SMCI Options History — November 2015

In November 2015, SMCI traded between $2.34 and $3.08. ATM implied volatility averaged 47.9%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 12.0% (HV 20d: 59.9%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.67.

Notable Days

  • 2015-11-12: Highest Volume — 11,170 contracts
  • 2015-11-12: Largest IV spike — 13.7% change
  • 2015-11-16: Highest IV Rank — 50.3%
  • 2015-11-16: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.66$2.34$3.08$2.96$2.46
Max Pain$2.58$2.50$3.00$3.00$2.50
ATM IV47.9%43.3%53.5%43.6%50.1%
Expected Move13.6%12.3%15.3%12.5%14.4%
HV 20d59.9%44.2%83.7%83.7%44.4%
HV 60d62.7%60.2%64.9%62.4%60.2%
IV Rank37.8%28.3%50.3%28.9%42.5%
IV Percentile70.4%60.3%82.9%62.3%74.2%
Term Structure-1.3%-5.5%1.3%-0.5%-3.8%
VWIV49.0%40.4%54.8%43.4%52.9%
Skew 25d6.6%-6.5%21.6%16.4%13.6%
Skew 10d13.3%-8.5%35.5%26.7%14.1%
Call IV 25d44.7%36.3%54.8%39.2%41.6%
Put IV 25d51.2%35.1%59.2%55.6%55.2%
Bid-Ask Spread %83.0768.6596.4895.0678.27
Gamma HHI0.590.350.800.750.54
Net GEX88.1K1.0K192.5K158.5K47.1K
Net DEX-1.8M-6.1M1.7M-4.4M-919.8K
Net VEX-16.3K-21.6K-11.7K-21.4K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0213.330.290.04
Total Volume4,419.517011,1706,1901,000
Total OI56,36346,92066,09053,05051,030

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$2.96$3.0043.6%12.5%83.7%28.9%43.4%16.4%-0.5%158.5K-4.4M-21.4K0.2995.064,7801,41039,43013,620
2015-11-03$3.02$3.0044.0%12.6%83.3%29.8%51.6%18.5%-0.3%169.6K-5.4M-21.6K0.5884.653,5602,08040,21013,630
2015-11-04$3.00$3.0043.3%12.4%80.0%28.3%46.0%21.6%-0.1%179.1K-5.2M-20.9K0.4496.483,7601,67040,36012,840
2015-11-05$3.01$2.5043.6%12.3%79.9%28.9%40.4%4.5%-0.1%184.2K-5.4M-20.4K0.4494.143,7601,64040,35012,840
2015-11-06$3.08$2.5044.0%12.5%54.1%29.0%0.0%-6.5%-1.1%186.0K-6.1M-20.5K7.5088.992015040,35012,820
2015-11-09$3.03$2.5046.1%12.5%53.2%33.7%0.0%1.6%-0.6%192.5K-5.8M-19.8K13.3381.923040040,36012,970
2015-11-10$2.92$2.5045.5%12.4%54.9%32.2%45.1%0.6%-1.7%179.1K-4.4M-19.0K0.3090.293,4801,06040,36013,170
2015-11-11$2.87$2.5043.8%12.6%53.5%28.5%48.4%2.6%-1.7%162.8K-3.7M-18.6K0.3087.363,4801,06040,41013,130
2015-11-12$2.64$2.5049.8%14.3%62.3%41.9%50.6%4.9%-0.1%43.5K2.8K-16.3K4.4268.652,0609,11042,31023,560
2015-11-13$2.55$2.5052.7%15.1%63.3%48.5%51.9%-0.4%-4.6%41.8K526.6K-16.5K0.6080.181,7801,06042,57023,470
2015-11-16$2.47$2.5053.5%15.3%64.1%50.3%54.8%0.4%-5.5%24.5K1.3M-15.3K0.6388.851,7701,11042,57023,520
2015-11-17$2.44$2.5049.5%14.2%64.0%41.2%49.8%0.9%-2.5%10.6K1.7M-13.9K2.0976.933,4607,23042,35023,580
2015-11-18$2.37$2.5051.7%14.8%64.5%46.1%49.7%8.3%-1.6%8.1K1.3M-12.1K0.3479.044,1901,41042,34018,460
2015-11-19$2.35$2.5051.0%14.6%64.5%44.7%49.0%9.8%-1.6%1.0K1.4M-12.0K0.3984.822,9801,16043,29018,780
2015-11-20$2.34$2.5050.4%14.4%46.4%43.2%48.4%7.9%1.3%20.0K1.5M-11.7K0.3171.914,6501,42043,68018,950
2015-11-23$2.36$2.5050.7%14.5%46.1%44.0%49.9%0.3%-1.3%26.4K41.3K-12.1K0.4883.622,7501,32034,95011,970
2015-11-24$2.39$2.5048.2%13.8%46.7%38.3%52.1%9.3%0.6%41.6K-353.1K-13.3K0.0277.416301037,47013,210
2015-11-25$2.42$2.5047.6%13.6%44.2%37.0%50.0%4.9%0.4%40.3K-488.6K-13.1K0.4072.192,48099038,10013,220
2015-11-27$2.44$2.5048.3%13.8%44.7%38.6%48.5%12.0%-0.6%45.2K-702.2K-13.3K0.4080.652,4801,00037,80013,230
2015-11-30$2.46$2.5050.1%14.4%44.4%42.5%52.9%13.6%-3.8%47.1K-919.8K-13.1K0.0478.279604037,80013,230