SMCI Options History — January 2017

In January 2017, SMCI traded between $2.55 and $2.89. ATM implied volatility averaged 45.6%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 19.4% (HV 20d: 26.2%). Max pain ranged from $2.25 to $3.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.20.

Notable Days

  • 2017-01-13: Highest Volume — 23,750 contracts
  • 2017-01-10: Largest IV spike — 26.9% change
  • 2017-01-19: Highest IV Rank — 59.4%
  • 2017-01-19: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.78$2.55$2.89$2.83$2.66
Max Pain$2.55$2.25$3.00$2.25$2.50
ATM IV45.6%31.7%53.9%46.2%31.7%
Expected Move13.1%9.1%15.4%13.2%9.1%
HV 20d26.2%21.7%40.8%24.2%40.8%
HV 60d38.3%33.5%39.6%39.2%36.7%
IV Rank39.9%7.3%59.4%41.3%7.3%
IV Percentile57.8%4.4%86.5%58.7%4.4%
Term Structure-4.9%-11.7%10.7%-4.7%10.7%
VWIV49.6%34.8%72.0%72.0%34.8%
Skew 25d5.0%-2.6%14.8%-2.6%-0.1%
Skew 10d12.5%-0.2%36.7%13.9%8.5%
Call IV 25d45.3%38.1%55.9%49.4%38.1%
Put IV 25d50.3%38.1%58.5%46.8%38.1%
Bid-Ask Spread %84.0455.3698.2292.4491.58
Gamma HHI0.580.350.860.770.53
Net GEX9.2K-115.8K103.6K72.2K-49.3K
Net DEX-1.0M-2.0M615.4K-1.7M-905.9K
Net VEX-6.9K-8.8K-5.0K-6.1K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.0910.932.260.17
Total Volume6,1871,90023,7502,51010,810
Total OI29,72420,65043,32020,67040,600

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$2.83$2.2546.2%13.2%24.2%41.3%72.0%-2.6%-4.7%72.2K-1.7M-6.1K2.2692.447701,74014,6206,050
2017-01-04$2.89$2.2541.5%11.9%23.8%30.4%44.7%14.8%0.6%90.2K-2.0M-6.1K2.1590.268101,74014,6206,030
2017-01-05$2.85$3.0041.9%12.6%24.0%31.3%48.8%3.9%-5.4%88.9K-1.9M-6.1K2.0280.689101,84014,6206,030
2017-01-06$2.85$3.0039.6%12.4%22.8%25.8%48.3%3.9%-3.7%93.9K-1.9M-5.9K2.0283.609101,84014,7706,110
2017-01-09$2.83$3.0039.5%12.7%22.5%25.6%52.3%3.0%-5.4%102.7K-1.9M-5.5K2.1986.838401,84014,7706,110
2017-01-10$2.85$2.5050.1%12.6%22.1%50.6%39.1%0.5%-5.1%87.6K-1.9M-5.6K2.3585.577401,74014,9406,110
2017-01-11$2.85$2.5044.2%12.7%21.7%36.8%52.5%4.7%-5.1%103.6K-1.8M-5.3K1.9679.748901,74015,0106,210
2017-01-12$2.76$2.5045.6%13.1%23.4%39.9%52.3%4.0%-4.2%72.1K-1.5M-5.0K1.6080.561,1501,84015,1406,210
2017-01-13$2.81$2.5044.2%12.7%23.3%36.6%50.9%8.6%-5.8%82.9K-1.6M-5.0K10.9386.891,99021,76014,8306,350
2017-01-17$2.71$2.5051.9%14.9%25.9%54.8%56.0%4.8%-9.3%-68.4K-307.9K-7.9K6.2387.682,00012,46013,87026,170
2017-01-18$2.72$2.5052.4%15.0%25.8%55.9%54.5%5.6%-11.2%-59.1K-428.7K-8.1K6.1189.812,09012,76014,78026,170
2017-01-19$2.72$2.5053.9%15.4%24.6%59.4%47.1%7.2%-11.7%-60.7K-350.8K-8.8K1.2179.551,8502,24015,74027,170
2017-01-20$2.77$2.5048.5%13.9%25.7%46.8%49.6%6.9%-8.6%-54.9K-734.1K-8.3K1.0884.571,8802,03015,88027,440
2017-01-23$2.81$2.5048.5%13.9%26.3%46.8%49.6%7.0%-8.7%-51.7K-198.8K-8.0K0.5698.221,2206807,96022,940
2017-01-24$2.78$2.5049.4%14.2%24.8%48.8%52.7%8.1%-6.9%-49.0K-212.4K-8.3K0.4287.901,6306808,49022,940
2017-01-25$2.86$2.5050.1%14.4%26.0%50.6%51.3%14.7%-9.2%-31.4K-500.5K-8.2K0.3479.981,9206509,17022,940
2017-01-26$2.85$2.5052.7%15.1%26.0%56.6%54.0%2.6%-11.0%-27.7K-703.3K-7.7K0.0955.365,0704609,73022,950
2017-01-27$2.68$2.5039.9%11.4%33.5%26.5%40.0%4.0%9.5%-43.0K-242.1K-7.0K0.2463.685,7201,40011,13023,080
2017-01-30$2.55$2.5039.9%11.4%37.3%26.4%41.3%-1.9%-3.8%-115.8K615.4K-7.0K0.1695.939,5301,57013,43023,370
2017-01-31$2.66$2.5031.7%9.1%40.8%7.3%34.8%-0.1%10.7%-49.3K-905.9K-7.0K0.1791.589,2401,57016,51024,090