SMCI Options History — October 2016

In October 2016, SMCI traded between $2.15 and $2.44. ATM implied volatility averaged 48.4%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 21.5% (HV 20d: 26.9%). Max pain ranged from $2.00 to $2.25. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-10-27: Highest Volume — 14,200 contracts
  • 2016-10-28: Largest IV drop — 27.6% change
  • 2016-10-11: Highest IV Rank — 59.7%
  • 2016-10-26: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.24$2.15$2.44$2.34$2.38
Max Pain$2.06$2.00$2.25$2.25$2.00
ATM IV48.4%37.0%56.8%44.9%39.5%
Expected Move13.8%10.6%15.3%12.9%11.3%
HV 20d26.9%20.9%45.7%24.9%45.7%
HV 60d41.4%24.3%72.2%72.1%31.1%
IV Rank44.8%19.6%59.7%34.5%25.6%
IV Percentile59.5%13.1%84.9%46.0%23.0%
Term Structure-5.6%-11.2%2.2%2.2%-3.2%
VWIV50.8%38.3%67.4%40.6%45.0%
Skew 25d6.9%3.8%9.6%5.9%3.8%
Skew 10d21.4%-5.8%69.1%14.1%1.1%
Call IV 25d47.6%36.0%54.6%43.3%38.3%
Put IV 25d54.5%42.1%63.5%49.2%42.1%
Bid-Ask Spread %75.0158.01108.3391.6885.44
Gamma HHI0.460.330.570.480.57
Net GEX14.3K-44.9K73.8K27.8K73.8K
Net DEX-510.0K-2.8M663.4K-654.6K-2.7M
Net VEX-3.8K-4.6K-3.1K-3.5K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.462.250.930.91
Total Volume5,804.2863,19014,2003,7705,020
Total OI24,900.95212,19035,37019,44025,480

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$2.34$2.2544.9%12.9%24.9%34.5%40.6%5.9%2.2%27.8K-654.6K-3.5K0.9391.681,9501,82011,2608,180
2016-10-04$2.30$2.2545.3%13.0%26.0%35.5%38.3%7.0%1.8%26.6K-507.8K-3.5K1.0391.281,5701,62011,2608,160
2016-10-05$2.32$2.2544.3%12.7%26.1%33.4%67.4%5.6%0.3%27.9K-522.7K-3.5K1.09108.331,6101,76011,1608,140
2016-10-06$2.29$2.2546.0%13.3%24.8%36.8%47.9%9.4%-4.6%27.3K-476.2K-3.4K2.2570.761,6103,63011,1608,320
2016-10-07$2.25$2.2546.1%13.1%25.2%37.1%47.9%5.4%-3.2%17.6K-291.1K-3.6K1.4965.822,7804,13011,16010,680
2016-10-10$2.27$2.0049.2%14.0%25.1%43.7%47.0%8.8%-5.6%26.3K-534.4K-3.7K1.1259.225,0205,61012,36010,680
2016-10-11$2.21$2.0056.8%14.0%27.1%59.7%52.1%6.0%-5.3%9.8K-48.1K-4.2K2.1863.092,8006,10013,03012,240
2016-10-12$2.22$2.0048.3%13.8%27.1%41.7%51.0%8.0%-6.4%-17.6K109.4K-4.5K1.3673.212,4703,37013,17017,810
2016-10-13$2.15$2.0048.7%14.0%28.7%47.2%52.9%5.6%-8.1%-44.9K663.4K-4.3K0.6464.922,9601,90013,17019,840
2016-10-14$2.15$2.0049.4%14.2%27.5%48.9%51.4%7.8%-7.9%-41.1K573.6K-4.5K0.5674.432,3301,30013,59019,250
2016-10-17$2.17$2.0052.2%15.0%26.8%55.5%53.4%6.6%-11.2%-21.5K50.4K-4.4K0.4973.574,0601,99016,26019,110
2016-10-18$2.19$2.0048.9%14.0%26.4%47.6%52.6%4.6%-7.9%-10.4K-170.4K-3.9K0.5477.673,7001,99016,11018,470
2016-10-19$2.20$2.0048.9%14.0%24.3%47.8%51.5%4.2%-7.6%8.4K-339.3K-3.6K0.5080.043,7001,86016,11018,250
2016-10-20$2.19$2.0052.1%14.9%24.4%55.2%55.5%8.3%-9.8%-1.0K-219.8K-3.6K0.6471.312,9201,86016,20018,230
2016-10-21$2.15$2.0051.5%14.8%20.9%53.9%51.6%9.6%-10.2%20.4K21.0K-3.2K1.0373.032,9203,01016,20018,230
2016-10-24$2.17$2.0050.6%14.5%21.5%51.8%55.5%8.2%-5.0%21.7K-591.6K-3.1K0.7667.822,4201,8407,4604,730
2016-10-25$2.19$2.0051.7%14.8%22.1%54.4%54.3%7.4%-6.9%25.7K-679.1K-3.3K1.2575.231,4701,8408,1704,970
2016-10-26$2.22$2.0053.4%15.3%22.7%58.3%54.6%9.1%-9.5%27.6K-829.9K-3.4K1.0958.012,1702,3608,7704,970
2016-10-27$2.19$2.0051.1%14.6%22.8%52.8%52.2%6.4%-9.3%35.0K-821.1K-3.7K0.4679.929,7504,4509,9005,490
2016-10-28$2.44$2.0037.0%10.6%44.9%19.6%43.8%6.3%-0.2%61.2K-2.8M-4.6K1.4870.362,5103,71017,1308,060
2016-10-31$2.38$2.0039.5%11.3%45.7%25.6%45.0%3.8%-3.2%73.8K-2.7M-4.6K0.9185.442,6302,39017,7107,770