SMCI Options History — May 2016

In May 2016, SMCI traded between $2.46 and $2.71. ATM implied volatility averaged 42.6%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 9.0% (HV 20d: 51.6%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2016-05-02: Highest Volume — 9,810 contracts
  • 2016-05-05: Largest IV spike — 55.2% change
  • 2016-05-05: Highest IV Rank — 88.7%
  • 2016-05-04: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.59$2.46$2.71$2.71$2.63
Max Pain$2.81$2.50$3.00$3.00$2.50
ATM IV42.6%37.0%71.1%40.4%38.9%
Expected Move11.7%10.6%13.1%11.6%11.1%
HV 20d51.6%26.0%81.9%81.2%26.1%
HV 60d52.1%51.6%52.9%52.9%51.7%
IV Rank18.0%1.5%88.7%13.3%6.1%
IV Percentile21.7%1.6%99.2%15.5%7.9%
Term Structure0.9%-2.4%16.0%12.2%0.3%
VWIV43.0%36.5%56.3%41.5%40.6%
Skew 25d7.5%-1.8%20.1%3.2%11.2%
Skew 10d17.0%-13.2%77.5%15.0%13.3%
Call IV 25d37.7%26.5%47.5%42.6%27.7%
Put IV 25d45.2%36.3%59.6%45.7%38.9%
Bid-Ask Spread %85.5742.45106.6064.0597.62
Gamma HHI0.350.240.570.360.24
Net GEX8.6K-78.4K69.4K68.3K1.5K
Net DEX394.4K-327.2K1.1M-327.2K328.2K
Net VEX-6.7K-10.6K-4.5K-10.6K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.352.410.391.66
Total Volume4,691.4292,8609,8109,8104,600
Total OI45,514.76236,94049,06047,98039,810

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$2.71$3.0040.4%11.6%81.2%13.3%41.5%3.2%12.2%68.3K-327.2K-10.6K0.3964.057,0602,75035,42012,560
2016-05-03$2.67$3.0039.0%11.2%81.0%9.9%46.3%9.9%16.0%66.4K-140.1K-10.6K0.3542.457,0602,50035,49012,620
2016-05-04$2.65$3.0045.9%13.1%80.9%26.8%47.9%1.3%-2.4%42.3K90.3K-9.0K1.3356.031,8202,42035,49012,380
2016-05-05$2.66$3.0071.1%12.2%81.1%88.7%56.3%20.1%-2.0%53.0K191.1K-8.1K1.23106.161,7902,20035,56012,410
2016-05-06$2.69$3.0037.3%12.4%81.5%5.8%45.2%5.1%-1.6%58.2K-78.2K-9.3K1.3177.161,6602,17035,55012,320
2016-05-09$2.69$3.0046.9%12.5%81.5%29.2%43.6%4.2%-1.4%63.3K-152.0K-9.0K1.3398.721,5902,12035,68012,410
2016-05-10$2.69$3.0056.9%12.5%81.6%53.7%39.6%5.5%-1.4%69.4K-89.0K-8.8K1.2785.251,6502,10035,70012,410
2016-05-11$2.63$3.0041.3%11.8%80.9%15.6%38.7%7.1%0.1%31.8K297.0K-6.6K1.7486.521,6402,86035,76012,510
2016-05-12$2.51$3.0042.1%12.1%81.9%17.6%41.5%-1.8%-1.4%-22.3K777.0K-6.7K1.2993.681,3501,74035,73012,070
2016-05-13$2.50$3.0041.3%11.8%31.6%15.7%42.9%-0.9%-0.6%-32.4K927.9K-5.8K1.1590.121,3401,54035,71012,250
2016-05-16$2.51$3.0041.7%11.9%31.2%16.5%44.2%8.7%-0.9%-46.2K860.4K-5.8K1.1595.461,3301,53035,70012,400
2016-05-17$2.50$3.0041.5%11.9%29.2%16.2%44.3%10.9%-1.6%-41.5K954.7K-5.2K1.1593.071,3301,53035,72012,350
2016-05-18$2.49$3.0041.6%11.9%28.9%16.3%45.8%2.7%-1.1%-74.9K991.2K-5.5K0.9186.382,1801,98035,72012,490
2016-05-19$2.46$2.5040.8%11.7%28.9%14.5%42.6%3.7%-0.1%-78.4K1.1M-5.2K1.4380.892,2703,24036,43012,390
2016-05-20$2.52$2.5039.6%11.4%28.5%11.5%45.1%3.3%0.8%9.9K483.9K-4.5K1.3182.411,9302,53036,43012,630
2016-05-23$2.52$2.5037.9%10.9%28.6%7.3%41.2%16.0%1.3%4.7K475.0K-4.5K1.6082.971,5602,50028,8808,060
2016-05-24$2.60$2.5038.9%11.1%31.0%6.3%39.6%12.8%0.9%6.2K400.2K-5.3K1.7493.671,7503,04028,9909,370
2016-05-25$2.59$2.5038.3%11.0%30.9%4.7%40.1%14.8%-0.5%1.7K409.6K-5.2K2.3382.751,7003,96029,3609,320
2016-05-26$2.58$2.5037.0%10.6%30.8%1.5%36.5%9.0%1.3%-1.6K428.2K-5.1K2.4195.071,6503,97029,41010,380
2016-05-27$2.60$2.5037.0%10.6%26.0%1.6%38.9%10.5%0.5%1.2K375.2K-5.1K1.68106.601,7102,87029,42010,520
2016-05-31$2.63$2.5038.9%11.1%26.1%6.1%40.6%11.2%0.3%1.5K328.2K-4.7K1.6697.621,7302,87029,49010,320