SMCI Options History — December 2016

In December 2016, SMCI traded between $2.60 and $2.89. ATM implied volatility averaged 40.4%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 2.8% (HV 20d: 37.7%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.04.

Notable Days

  • 2016-12-13: Highest Volume — 6,570 contracts
  • 2016-12-12: Largest IV spike — 86.0% change
  • 2016-12-12: Highest IV Rank — 94.9%
  • 2016-12-06: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.82$2.60$2.89$2.60$2.80
Max Pain$2.26$2.25$2.50$2.25$2.25
ATM IV40.4%32.0%69.0%37.7%32.7%
Expected Move11.1%9.2%13.5%10.8%9.4%
HV 20d37.7%25.9%42.0%41.5%25.9%
HV 60d39.2%38.7%39.5%39.3%39.3%
IV Rank27.9%8.1%94.9%21.3%9.7%
IV Percentile33.8%5.2%98.8%22.2%8.3%
Term Structure0.6%-2.3%12.2%-1.9%3.8%
VWIV46.6%34.0%60.7%37.8%56.3%
Skew 25d8.4%-12.3%20.3%-12.3%-5.7%
Skew 10d27.2%-16.8%52.2%-16.8%23.1%
Call IV 25d35.7%31.8%49.9%49.9%37.4%
Put IV 25d44.2%31.8%56.3%37.6%31.8%
Bid-Ask Spread %88.7566.02105.9299.4494.30
Gamma HHI0.680.300.860.390.82
Net GEX55.2K7.9K82.7K16.2K82.0K
Net DEX-1.7M-2.0M-939.4K-939.4K-1.7M
Net VEX-5.2K-6.4K-2.4K-2.8K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.994.421.430.99
Total Volume4,426.192,3706,5703,1303,530
Total OI19,696.1914,22023,67014,22020,470

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$2.60$2.2537.7%10.8%41.5%21.3%37.8%-12.3%-1.9%16.2K-939.4K-2.8K1.4399.441,2901,8406,6607,560
2016-12-02$2.68$2.5032.2%9.2%42.0%8.5%34.0%3.8%12.2%12.3K-1.0M-2.4K2.49105.921,2903,2106,6608,170
2016-12-05$2.75$2.2544.8%9.5%41.5%38.0%41.1%1.7%0.1%7.9K-1.1M-2.8K1.8481.751,7403,2106,6609,090
2016-12-06$2.79$2.2538.0%13.5%40.9%22.0%45.8%12.3%-2.3%20.0K-1.3M-4.5K1.5974.762,0903,3309,4109,090
2016-12-07$2.85$2.2532.0%10.6%40.7%8.1%43.2%10.2%0.6%36.7K-1.6M-4.2K1.9778.381,7603,46010,3709,090
2016-12-08$2.88$2.2534.6%11.4%39.9%14.1%46.1%9.7%-2.0%39.7K-1.7M-4.6K1.3582.202,6603,58010,8809,140
2016-12-09$2.85$2.2537.1%11.1%40.8%20.0%42.1%9.6%-1.1%52.9K-1.9M-4.9K1.3477.642,6703,58012,3409,170
2016-12-12$2.81$2.2569.0%10.8%35.6%94.9%43.3%11.4%-0.5%44.1K-1.5M-5.3K1.3587.792,6503,58012,3309,170
2016-12-13$2.86$2.2553.4%10.7%35.8%58.4%49.9%11.7%0.2%54.6K-1.8M-4.9K1.2090.582,9903,58012,3309,170
2016-12-14$2.81$2.2538.5%11.0%36.9%23.3%48.6%8.0%-2.0%63.1K-2.0M-6.1K1.0487.342,8702,99014,3509,170
2016-12-15$2.83$2.2538.4%11.0%36.4%23.0%45.4%7.8%-2.1%64.9K-2.0M-6.0K1.1791.062,9503,46014,2709,180
2016-12-16$2.83$2.2537.1%10.6%36.4%20.1%45.1%6.9%1.3%66.4K-2.0M-6.2K1.2682.502,7603,48014,2709,400
2016-12-19$2.89$2.2539.1%11.2%36.6%24.6%47.7%18.5%4.3%68.7K-1.8M-6.4K1.6599.251,2902,13012,8105,780
2016-12-20$2.87$2.2539.1%11.2%36.8%24.7%43.3%10.6%0.0%77.7K-2.0M-5.9K4.4283.484501,99013,4205,880
2016-12-21$2.88$2.2539.4%11.3%36.8%25.4%40.7%13.5%0.5%76.1K-1.9M-6.2K4.4092.794501,98013,4205,820
2016-12-22$2.80$2.2542.8%12.3%38.4%33.5%54.8%9.0%-1.4%64.4K-1.6M-6.3K3.8166.025402,06013,4205,910
2016-12-23$2.87$2.2540.4%11.6%39.0%27.8%47.4%4.9%-0.9%72.1K-1.8M-5.9K3.8193.605402,06013,4205,990
2016-12-27$2.87$2.2539.3%11.3%38.0%25.1%54.4%20.3%1.9%82.7K-1.9M-5.4K3.3997.925401,83013,4205,990
2016-12-28$2.84$2.2540.5%11.6%38.0%27.9%60.7%8.0%1.3%76.4K-1.7M-5.5K1.2391.191,4801,82013,4206,040
2016-12-29$2.83$2.2543.3%12.4%32.7%34.5%50.4%17.0%0.8%79.3K-1.8M-6.1K1.19105.791,4801,76014,4206,060
2016-12-30$2.80$2.2532.7%9.4%25.9%9.7%56.3%-5.7%3.8%82.0K-1.7M-6.2K0.9994.301,7701,76014,4206,050