SMCI Options History — June 2016

In June 2016, SMCI traded between $2.38 and $2.70. ATM implied volatility averaged 38.3%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.5% (HV 20d: 30.8%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.00.

Notable Days

  • 2016-06-17: Highest Volume — 8,960 contracts
  • 2016-06-22: Largest IV spike — 27.1% change
  • 2016-06-27: Highest IV Rank — 37.9%
  • 2016-06-27: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.58$2.38$2.70$2.63$2.48
Max Pain$2.75$2.50$3.00$2.50$2.50
ATM IV38.3%30.5%47.7%38.6%35.4%
Expected Move11.2%9.3%13.7%11.1%10.2%
HV 20d30.8%18.9%43.6%25.6%43.6%
HV 60d52.3%50.6%54.8%51.7%54.8%
IV Rank16.7%0.0%37.9%5.6%10.9%
IV Percentile9.9%0.0%44.4%7.9%1.6%
Term Structure6.5%-2.7%19.7%1.3%9.7%
VWIV39.9%33.1%55.9%38.9%47.9%
Skew 25d7.0%-1.9%14.5%6.0%8.1%
Skew 10d11.0%-1.1%25.8%4.7%12.8%
Call IV 25d35.1%27.5%46.1%33.1%37.5%
Put IV 25d42.1%36.6%51.0%39.2%45.6%
Bid-Ask Spread %97.7488.42110.5294.4297.14
Gamma HHI0.380.240.570.250.49
Net GEX-14.8K-42.7K3.7K1.2K-15.1K
Net DEX437.8K157.8K1.1M301.9K693.1K
Net VEX-4.2K-4.8K-3.7K-4.7K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.743.141.842.74
Total Volume4,580.9093,4208,9604,4304,230
Total OI38,525.90934,57041,79040,03037,710

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$2.63$2.5038.6%11.1%25.6%5.6%38.9%6.0%1.3%1.2K301.9K-4.7K1.8494.421,5602,87029,61010,420
2016-06-02$2.64$3.0030.5%11.2%25.6%0.0%35.4%6.1%4.8%643253.8K-4.6K1.7591.931,5902,78029,64010,420
2016-06-03$2.66$3.0032.5%12.2%25.7%4.4%40.3%7.5%-2.7%2.4K200.7K-4.8K1.8898.501,5002,82029,60010,440
2016-06-06$2.65$3.0033.7%11.1%25.3%6.9%33.1%6.8%4.2%-4.4K239.9K-4.3K1.8896.081,5002,82029,52010,580
2016-06-07$2.58$3.0042.8%11.0%26.6%27.1%34.6%2.3%4.2%-4.7K313.7K-4.4K3.1493.391,4004,39029,52010,580
2016-06-08$2.58$3.0037.7%10.8%26.6%16.0%36.4%0.0%4.0%-33.4K493.5K-4.3K2.1788.981,4703,19029,50011,840
2016-06-09$2.59$3.0037.5%10.8%25.5%15.5%40.7%11.9%5.1%-33.8K411.3K-4.1K2.4896.941,4603,62029,58011,410
2016-06-10$2.58$3.0038.6%11.1%18.9%17.9%39.8%12.1%4.9%-29.3K388.3K-4.0K2.50105.201,4903,72029,61011,050
2016-06-13$2.48$3.0038.6%11.1%23.6%17.8%42.0%7.4%7.9%-42.7K763.6K-3.7K1.9696.931,4702,88029,61011,150
2016-06-14$2.63$3.0042.2%12.1%31.3%25.8%41.4%6.8%4.6%-19.5K263.3K-3.8K1.6399.201,8202,96029,61011,320
2016-06-15$2.63$3.0042.0%12.0%31.2%25.4%38.1%14.5%5.3%-18.0K192.7K-3.8K1.49110.521,9802,96030,04011,140
2016-06-16$2.63$2.5039.9%11.4%31.1%20.8%37.4%13.1%4.6%-15.6K157.8K-3.8K1.74101.131,9103,33030,23011,140
2016-06-17$2.61$3.0039.1%11.2%30.7%19.1%39.0%12.3%5.1%3.7K175.4K-3.8K2.5897.442,5006,46030,23011,560
2016-06-20$2.67$2.5037.7%10.8%30.6%15.8%36.3%1.8%13.4%-3.9K214.6K-4.8K2.00102.621,1402,28023,76010,810
2016-06-21$2.70$2.5032.4%9.3%30.7%4.2%38.2%-1.9%19.7%-7.0K211.3K-4.5K1.81105.571,2602,28023,83010,830
2016-06-22$2.64$2.5041.2%11.8%30.1%23.6%37.5%3.6%6.6%-10.9K347.0K-4.6K1.8593.391,2602,33023,83010,830
2016-06-23$2.68$2.5035.9%10.3%30.4%11.9%34.0%10.7%13.9%-12.1K282.4K-4.3K1.60102.351,3402,15023,83010,830
2016-06-24$2.53$2.5041.7%12.0%36.9%24.7%43.6%13.8%6.2%-21.6K695.5K-4.4K1.60100.121,3402,15023,93010,950
2016-06-27$2.38$2.5047.7%13.7%42.5%37.9%55.9%3.0%4.6%-23.6K1.1M-4.0K1.8298.281,3102,38023,93011,000
2016-06-28$2.40$2.5041.4%11.9%42.5%24.1%42.8%3.5%6.1%-28.0K1.1M-3.9K0.7488.422,7602,05023,95011,200
2016-06-29$2.44$2.5036.2%10.4%43.1%12.5%43.7%4.4%8.8%-9.7K850.9K-4.3K2.8491.641,0603,01025,65011,350
2016-06-30$2.48$2.5035.4%10.2%43.6%10.9%47.9%8.1%9.7%-15.1K693.1K-4.4K2.7497.141,1303,10025,65012,060