SMCI Options History — February 2017

In February 2017, SMCI traded between $2.55 and $2.73. ATM implied volatility averaged 34.6%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 4.4% (HV 20d: 39.0%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.38.

Notable Days

2017-02-28: Highest Volume — 17,830 contracts
2017-02-14: Largest IV drop — 18.0% change
2017-02-02: Highest IV Rank — 30.3%
2017-02-28: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.65	$2.55	$2.73	$2.58	$2.59
Max Pain	$2.29	$2.25	$2.50	$2.50	$2.50
ATM IV	34.6%	28.0%	41.5%	37.2%	39.0%
Expected Move	9.8%	8.0%	11.2%	10.7%	11.2%
HV 20d	39.0%	27.1%	42.3%	41.9%	27.1%
HV 60d	34.9%	32.5%	37.4%	37.4%	32.5%
IV Rank	14.6%	0.0%	30.3%	20.1%	25.6%
IV Percentile	17.0%	0.0%	44.0%	22.6%	38.5%
Term Structure	7.6%	-1.3%	30.9%	-1.3%	-1.1%
VWIV	37.1%	30.2%	43.7%	40.6%	39.0%
Skew 25d	3.2%	-10.1%	11.9%	-10.1%	0.3%
Skew 10d	6.0%	-9.1%	15.2%	-9.1%	-0.5%
Call IV 25d	34.6%	29.9%	51.3%	51.3%	38.7%
Put IV 25d	37.8%	33.9%	41.8%	41.2%	39.0%
Bid-Ask Spread %	93.93	81.43	113.33	93.48	89.02
Gamma HHI	0.53	0.38	0.73	0.41	0.73
Net GEX	-36.6K	-214.0K	44.8K	-96.9K	-105.8K
Net DEX	-994.3K	-1.9M	213.1K	-201.1K	213.1K
Net VEX	-5.6K	-8.0K	-3.8K	-7.4K	-6.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.21	6.67	0.21	5.91
Total Volume	6,236.842	2,400	17,830	9,890	17,830
Total OI	35,968.947	12,990	62,680	41,620	27,720

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$2.58	$2.50	37.2%	10.7%	41.9%	20.1%	40.6%	-10.1%	-1.3%	-96.9K	-201.1K	-7.4K	0.21	93.48	8,140	1,750	17,530	24,090
2017-02-02	$2.55	$2.25	41.5%	10.5%	40.6%	30.3%	37.6%	3.7%	-0.2%	-81.3K	-55.5K	-8.0K	0.26	86.58	6,620	1,750	18,030	24,300
2017-02-03	$2.58	$2.25	37.9%	10.4%	41.0%	21.7%	34.2%	2.9%	2.1%	-75.9K	-424.6K	-7.5K	0.58	83.27	2,010	1,170	18,240	24,300
2017-02-06	$2.56	$2.25	36.9%	10.2%	41.0%	19.5%	40.6%	2.3%	2.1%	-119.6K	-225.6K	-7.1K	0.52	82.00	2,090	1,080	18,260	24,330
2017-02-07	$2.62	$2.25	33.9%	10.2%	42.3%	12.5%	30.5%	3.2%	2.1%	-214.0K	-277.8K	-7.6K	0.52	81.43	2,300	1,200	18,340	44,340
2017-02-08	$2.63	$2.25	35.3%	10.1%	42.2%	15.7%	32.8%	1.7%	1.8%	-61.5K	-1.2M	-5.9K	0.58	85.93	2,280	1,330	18,510	24,340
2017-02-09	$2.64	$2.25	34.2%	9.8%	42.3%	13.2%	33.9%	1.8%	3.5%	-61.9K	-1.2M	-5.7K	0.55	91.50	2,370	1,310	18,530	24,540
2017-02-10	$2.66	$2.25	35.7%	10.2%	41.3%	16.7%	36.8%	3.3%	1.7%	-46.8K	-1.4M	-5.5K	0.58	93.33	2,320	1,340	18,350	24,630
2017-02-13	$2.66	$2.25	37.1%	10.6%	40.7%	20.0%	38.9%	5.2%	1.8%	-13.9K	-1.6M	-4.6K	0.62	95.99	2,270	1,400	18,350	24,620
2017-02-14	$2.71	$2.25	30.4%	8.7%	39.7%	4.3%	39.0%	4.9%	21.4%	13.2K	-1.8M	-4.4K	0.38	108.38	3,160	1,200	18,270	24,420
2017-02-15	$2.70	$2.25	30.9%	8.9%	39.7%	5.5%	35.0%	4.8%	15.5%	10.0K	-1.8M	-4.5K	0.47	105.65	2,560	1,200	18,800	24,420
2017-02-16	$2.70	$2.25	32.6%	9.3%	39.7%	9.3%	38.4%	2.3%	12.7%	43.1K	-1.9M	-4.3K	0.66	108.63	2,610	1,710	18,700	24,420
2017-02-17	$2.70	$2.25	28.0%	8.0%	39.1%	0.0%	30.2%	0.7%	17.8%	41.3K	-1.8M	-4.2K	0.74	97.73	2,310	1,710	18,550	24,720
2017-02-21	$2.70	$2.25	31.0%	8.9%	38.7%	7.0%	38.7%	0.6%	12.0%	44.8K	-1.3M	-4.1K	0.59	89.10	1,600	950	9,810	3,310
2017-02-22	$2.71	$2.25	36.5%	10.5%	38.5%	19.8%	43.7%	6.9%	30.9%	37.9K	-1.3M	-4.2K	0.50	113.33	1,600	800	9,680	3,310
2017-02-23	$2.73	$2.25	33.4%	9.6%	36.9%	12.7%	35.3%	10.4%	9.2%	39.7K	-1.3M	-3.8K	0.50	102.28	1,600	800	9,680	3,460
2017-02-24	$2.71	$2.25	32.7%	9.4%	37.0%	11.0%	40.6%	11.9%	1.8%	40.2K	-1.2M	-3.8K	5.31	92.10	2,720	14,450	9,680	3,460
2017-02-27	$2.63	$2.50	33.5%	9.6%	32.1%	12.9%	38.7%	3.1%	9.3%	-88.1K	-119.8K	-6.8K	6.67	84.93	2,210	14,750	10,260	17,110
2017-02-28	$2.59	$2.50	39.0%	11.2%	27.1%	25.6%	39.0%	0.3%	-1.1%	-105.8K	213.1K	-6.8K	5.91	89.02	2,580	15,250	10,260	17,460