SMCI Options History — March 2016

In March 2016, SMCI traded between $3.13 and $3.42. ATM implied volatility averaged 45.0%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 14.4% (HV 20d: 30.6%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2016-03-31: Highest Volume — 5,190 contracts
  • 2016-03-08: Largest IV spike — 33.5% change
  • 2016-03-08: Highest IV Rank — 56.3%
  • 2016-03-09: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.27$3.13$3.42$3.31$3.42
Max Pain$2.55$2.50$3.00$3.00$2.50
ATM IV45.0%38.2%57.9%46.4%39.8%
Expected Move12.9%11.0%14.6%13.3%11.4%
HV 20d30.6%27.5%35.7%34.0%30.4%
HV 60d65.0%62.9%67.8%67.7%62.9%
IV Rank24.8%8.2%56.3%28.5%12.1%
IV Percentile37.0%9.9%80.6%44.8%15.9%
Term Structure2.4%-15.3%21.3%-0.9%8.9%
VWIV46.6%40.8%54.4%49.4%48.0%
Skew 25d7.9%1.2%23.5%8.9%23.5%
Skew 10d16.3%3.2%33.8%16.2%33.8%
Call IV 25d41.5%32.7%45.3%44.7%32.7%
Put IV 25d49.4%43.6%56.2%53.7%56.2%
Bid-Ask Spread %77.0221.42101.3794.6987.16
Gamma HHI0.400.350.470.350.45
Net GEX192.1K175.7K207.5K200.2K200.3K
Net DEX-7.4M-8.7M-6.4M-8.1M-8.7M
Net VEX-19.6K-23.7K-16.5K-23.6K-18.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.712.431.070.71
Total Volume3,1052,5005,1903,3905,190
Total OI57,400.90954,82058,41057,82058,170

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$3.31$3.0046.4%13.3%34.0%28.5%49.4%8.9%-0.9%200.2K-8.1M-23.6K1.0794.691,6401,75047,74010,080
2016-03-02$3.31$3.0047.5%13.6%33.0%30.8%54.4%7.7%-0.5%198.8K-8.0M-23.7K2.4393.787401,80047,54010,220
2016-03-03$3.37$2.5045.4%12.6%29.8%25.7%45.0%5.6%3.4%207.5K-8.6M-22.9K1.5767.521,2501,96047,53010,220
2016-03-04$3.26$2.5039.1%13.0%32.3%10.4%47.4%3.5%2.6%203.5K-7.7M-22.6K1.4476.331,3601,96047,53010,230
2016-03-07$3.27$2.5043.4%13.0%32.2%20.8%48.3%6.9%2.8%203.3K-7.7M-21.8K1.7270.621,1601,99047,56010,230
2016-03-08$3.13$2.5057.9%13.9%35.7%56.3%49.5%6.8%0.4%179.1K-6.4M-20.9K2.2372.178801,96047,46010,280
2016-03-09$3.15$2.5051.0%14.6%34.4%39.6%52.8%11.3%-4.2%175.7K-6.5M-21.0K1.9771.089101,79047,42010,580
2016-03-10$3.17$2.5048.1%13.8%32.3%32.4%49.8%7.8%-1.1%184.6K-6.5M-20.1K1.8881.459301,75047,47010,620
2016-03-11$3.22$2.5048.9%14.0%32.4%34.4%48.0%8.9%-1.2%186.1K-7.0M-20.5K1.7976.859701,74047,47010,660
2016-03-14$3.23$2.5048.6%13.9%32.4%33.7%45.7%6.4%0.6%186.3K-7.2M-19.3K1.4421.421,2101,74047,63010,670
2016-03-15$3.17$2.5048.4%13.9%29.1%33.1%44.9%7.5%-0.3%181.4K-6.7M-19.2K1.4031.401,0701,50047,56010,700
2016-03-16$3.24$2.5049.0%14.0%28.4%34.6%48.0%6.2%-15.3%189.4K-7.2M-18.0K1.69101.379301,57047,60010,690
2016-03-17$3.30$2.5041.8%12.0%28.9%16.9%42.1%3.9%-1.1%190.7K-7.4M-18.5K1.6789.619401,57047,69010,690
2016-03-18$3.29$2.5039.8%11.4%28.1%12.0%43.6%12.9%5.6%185.4K-7.9M-18.8K1.5989.539801,56047,72010,690
2016-03-21$3.29$2.5043.0%12.3%27.9%19.8%41.0%5.1%-6.5%197.1K-7.4M-17.7K1.4684.931,0501,53045,2309,590
2016-03-22$3.30$2.5043.0%12.3%27.5%20.0%43.2%4.0%5.0%195.9K-7.6M-18.1K2.1775.819402,04045,5809,740
2016-03-23$3.22$2.5044.5%12.8%28.4%23.7%43.3%1.2%12.9%194.0K-7.0M-16.9K1.8684.819401,75045,73010,070
2016-03-24$3.25$2.5038.2%11.0%28.4%8.2%40.8%2.2%21.3%194.7K-7.0M-16.5K1.6977.661,2002,03045,73010,180
2016-03-28$3.27$2.5043.2%12.4%28.4%20.4%50.2%5.2%5.2%187.6K-7.3M-17.5K1.7576.701,1602,03046,05010,450
2016-03-29$3.37$2.5042.3%12.1%30.2%18.1%43.9%15.7%6.5%192.2K-8.1M-17.9K1.5486.031,4702,27046,02010,450
2016-03-30$3.35$2.5040.3%11.5%29.5%13.2%46.5%11.5%8.0%193.4K-7.9M-18.1K0.7883.462,8702,23046,45010,900
2016-03-31$3.42$2.5039.8%11.4%30.4%12.1%48.0%23.5%8.9%200.3K-8.7M-18.0K0.7187.163,0402,15047,29010,880