SMCI Options History — July 2016

In July 2016, SMCI traded between $1.90 and $2.63. ATM implied volatility averaged 46.2%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 33.2% (HV 20d: 79.4%). Max pain ranged from $2.00 to $3.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2016-07-19: Highest Volume — 18,700 contracts
  • 2016-07-12: Largest IV spike — 17.1% change
  • 2016-07-19: Highest IV Rank — 54.9%
  • 2016-07-19: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.31$1.90$2.63$2.46$2.16
Max Pain$2.41$2.00$3.00$2.50$2.00
ATM IV46.2%33.5%55.3%33.5%48.9%
Expected Move13.8%9.6%15.9%9.6%14.0%
HV 20d79.4%40.9%124.1%43.4%122.2%
HV 60d58.9%34.0%75.3%54.8%75.2%
IV Rank34.7%6.7%54.9%6.7%40.6%
IV Percentile41.4%1.2%75.0%1.2%50.0%
Term Structure-3.7%-7.9%11.4%11.4%-7.9%
VWIV49.3%41.1%53.8%41.1%52.1%
Skew 25d5.6%0.4%11.5%2.9%7.0%
Skew 10d15.4%1.9%31.7%4.4%17.0%
Call IV 25d47.3%37.0%53.4%37.0%48.5%
Put IV 25d52.9%39.9%56.1%39.9%55.5%
Bid-Ask Spread %67.2232.70104.59104.5970.60
Gamma HHI0.410.290.560.490.37
Net GEX-3.0K-23.3K10.6K-16.1K8.2K
Net DEX220.9K-540.1K1.0M782.8K-491.0K
Net VEX-5.1K-7.9K-1.6K-4.3K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.583.342.831.96
Total Volume6,2072,53018,7004,3304,740
Total OI35,274.513,00043,06037,71038,080

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$2.46$2.5033.5%9.6%43.4%6.7%41.1%2.9%11.4%-16.1K782.8K-4.3K2.83104.591,1303,20025,65012,060
2016-07-05$2.38$2.5034.4%13.5%44.5%8.5%46.0%6.4%-2.5%-19.6K1.0M-3.8K2.8175.521,2103,40025,65012,150
2016-07-06$2.42$3.0037.5%13.2%44.5%15.3%49.2%8.1%-2.0%-18.9K1.0M-3.8K2.5273.231,3503,40025,82012,350
2016-07-07$2.44$3.0036.2%13.5%44.7%12.6%46.7%5.7%-1.5%-17.3K917.0K-3.9K1.9467.891,2902,50025,90012,350
2016-07-08$2.53$3.0038.5%13.7%46.9%17.6%47.7%3.6%-1.8%-8.0K324.2K-3.9K0.5963.594,1102,44025,98012,250
2016-07-11$2.53$3.0044.6%13.7%46.9%31.1%46.5%6.0%-2.9%5.4K206.1K-3.9K0.6164.884,0402,46027,78012,300
2016-07-12$2.60$2.5052.2%14.1%45.8%47.9%48.3%6.4%-5.0%9.1K-270.6K-3.6K1.5570.621,8102,80027,81012,280
2016-07-13$2.61$2.5048.9%14.0%40.9%40.8%50.4%6.2%-5.3%10.6K-382.4K-3.7K3.3468.081,4104,71028,06011,880
2016-07-14$2.62$2.5049.2%14.1%40.9%41.3%50.4%0.9%-1.9%2.7K-540.1K-4.0K2.9169.911,1303,29028,32013,980
2016-07-15$2.60$2.5048.0%13.8%41.0%38.6%50.2%6.4%-3.6%-4.2K-453.3K-4.0K2.2677.721,3403,03028,32014,740
2016-07-18$2.63$2.5050.9%14.6%41.3%45.0%52.2%5.3%-4.7%-2.2K211.6K-4.0K0.8678.631,3601,1706,1206,880
2016-07-19$1.90$2.5055.3%15.9%122.7%54.9%53.8%0.4%-3.2%-8.4K1.0M-1.6K1.5032.707,47011,2306,4506,780
2016-07-20$1.95$2.2546.8%13.4%123.3%36.0%48.2%5.6%-5.2%-23.3K981.1K-5.2K0.6454.559,1005,84011,93015,650
2016-07-21$2.00$2.0050.0%14.3%124.1%43.2%47.5%5.7%-7.1%-9.0K658.7K-6.8K1.1460.243,4403,91015,74017,810
2016-07-22$2.00$2.0048.6%13.9%123.8%40.0%47.9%2.7%-5.0%-5.8K503.2K-7.1K0.5850.944,5602,63016,39018,010
2016-07-25$2.03$2.0049.9%14.3%123.2%42.9%50.7%4.0%-5.3%7.5K74.7K-7.8K1.8060.861,7703,19019,15018,300
2016-07-26$2.10$2.0052.4%15.0%122.5%48.3%52.7%11.5%-7.2%9.2K-223.9K-7.9K1.4563.652,0703,00019,37017,950
2016-07-27$2.13$2.0048.9%14.0%122.6%40.6%52.0%8.0%-6.1%10.5K-434.5K-7.8K1.1070.791,9502,15019,64018,060
2016-07-28$2.14$2.0049.6%14.2%122.4%42.3%52.7%8.5%-7.4%9.9K-478.0K-7.6K1.7365.401,6502,86019,45018,100
2016-07-29$2.16$2.0048.9%14.0%122.2%40.6%52.1%7.0%-7.9%8.2K-491.0K-7.4K1.9670.601,6003,14019,51018,570