SMCI Options History — January 2016

In January 2016, SMCI traded between $2.15 and $2.98. ATM implied volatility averaged 64.3%, placing in the 73.1% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 16.6% (HV 20d: 80.8%). Max pain ranged from $1.75 to $2.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.48.

Notable Days

2016-01-12: Highest Volume — 19,880 contracts
2016-01-29: Largest IV drop — 29.2% change
2016-01-15: Highest IV Rank — 88.7%
2016-01-15: Largest Expected Move — 20.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.50	$2.15	$2.98	$2.37	$2.98
Max Pain	$2.22	$1.75	$2.25	$1.75	$2.25
ATM IV	64.3%	49.0%	71.0%	61.0%	49.0%
Expected Move	18.3%	14.1%	20.4%	17.3%	14.1%
HV 20d	80.8%	41.3%	100.6%	51.0%	100.6%
HV 60d	64.7%	50.3%	72.0%	60.2%	69.9%
IV Rank	73.1%	35.7%	88.7%	66.6%	35.7%
IV Percentile	93.8%	62.3%	99.2%	93.3%	62.3%
Term Structure	-6.8%	-13.6%	-0.7%	-5.5%	-0.7%
VWIV	66.1%	53.8%	75.0%	58.8%	53.8%
Skew 25d	5.7%	-1.2%	11.7%	9.1%	4.6%
Skew 10d	9.8%	-8.4%	27.4%	19.7%	8.2%
Call IV 25d	61.6%	48.0%	69.0%	54.5%	48.0%
Put IV 25d	67.2%	52.6%	77.1%	63.7%	52.6%
Bid-Ask Spread %	74.85	52.60	91.63	68.83	91.63
Gamma HHI	0.30	0.25	0.36	0.32	0.36
Net GEX	86.7K	45.4K	156.8K	78.3K	156.8K
Net DEX	-2.4M	-6.6M	159.5K	-987.4K	-6.6M
Net VEX	-14.5K	-18.5K	-9.8K	-11.6K	-18.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.17	0.83	0.21	0.17
Total Volume	8,773.684	3,980	19,880	5,030	11,890
Total OI	63,932.632	47,760	80,700	66,850	56,160

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$2.37	$1.75	61.0%	17.3%	51.0%	66.6%	58.8%	9.1%	-5.5%	78.3K	-987.4K	-11.6K	0.21	68.83	4,150	880	55,970	10,880
2016-01-05	$2.31	$2.25	63.0%	16.8%	51.2%	71.2%	62.9%	3.0%	-4.2%	71.5K	-652.7K	-10.5K	0.44	72.56	3,700	1,630	57,590	11,050
2016-01-06	$2.29	$2.25	59.0%	18.4%	46.4%	62.0%	62.3%	4.3%	-9.7%	54.4K	-354.4K	-10.1K	0.25	68.56	6,670	1,640	58,120	11,750
2016-01-07	$2.21	$2.25	64.6%	17.8%	46.9%	74.7%	64.2%	2.3%	-6.1%	56.2K	-325.8K	-11.3K	0.29	62.60	5,140	1,490	60,420	12,370
2016-01-08	$2.19	$2.25	61.7%	17.9%	43.5%	68.2%	64.7%	1.4%	-5.1%	52.0K	-284.1K	-11.5K	0.22	64.29	5,690	1,270	61,020	12,670
2016-01-11	$2.15	$2.25	66.4%	18.1%	41.3%	78.9%	68.8%	1.2%	-8.4%	45.4K	159.5K	-9.8K	0.49	74.38	2,680	1,300	62,160	13,160
2016-01-12	$2.72	$2.25	64.0%	17.7%	95.0%	73.5%	56.1%	5.8%	-6.7%	140.0K	-5.2M	-17.2K	0.83	71.37	10,840	9,040	62,850	13,650
2016-01-13	$2.53	$2.25	66.6%	19.1%	96.5%	79.3%	74.3%	-1.2%	-11.0%	89.8K	-3.1M	-16.3K	0.61	86.51	7,340	4,470	61,620	19,080
2016-01-14	$2.45	$2.25	62.6%	17.9%	97.3%	68.4%	66.7%	9.7%	-4.7%	82.2K	-1.9M	-15.6K	0.73	78.98	6,470	4,740	61,710	18,800
2016-01-15	$2.44	$2.25	71.0%	20.4%	97.2%	88.7%	74.2%	8.1%	-4.9%	58.0K	-1.0M	-14.8K	0.62	79.13	6,810	4,210	61,470	19,010
2016-01-19	$2.49	$2.25	66.4%	19.0%	97.1%	77.6%	69.4%	10.0%	-5.9%	72.4K	-2.1M	-15.4K	0.50	68.54	5,670	2,850	38,170	9,590
2016-01-20	$2.53	$2.25	66.0%	18.9%	96.7%	76.6%	75.0%	11.7%	-5.2%	78.6K	-2.4M	-15.7K	0.57	77.40	4,680	2,690	39,380	10,720
2016-01-21	$2.50	$2.25	65.9%	18.9%	96.3%	76.4%	68.8%	4.6%	-5.8%	79.0K	-2.2M	-14.9K	0.81	76.89	3,260	2,650	39,870	10,730
2016-01-22	$2.58	$2.25	64.0%	18.4%	96.1%	71.8%	56.2%	7.7%	-7.0%	89.1K	-2.7M	-15.6K	0.38	76.70	7,030	2,650	40,020	10,660
2016-01-25	$2.61	$2.25	65.9%	18.9%	95.6%	76.4%	71.4%	6.7%	-6.3%	102.3K	-3.4M	-16.3K	0.46	80.59	5,810	2,650	42,170	10,660
2016-01-26	$2.65	$2.25	66.5%	19.1%	95.6%	77.8%	68.9%	4.9%	-8.3%	107.0K	-3.6M	-16.1K	0.51	84.10	5,230	2,650	42,270	10,660
2016-01-27	$2.73	$2.25	68.0%	19.5%	95.8%	81.4%	70.3%	6.4%	-9.6%	115.0K	-4.2M	-16.5K	0.36	86.45	7,450	2,650	42,340	10,660
2016-01-28	$2.71	$2.25	69.3%	19.9%	95.9%	84.4%	69.0%	7.2%	-13.6%	119.5K	-4.2M	-17.6K	0.62	52.60	4,150	2,580	44,650	10,660
2016-01-29	$2.98	$2.25	49.0%	14.1%	100.6%	35.7%	53.8%	4.6%	-0.7%	156.8K	-6.6M	-18.5K	0.17	91.63	10,200	1,690	45,220	10,940