SMCI Options History — April 2016

In April 2016, SMCI traded between $2.68 and $3.45. ATM implied volatility averaged 51.1%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 2.7% (HV 20d: 53.8%). Max pain ranged from $2.50 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2016-04-15: Highest Volume — 25,050 contracts
  • 2016-04-12: Largest IV spike — 38.0% change
  • 2016-04-12: Highest IV Rank — 83.1%
  • 2016-04-15: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.07$2.68$3.45$3.45$2.69
Max Pain$3.21$2.50$3.50$2.50$3.00
ATM IV51.1%38.2%68.8%38.2%54.3%
Expected Move14.7%10.9%16.5%10.9%15.6%
HV 20d53.8%21.5%81.7%29.9%80.9%
HV 60d52.9%35.7%62.6%62.6%52.8%
IV Rank39.8%8.1%83.1%8.1%47.5%
IV Percentile59.6%8.7%97.6%8.7%74.2%
Term Structure-6.9%-11.3%9.5%9.5%-10.5%
VWIV53.6%41.9%61.0%41.9%50.2%
Skew 25d7.8%3.3%22.5%22.5%8.0%
Skew 10d16.2%4.1%69.6%35.0%10.1%
Call IV 25d49.0%31.1%57.6%31.1%44.1%
Put IV 25d56.8%48.1%63.6%53.6%52.1%
Bid-Ask Spread %71.1259.6784.9484.9474.31
Gamma HHI0.460.290.710.460.29
Net GEX123.0K31.7K209.7K195.9K35.6K
Net DEX-4.2M-9.1M1.3M-9.1M247.7K
Net VEX-13.8K-18.1K-7.9K-18.1K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.323.210.890.32
Total Volume6,742.8572,94025,0505,0409,990
Total OI49,785.23829,53072,06058,58041,650

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$3.45$2.5038.2%10.9%29.9%8.1%41.9%22.5%9.5%195.9K-9.1M-18.1K0.8984.942,6702,37047,69010,890
2016-04-04$3.41$3.5043.0%14.2%27.5%20.0%50.7%3.5%-6.9%200.0K-8.7M-17.5K1.3071.711,6502,15047,73011,140
2016-04-05$3.42$3.5045.9%14.2%27.5%27.0%53.6%3.7%-7.0%193.8K-8.8M-17.6K1.6460.001,3102,15047,74011,140
2016-04-06$3.42$3.5046.5%14.1%21.5%28.5%52.8%22.1%-7.5%206.1K-8.7M-17.3K1.4463.351,4902,15047,74011,140
2016-04-07$3.37$3.5046.7%14.6%22.6%28.8%60.2%10.6%-7.5%198.5K-8.3M-16.9K1.2069.531,8702,24047,76011,130
2016-04-08$3.33$3.5043.3%14.1%23.1%20.4%52.2%6.6%-6.6%203.4K-7.9M-16.9K0.5961.163,9602,34048,44011,200
2016-04-11$3.32$3.5049.9%14.7%22.7%36.7%52.9%6.2%-8.4%199.9K-8.2M-16.4K1.1066.502,1302,34048,76011,350
2016-04-12$3.31$3.5068.8%14.3%22.8%83.1%51.9%6.8%-8.9%209.7K-7.8M-16.0K2.6372.643,7609,90048,88011,350
2016-04-13$3.37$3.5049.6%14.2%22.4%35.9%47.2%8.9%-7.3%164.4K-7.7M-16.5K0.7175.473,5802,53048,61018,310
2016-04-14$3.32$3.5050.2%14.4%22.0%37.5%56.1%8.0%-8.6%157.4K-7.8M-15.7K2.8782.322,9908,59048,63018,660
2016-04-15$2.68$3.5057.7%16.5%79.7%55.8%52.3%7.6%-8.7%40.7K1.3M-8.5K3.2165.445,95019,10048,26023,800
2016-04-18$2.71$3.0053.0%15.2%80.1%44.2%53.8%4.2%1.5%31.7K-29.4K-7.9K1.5459.671,9903,07022,5606,970
2016-04-19$2.79$3.0050.9%14.6%81.0%39.1%56.5%4.6%-6.6%44.1K-297.5K-10.0K2.1870.861,5803,45023,1807,980
2016-04-20$2.80$3.0051.6%14.8%81.1%40.9%59.0%7.4%-7.3%47.3K-503.3K-11.0K1.8871.451,7303,26023,3809,080
2016-04-21$2.77$3.0051.8%14.9%80.9%41.4%53.1%3.6%-7.0%41.1K-479.7K-11.5K0.5671.006,8403,85023,5509,500
2016-04-22$2.84$3.0052.2%15.0%81.7%42.3%51.4%3.3%-8.1%76.5K-930.6K-12.4K1.6868.821,4802,48028,61010,810
2016-04-25$2.84$3.0053.9%15.5%81.6%46.5%55.2%5.9%-8.9%79.6K-1.1M-12.7K1.2676.741,6002,01028,49010,670
2016-04-26$2.87$3.0055.1%15.8%80.5%49.5%56.0%8.1%-9.4%86.9K-1.2M-12.8K1.3476.391,3301,78028,73010,660
2016-04-27$2.87$3.0054.5%15.6%80.6%47.9%58.6%6.0%-9.8%90.3K-1.2M-12.6K1.3083.161,2801,66028,88010,730
2016-04-28$2.83$3.0056.9%16.3%79.9%53.8%61.0%5.3%-11.3%80.7K-1.0M-12.7K1.7368.101,8303,17028,88010,830
2016-04-29$2.69$3.0054.3%15.6%80.9%47.5%50.2%8.0%-10.5%35.6K247.7K-8.9K0.3274.317,5702,42029,36012,290