SMCI Options History — November 2016

In November 2016, SMCI traded between $2.21 and $2.75. ATM implied volatility averaged 36.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 11.1% (HV 20d: 47.9%). 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 17 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2016-11-15: Highest Volume — 5,550 contracts
  • 2016-11-09: Largest IV drop — 13.2% change
  • 2016-11-07: Highest IV Rank — 35.8%
  • 2016-11-01: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.49$2.21$2.75$2.29$2.75
Max Pain$2.23$2.00$2.25$2.00$2.25
ATM IV36.7%32.1%43.8%42.1%36.7%
Expected Move10.3%9.2%12.1%12.1%10.5%
HV 20d47.9%35.7%52.2%47.5%36.0%
HV 60d34.8%32.3%37.5%32.3%37.5%
IV Rank19.1%8.3%35.8%31.7%18.9%
IV Percentile17.0%5.6%41.3%32.5%17.9%
Term Structure1.4%-4.3%6.3%-4.3%-1.4%
VWIV39.1%33.6%48.8%42.8%41.4%
Skew 25d5.7%-1.7%13.3%4.9%5.4%
Skew 10d12.7%-1.3%27.4%7.0%19.7%
Call IV 25d33.3%26.2%45.6%42.1%33.0%
Put IV 25d39.1%33.1%49.7%46.9%38.4%
Bid-Ask Spread %89.1664.47119.0988.50101.68
Gamma HHI0.550.290.850.630.29
Net GEX57.7K7.4K119.8K94.3K7.4K
Net DEX-2.4M-4.7M-957.4K-2.0M-1.0M
Net VEX-3.5K-5.5K-2.2K-5.2K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.802.680.801.33
Total Volume3,619.5242,5005,5504,4403,150
Total OI23,710.95213,28030,01026,18014,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$2.29$2.0042.1%12.1%47.5%31.7%42.8%4.9%-4.3%94.3K-2.0M-5.2K0.8088.502,4701,97018,0308,150
2016-11-02$2.25$2.0039.9%11.4%47.8%26.5%43.4%4.1%-3.1%105.4K-1.8M-5.3K1.1789.241,6801,97018,9108,150
2016-11-03$2.24$2.2539.8%10.2%47.7%26.4%36.4%5.1%2.6%110.8K-1.8M-5.4K1.1770.971,6801,97019,7408,150
2016-11-04$2.21$2.2540.7%10.5%47.4%28.5%37.5%4.3%2.4%107.6K-1.5M-5.5K1.3075.301,5502,01019,7408,150
2016-11-07$2.28$2.2543.8%10.8%48.6%35.8%38.2%5.8%0.6%116.5K-2.2M-4.9K1.6764.471,5002,50019,8108,190
2016-11-08$2.27$2.2542.9%10.7%47.7%33.7%37.7%5.4%0.5%119.8K-2.0M-5.0K1.6977.911,5002,54019,8108,750
2016-11-09$2.35$2.2537.3%10.7%49.0%20.3%37.7%7.7%0.9%113.0K-2.7M-4.6K1.0781.901,9702,10019,8108,800
2016-11-10$2.38$2.2534.1%9.8%47.3%13.0%38.0%2.5%2.5%90.3K-3.0M-4.7K1.1986.551,7702,10020,3208,800
2016-11-11$2.54$2.2535.3%10.1%51.7%15.7%40.8%13.3%3.0%79.0K-4.3M-3.0K1.3090.301,7402,27020,3308,800
2016-11-14$2.56$2.2536.8%10.5%51.7%19.2%39.3%1.9%2.1%46.7K-4.5M-2.7K1.3076.181,5201,97020,6708,970
2016-11-15$2.58$2.2535.9%10.3%51.7%17.2%36.8%-1.7%2.7%36.6K-4.7M-2.6K0.8688.122,9902,56020,9709,040
2016-11-16$2.55$2.2535.5%10.2%52.2%16.2%36.6%8.6%1.3%37.5K-4.2M-2.9K1.1088.502,3302,56019,7809,990
2016-11-17$2.57$2.2533.6%9.6%52.0%11.8%37.4%9.5%2.7%35.1K-4.3M-2.7K1.8791.101,3702,56019,8309,990
2016-11-18$2.60$2.2533.3%9.6%50.9%11.1%37.0%7.4%2.7%12.6K-4.5M-2.4K1.8092.431,4202,56019,7709,990
2016-11-21$2.63$2.2533.8%9.7%50.9%12.2%41.7%5.5%1.9%14.9K-957.4K-2.5K2.68100.836801,8206,0607,220
2016-11-22$2.65$2.2533.3%9.5%51.0%11.0%33.8%7.0%2.0%15.4K-1.0M-2.2K1.8296.521,0001,8206,0707,430
2016-11-23$2.66$2.2532.8%9.4%51.0%9.8%33.6%5.5%6.3%16.2K-995.2K-2.8K1.80101.041,0101,8206,3607,430
2016-11-25$2.69$2.2532.1%9.2%50.3%8.3%46.9%11.0%6.2%16.3K-1.1M-2.3K2.53119.097201,8206,4607,430
2016-11-28$2.63$2.2535.6%10.2%36.6%16.5%48.8%5.0%0.5%18.0K-968.9K-2.6K2.5394.157201,8206,5107,430
2016-11-29$2.60$2.2535.9%10.3%35.7%17.2%35.3%2.6%-1.8%18.8K-977.5K-2.5K2.4297.687301,7706,5107,530
2016-11-30$2.75$2.2536.7%10.5%36.0%18.9%41.4%5.4%-1.4%7.4K-1.0M-2.7K1.33101.681,3501,8006,5207,530