SMCI Options History — December 2015

In December 2015, SMCI traded between $2.24 and $2.66. ATM implied volatility averaged 47.7%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 2.8% (HV 20d: 50.5%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2015-12-01: Highest Volume — 12,830 contracts
  • 2015-12-14: Largest IV spike — 14.3% change
  • 2015-12-14: Highest IV Rank — 55.5%
  • 2015-12-14: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.44$2.24$2.66$2.62$2.47
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV47.7%42.2%56.1%50.6%43.1%
Expected Move13.5%12.1%16.1%14.5%12.4%
HV 20d50.5%47.2%55.1%47.4%49.2%
HV 60d61.5%59.4%62.9%61.4%61.3%
IV Rank36.6%24.0%55.5%43.7%26.0%
IV Percentile63.3%40.9%86.1%75.0%46.0%
Term Structure5.0%-2.5%11.8%-2.5%11.4%
VWIV48.1%37.9%60.1%48.8%60.1%
Skew 25d4.6%-2.5%14.4%5.0%-0.0%
Skew 10d12.4%-19.3%92.3%12.0%92.3%
Call IV 25d45.8%34.0%55.5%48.5%44.6%
Put IV 25d50.5%44.6%56.6%53.4%44.6%
Bid-Ask Spread %74.8542.6498.2774.2598.27
Gamma HHI0.410.300.630.630.39
Net GEX82.5K49.8K130.5K75.8K94.3K
Net DEX-1.3M-3.2M661.8K-2.4M-1.4M
Net VEX-13.3K-19.5K-9.2K-14.9K-11.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.061.490.060.36
Total Volume7,259.5453,10012,83012,8305,200
Total OI64,08051,69068,89051,69066,560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$2.62$2.5050.6%14.5%47.4%43.7%48.8%5.0%-2.5%75.8K-2.4M-14.9K0.0674.2512,11072038,45013,240
2015-12-02$2.66$2.5051.4%14.8%47.2%45.6%50.6%4.6%-1.7%100.9K-3.2M-18.0K0.1482.117,6501,05046,55013,670
2015-12-03$2.64$2.5051.7%13.8%47.2%46.1%40.4%5.0%2.6%106.7K-3.1M-19.5K1.4778.584,0906,03050,03013,810
2015-12-04$2.66$2.5048.2%13.7%47.2%38.3%45.6%5.3%-2.0%130.5K-3.1M-16.5K1.4968.514,0306,01049,61011,240
2015-12-07$2.49$2.5050.5%13.5%50.4%43.6%48.1%3.7%3.5%106.4K-1.8M-15.1K0.2942.642,40070050,62011,230
2015-12-08$2.53$2.5050.6%13.5%51.3%43.8%41.9%4.5%2.8%109.3K-2.0M-15.6K0.3054.033,3301,00052,12011,580
2015-12-09$2.40$2.5047.4%13.6%53.0%35.9%50.9%-0.6%3.4%82.4K-921.8K-12.9K0.1652.345,94095052,18011,760
2015-12-10$2.48$2.5046.4%13.3%55.1%33.6%46.3%2.7%2.9%74.8K-1.1M-13.0K0.2475.485,0201,19050,52011,830
2015-12-11$2.42$2.5049.1%14.1%47.4%39.6%48.7%1.2%2.0%72.4K-894.9K-12.9K0.2157.374,60098052,28012,130
2015-12-14$2.28$2.5056.1%16.1%50.1%55.5%51.6%1.5%5.3%64.8K-51.1K-12.1K0.2285.484,9601,11052,28012,110
2015-12-15$2.28$2.5050.1%14.4%49.3%41.9%52.2%6.0%4.7%59.6K229.7K-10.5K0.2587.135,5001,38054,79012,240
2015-12-16$2.32$2.5046.8%13.4%49.8%34.5%47.5%3.3%4.5%56.2K-55.1K-11.0K0.3179.815,2701,65055,00012,580
2015-12-17$2.28$2.5047.5%13.6%49.0%36.0%51.7%4.4%6.4%61.8K-11.2K-12.1K0.3976.604,8801,92055,89012,880
2015-12-18$2.24$2.5051.8%14.9%49.4%45.8%52.0%-1.1%2.0%49.8K661.8K-9.2K0.6575.175,8503,79055,87013,020
2015-12-21$2.31$2.5046.7%13.4%51.0%34.3%50.7%-2.5%4.9%57.1K-534.1K-11.3K0.4069.085,5802,22051,83010,390
2015-12-22$2.40$2.5043.5%12.5%52.6%27.0%45.0%7.7%8.8%63.4K-881.6K-12.2K0.2372.808,3101,95051,79010,620
2015-12-23$2.48$2.5043.0%12.3%53.7%25.8%47.8%14.2%11.0%88.3K-1.7M-14.4K0.2673.346,4701,66054,32010,760
2015-12-24$2.47$2.5042.3%12.1%53.7%24.3%37.9%14.4%11.2%91.2K-1.5M-12.7K0.2682.386,2801,66054,87010,760
2015-12-28$2.44$2.5045.0%12.9%53.7%30.3%45.6%10.8%7.4%86.1K-1.2M-11.9K0.3386.684,1801,40054,92010,760
2015-12-29$2.47$2.5042.2%12.1%53.8%24.0%40.5%9.2%11.8%93.2K-1.6M-12.8K0.3483.174,0601,40055,51010,860
2015-12-30$2.41$2.5044.8%12.8%48.9%29.8%54.4%2.9%9.2%90.5K-1.4M-13.8K0.3791.583,8301,40055,44010,860
2015-12-31$2.47$2.5043.1%12.4%49.2%26.0%60.1%-0.0%11.4%94.3K-1.4M-11.1K0.3698.273,8301,37055,70010,860