SMCI Options History — September 2016

In September 2016, SMCI traded between $2.11 and $2.36. ATM implied volatility averaged 39.2%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 17.1% (HV 20d: 22.1%). Max pain ranged from $2.00 to $2.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.29.

Notable Days

  • 2016-09-15: Highest Volume — 5,740 contracts
  • 2016-09-09: Largest IV spike — 24.2% change
  • 2016-09-12: Highest IV Rank — 34.4%
  • 2016-09-14: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.23$2.11$2.36$2.21$2.34
Max Pain$2.23$2.00$2.25$2.00$2.25
ATM IV39.2%28.6%44.8%29.6%38.9%
Expected Move11.6%8.2%12.8%8.5%11.1%
HV 20d22.1%17.1%27.0%24.5%24.9%
HV 60d73.8%72.5%75.4%75.4%72.5%
IV Rank22.4%0.0%34.4%0.0%21.8%
IV Percentile23.2%0.0%40.5%0.0%20.2%
Term Structure1.6%-2.0%10.5%8.7%5.1%
VWIV41.5%31.0%46.8%33.7%39.8%
Skew 25d7.6%3.1%21.1%16.0%5.2%
Skew 10d19.4%6.6%32.0%32.0%18.2%
Call IV 25d39.1%29.0%43.9%29.4%38.4%
Put IV 25d46.7%41.3%58.6%45.4%43.6%
Bid-Ask Spread %87.4476.72106.52106.5292.18
Gamma HHI0.440.310.520.500.47
Net GEX22.4K10.2K33.1K25.0K28.6K
Net DEX-423.3K-699.4K-119.5K-421.3K-699.4K
Net VEX-3.9K-4.3K-3.5K-4.3K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.713.912.281.29
Total Volume3,629.0482,3005,7402,6903,340
Total OI19,797.61917,20021,48020,97019,390

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$2.21$2.0029.6%8.5%24.5%0.0%33.7%16.0%8.7%25.0K-421.3K-4.3K2.28106.528201,87011,9609,010
2016-09-02$2.21$2.0028.6%8.2%17.1%0.0%31.0%14.5%10.5%26.1K-433.2K-4.1K1.6195.128801,42011,9709,010
2016-09-06$2.19$2.2533.5%11.3%17.3%10.3%40.6%4.1%0.2%24.6K-372.1K-4.0K1.6382.368801,43011,9709,050
2016-09-07$2.20$2.2533.3%11.4%17.1%10.0%40.5%3.1%-1.5%26.2K-414.7K-4.0K3.0282.558802,66011,9709,020
2016-09-08$2.15$2.2530.2%11.3%19.0%3.4%41.2%3.9%-0.5%16.4K-226.9K-3.8K3.0885.898702,68011,9709,510
2016-09-09$2.11$2.2537.5%12.4%18.7%18.9%40.6%4.3%-1.1%21.9K-119.5K-3.7K2.6082.311,0302,68012,0008,300
2016-09-12$2.13$2.2544.8%12.4%19.3%34.4%43.3%5.2%-2.0%23.1K-194.8K-3.6K3.0689.538902,72012,0108,300
2016-09-13$2.13$2.2544.7%12.7%19.2%34.1%46.8%12.4%-2.0%25.6K-203.9K-3.6K3.6994.648903,28012,0408,200
2016-09-14$2.14$2.2544.7%12.8%19.2%34.1%46.7%5.7%-1.8%25.6K-249.9K-3.9K3.5384.759303,28012,1408,760
2016-09-15$2.19$2.2541.8%12.0%20.2%28.1%42.4%6.1%-1.3%33.1K-502.2K-3.8K3.9176.721,1704,57012,1908,310
2016-09-16$2.13$2.2541.5%11.9%21.9%27.5%42.4%5.5%-1.1%10.2K-253.6K-3.8K3.6482.841,2004,37012,4509,000
2016-09-19$2.17$2.2542.8%12.3%22.9%30.1%43.6%6.1%3.2%10.7K-123.9K-3.9K2.9583.518502,5109,6507,550
2016-09-20$2.21$2.2539.1%11.2%23.2%22.3%38.7%7.0%3.4%13.6K-281.5K-3.8K1.4380.041,5202,1809,7807,580
2016-09-21$2.27$2.2541.9%12.0%24.3%28.1%44.7%21.1%0.7%19.5K-495.4K-3.9K1.46100.191,5002,19010,4607,600
2016-09-22$2.27$2.2539.4%11.3%24.4%23.0%39.4%7.0%3.8%20.0K-533.2K-3.8K1.0886.321,8101,95010,5307,610
2016-09-23$2.36$2.2541.5%11.9%27.0%27.4%41.1%6.7%-0.9%18.3K-672.5K-3.9K0.7183.192,7701,98010,6307,590
2016-09-26$2.34$2.2543.9%12.6%26.2%32.5%45.0%7.8%1.2%24.3K-669.9K-4.0K1.9684.831,0101,98011,5608,020
2016-09-27$2.34$2.2540.8%11.7%25.8%25.9%43.4%4.2%4.4%25.6K-696.9K-3.9K1.9685.391,0101,98011,6208,020
2016-09-28$2.35$2.2542.4%12.2%25.5%29.2%45.1%7.5%1.9%25.0K-689.7K-4.0K1.8683.871,0101,88011,6208,020
2016-09-29$2.33$2.2541.9%12.0%25.4%28.2%40.8%6.1%2.3%26.7K-634.8K-3.8K1.2993.411,4601,88011,2608,120
2016-09-30$2.34$2.2538.9%11.1%24.9%21.8%39.8%5.2%5.1%28.6K-699.4K-3.5K1.2992.181,4601,88011,2608,130