SMCI Options History — February 2016

In February 2016, SMCI traded between $2.98 and $3.25. ATM implied volatility averaged 53.8%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 13.1% (HV 20d: 67.0%). Max pain ranged from $2.25 to $3.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-02-01: Highest Volume — 8,390 contracts
  • 2016-02-09: Largest IV spike — 15.9% change
  • 2016-02-22: Highest IV Rank — 57.8%
  • 2016-02-22: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.16$2.98$3.25$3.14$3.25
Max Pain$2.89$2.25$3.00$2.25$3.00
ATM IV53.8%49.5%58.2%50.7%53.0%
Expected Move15.6%14.2%16.7%14.5%15.2%
HV 20d67.0%37.9%101.6%101.6%37.9%
HV 60d69.4%67.7%71.3%70.7%67.7%
IV Rank47.2%37.0%57.8%39.7%45.0%
IV Percentile73.0%58.7%82.1%67.9%70.2%
Term Structure-2.6%-7.9%0.5%-1.3%-1.5%
VWIV52.2%46.8%57.4%46.8%50.1%
Skew 25d7.2%1.8%14.2%7.4%6.3%
Skew 10d17.5%2.2%35.9%16.5%13.1%
Call IV 25d49.0%44.5%57.5%46.8%47.2%
Put IV 25d56.2%50.2%65.5%54.2%53.5%
Bid-Ask Spread %82.7568.7495.4377.0795.43
Gamma HHI0.330.310.390.350.35
Net GEX188.5K176.3K201.0K176.3K195.7K
Net DEX-8.2M-10.3M-6.8M-8.1M-7.6M
Net VEX-23.4K-25.5K-20.8K-21.1K-23.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.252.040.372.04
Total Volume4,1992,7108,3908,3902,710
Total OI63,78357,83071,34060,19057,830

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$3.14$2.2550.7%14.5%101.6%39.7%46.8%7.4%-1.3%176.3K-8.1M-21.1K0.3777.076,1202,27048,33011,860
2016-02-02$3.08$2.2553.0%15.2%100.4%45.2%50.5%5.7%-5.2%190.6K-7.9M-23.3K0.6487.613,3702,16053,24012,640
2016-02-03$3.22$2.2555.1%15.8%100.0%50.4%56.1%3.6%-6.7%201.0K-9.2M-24.0K0.8777.152,4702,14053,00012,660
2016-02-04$3.23$3.0053.1%15.5%99.7%45.6%49.4%10.2%-7.9%199.4K-9.4M-24.3K0.7869.452,6602,08052,92012,870
2016-02-05$3.21$3.0050.8%15.4%98.2%39.9%52.0%7.3%-4.5%198.4K-9.3M-23.5K1.2568.981,6202,02053,01012,880
2016-02-08$3.17$3.0049.7%16.1%98.3%37.4%55.9%6.4%-0.1%194.7K-8.7M-23.3K0.9275.261,9001,74053,25012,820
2016-02-09$3.09$3.0057.6%16.3%98.7%56.4%51.1%10.5%-0.9%188.6K-8.0M-23.3K1.0368.741,5301,57052,60012,890
2016-02-10$3.00$3.0055.9%16.0%57.7%52.2%54.6%6.7%0.4%178.5K-7.1M-22.2K0.6173.262,6201,61052,20012,980
2016-02-11$2.98$3.0058.1%16.7%50.1%57.5%57.4%8.0%-1.5%179.3K-6.9M-22.2K0.5979.652,7001,60052,47012,970
2016-02-12$2.99$3.0055.4%15.9%47.9%51.1%56.1%7.8%-1.1%188.8K-6.8M-21.2K1.0574.241,4401,51052,42012,810
2016-02-16$3.13$3.0056.9%16.3%49.3%54.8%54.3%14.2%-2.4%198.5K-8.4M-20.8K0.6983.402,3201,59052,39012,910
2016-02-17$3.22$3.0054.1%15.5%49.6%48.0%49.9%10.6%-2.3%187.6K-9.6M-21.2K0.2587.386,7201,67052,96013,090
2016-02-18$3.25$3.0049.5%14.2%49.6%37.0%53.1%7.1%-0.4%176.8K-10.3M-25.5K0.8390.562,0001,67057,12013,090
2016-02-19$3.19$3.0054.2%15.5%50.1%48.2%52.5%1.8%-1.0%179.8K-10.0M-25.3K0.7591.252,1401,61058,25013,090
2016-02-22$3.22$3.0058.2%16.7%49.6%57.8%51.3%5.5%-6.7%184.3K-7.5M-25.1K0.8991.541,6001,43048,6409,470
2016-02-23$3.18$3.0056.0%16.0%50.3%52.4%54.2%5.0%-4.8%186.0K-6.9M-24.3K1.3491.831,2801,71048,9609,600
2016-02-24$3.23$3.0054.0%15.5%50.3%47.8%53.9%11.0%-3.3%186.1K-7.2M-25.0K1.2091.571,5201,82049,0209,920
2016-02-25$3.21$3.0050.9%14.6%50.0%40.3%48.4%3.1%-0.7%189.5K-7.2M-24.7K1.9289.549501,82049,12010,090
2016-02-26$3.20$3.0049.9%14.3%49.9%37.5%47.1%5.7%0.5%191.1K-7.4M-24.2K0.7491.092,4701,82049,20010,090
2016-02-29$3.25$3.0053.0%15.2%37.9%45.0%50.1%6.3%-1.5%195.7K-7.6M-23.6K2.0495.438901,82047,74010,090