61.8%
IV Rank47.7%24.1%100.0%52.6%28.7%
IV Percentile77.2%51.2%100.0%85.7%62.3%
Term Structure-4.0%-10.7%9.3%4.1%-0.9%
VWIV52.9%38.6%59.6%57.1%44.2%
Skew 25d4.1%-5.3%10.3%-5.3%1.7%
Skew 10d16.6%-1.5%31.3%17.0%18.8%
Call IV 25d51.7%41.4%61.9%61.1%41.4%
Put IV 25d55.8%43.1%62.7%55.8%43.1%
Bid-Ask Spread %76.3356.2898.7678.0397.87
Gamma HHI0.570.380.800.440.72
Net GEX76.8K-150.7K305.6K46.6K129.0K
Net DEX-1.8M-9.0M1.1M-633.3K-2.6M
Net VEX-17.3K-20.5K-14.2K-19.5K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.083.870.810.32
Total Volume8,532.2731,56031,1604,2105,630
Total OI68,878.18237,68095,02082,75050,850

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$2.66$3.0054.3%15.6%44.4%52.6%57.1%-5.3%4.1%46.6K-633.3K-19.5K0.8178.032,3201,89053,26029,490
2015-10-02$2.77$3.0041.4%11.9%46.2%24.1%38.6%2.0%9.3%90.3K-1.9M-18.6K0.6676.252,3701,56053,28029,560
2015-10-05$2.88$3.0045.6%15.9%46.7%33.4%55.2%5.0%-7.3%191.9K-3.1M-20.5K0.2161.161,29027053,30029,830
2015-10-06$2.97$3.0048.9%15.8%46.6%40.8%57.6%8.2%-7.9%237.4K-4.8M-20.1K1.6563.802,0003,29053,39029,840
2015-10-07$3.16$3.0044.9%15.5%50.5%31.9%58.0%0.2%-6.9%290.9K-8.9M-17.5K0.5666.435,6403,15053,16029,970
2015-10-08$3.18$3.0048.8%16.4%45.1%40.4%57.1%7.2%-7.3%305.6K-9.0M-17.5K2.6966.794,81012,92053,21030,610
2015-10-09$2.71$3.0047.0%16.3%75.1%36.6%54.3%-1.8%-7.6%11.2K509.9K-17.9K1.9256.2810,68020,48054,37039,790
2015-10-12$2.63$3.0065.0%17.1%75.5%76.5%57.6%6.1%-10.7%32.2K337.6K-15.2K1.8569.167,14013,18056,86036,820
2015-10-13$2.69$3.0075.8%16.9%73.4%100.0%58.3%10.3%-9.9%-55.7K458.4K-16.6K3.8769.143,44013,32057,54036,830
2015-10-14$2.60$3.0057.3%16.4%72.7%59.3%57.0%6.1%-7.0%-150.7K1.1M-16.5K0.5570.554,4602,44058,22036,800
2015-10-15$2.60$3.0058.9%16.9%72.5%62.6%57.9%5.9%-9.3%-125.0K372.1K-15.0K0.5873.044,4102,54059,20035,680
2015-10-16$2.63$3.0058.3%16.7%72.6%61.3%57.0%6.9%-7.6%32.5K-385.0K-15.3K0.4969.365,3802,65058,74035,830
2015-10-19$2.63$3.0058.8%16.9%72.6%62.5%56.4%5.5%-5.8%33.7K-536.5K-15.1K0.3571.212,76096025,52012,160
2015-10-20$2.59$3.0056.8%16.3%72.6%58.1%55.3%6.9%-5.3%33.5K-367.7K-14.5K0.2982.274,2001,23026,08012,330
2015-10-21$2.54$3.0058.0%16.6%72.8%60.7%59.6%-0.7%-6.7%36.4K-265.0K-15.0K0.4679.822,6701,22027,93012,620
2015-10-22$2.54$3.0058.9%16.9%72.3%62.6%59.2%0.1%-6.8%36.4K-143.3K-14.2K0.4081.972,8201,13028,21012,610
2015-10-23$2.85$3.0044.0%12.6%84.1%29.9%43.2%3.6%0.7%63.6K-2.0M-17.3K0.0880.2510,88090028,13012,840
2015-10-26$2.76$3.0044.1%12.6%84.3%30.1%39.5%-1.2%-2.9%103.0K-2.0M-18.8K0.3483.764,6401,59036,06012,750
2015-10-27$2.73$3.0048.1%13.8%84.2%38.8%49.3%4.3%7.9%104.1K-1.7M-17.9K0.2593.394,6501,18036,86013,610
2015-10-28$2.83$3.0043.3%12.4%84.8%28.2%39.7%9.9%0.2%122.4K-2.7M-19.9K0.2698.764,5101,18036,92013,620
2015-10-29$2.80$3.0044.5%12.8%84.4%30.9%51.9%8.6%-0.5%119.3K-2.5M-19.0K0.5289.912,5801,35037,02013,620
2015-10-30$2.83$3.0043.5%12.5%83.3%28.7%44.2%1.7%-0.9%129.0K-2.6M-19.4K0.3297.874,2801,35037,23013,620