SMCI Options History — August 2016

In August 2016, SMCI traded between $2.04 and $2.20. ATM implied volatility averaged 37.3%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 35.1% (HV 20d: 72.3%). Max pain ranged from $2.00 to $2.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.14.

Notable Days

  • 2016-08-05: Highest Volume — 9,260 contracts
  • 2016-08-08: Largest IV drop — 32.3% change
  • 2016-08-02: Highest IV Rank — 65.6%
  • 2016-08-02: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.15$2.04$2.20$2.15$2.17
Max Pain$2.00$2.00$2.00$2.00$2.00
ATM IV37.3%29.7%60.2%51.3%32.0%
Expected Move10.5%8.6%17.3%14.7%9.2%
HV 20d72.3%24.5%122.7%122.3%24.5%
HV 60d75.4%75.1%76.1%75.2%75.3%
IV Rank16.2%0.0%65.6%45.9%5.0%
IV Percentile18.0%0.0%87.3%65.5%3.6%
Term Structure3.1%-12.9%6.5%-7.9%5.6%
VWIV38.9%29.6%56.4%55.0%45.7%
Skew 25d5.0%-1.5%13.4%4.2%13.4%
Skew 10d8.3%-7.8%32.8%14.9%22.8%
Call IV 25d35.9%29.5%57.7%53.1%31.4%
Put IV 25d40.9%32.7%62.8%57.3%44.8%
Bid-Ask Spread %87.2762.52112.4973.55112.49
Gamma HHI0.470.240.660.360.44
Net GEX24.9K5.8K45.7K8.5K21.8K
Net DEX-639.4K-1.2M5.2K-506.8K-303.0K
Net VEX-5.7K-7.6K-4.3K-7.6K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.2213.711.832.13
Total Volume4,128.6961309,2604,8702,750
Total OI35,214.78319,65044,79038,95020,970

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$2.15$2.0051.3%14.7%122.3%45.9%55.0%4.2%-7.9%8.5K-506.8K-7.6K1.8373.551,7203,15019,76019,190
2016-08-02$2.11$2.0060.2%17.3%122.1%65.6%56.4%5.1%-12.9%7.4K-266.5K-7.5K0.8862.522,6702,34019,70019,220
2016-08-03$2.06$2.0056.5%16.2%122.0%57.4%55.2%9.0%-10.8%13.9K5.2K-7.3K0.6865.903,4302,34020,58019,150
2016-08-04$2.04$2.0056.7%12.7%121.8%58.0%44.7%4.2%1.5%23.0K-59.6K-7.5K0.9880.862,6002,54022,27019,150
2016-08-05$2.15$2.0052.0%12.8%122.6%47.5%46.4%12.0%0.2%39.6K-859.3K-7.1K2.76105.842,4606,80023,02019,690
2016-08-08$2.16$2.0035.2%10.2%122.7%10.4%39.7%4.8%5.9%23.3K-950.1K-7.0K1.5682.691,7002,65022,88021,600
2016-08-09$2.14$2.0029.7%9.8%121.9%0.0%37.8%3.1%5.8%34.1K-964.3K-6.3K1.3689.341,4201,93022,97020,780
2016-08-10$2.13$2.0034.4%9.9%121.8%10.2%37.5%0.4%4.4%35.9K-843.5K-6.2K1.3582.061,4201,92022,96020,670
2016-08-11$2.17$2.0034.1%9.8%122.1%9.6%32.5%6.4%5.0%38.3K-1.0M-6.1K0.8085.902,5001,99022,96020,660
2016-08-12$2.17$2.0033.7%9.7%122.2%8.7%36.0%1.1%4.8%28.3K-1.2M-5.5K0.5482.073,6901,99022,58020,660
2016-08-15$2.17$2.0033.4%9.6%122.0%8.0%35.2%3.5%5.2%41.4K-1.2M-5.3K0.5180.193,5801,81023,28020,660
2016-08-16$2.16$2.0032.3%9.3%28.9%5.7%35.0%6.7%6.3%39.5K-1.1M-5.7K0.5789.273,4601,96023,82020,690
2016-08-17$2.14$2.0032.6%9.3%28.3%6.3%35.0%5.4%6.3%45.7K-1.1M-5.1K0.22102.401,21027023,76020,210
2016-08-18$2.16$2.0031.2%8.9%27.4%3.2%34.1%3.9%5.1%42.2K-1.1M-5.0K13.7188.247096023,73020,290
2016-08-19$2.15$2.0031.9%9.1%27.5%4.8%32.1%2.8%6.1%5.8K-1.1M-4.4K0.8784.552,9402,55023,76021,030
2016-08-22$2.12$2.0034.3%9.8%27.7%10.0%33.9%1.2%6.4%7.8K-133.7K-4.9K0.5178.673,3701,73010,4709,180
2016-08-23$2.16$2.0030.2%8.7%26.1%1.2%29.9%5.1%6.3%17.3K-230.0K-4.8K0.4881.663,4001,63011,8609,260
2016-08-24$2.17$2.0031.2%8.9%25.5%3.2%41.9%3.5%5.0%19.5K-501.3K-4.7K12.0097.731012012,0108,590
2016-08-25$2.17$2.0030.3%8.7%25.5%1.4%29.6%-1.5%6.3%20.1K-369.4K-4.7K0.8384.501,8901,56012,0509,330
2016-08-26$2.14$2.0032.1%9.2%26.1%5.2%33.6%2.2%5.3%18.6K-201.2K-4.7K0.82104.901,9101,56012,0809,380
2016-08-29$2.17$2.0030.1%8.6%26.9%1.0%33.1%7.7%6.5%19.7K-282.8K-4.7K1.7095.438201,39012,1109,480
2016-08-30$2.20$2.0031.7%9.1%25.8%4.3%34.6%9.7%5.4%20.7K-386.3K-4.6K2.1396.548801,87011,9809,510
2016-08-31$2.17$2.0032.0%9.2%24.5%5.0%45.7%13.4%5.6%21.8K-303.0K-4.3K2.13112.498801,87011,9609,010