SMCI Options History — March 2017

In March 2017, SMCI traded between $2.46 and $2.66. ATM implied volatility averaged 39.5%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 11.9% (HV 20d: 27.6%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.33.

Notable Days

  • 2017-03-01: Highest Volume — 17,620 contracts
  • 2017-03-16: Largest IV drop — 12.9% change
  • 2017-03-14: Highest IV Rank — 39.6%
  • 2017-03-15: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.53$2.46$2.66$2.65$2.54
Max Pain$2.45$2.25$2.50$2.50$2.50
ATM IV39.5%36.1%45.1%40.6%39.4%
Expected Move11.1%10.4%12.6%11.6%11.3%
HV 20d27.6%20.9%31.1%24.2%23.0%
HV 60d31.1%30.3%31.7%30.9%31.2%
IV Rank26.7%18.9%39.6%29.2%26.4%
IV Percentile42.8%23.8%70.2%48.0%46.0%
Term Structure0.1%-4.3%4.9%-1.2%1.1%
VWIV41.6%35.3%65.4%40.9%40.5%
Skew 25d6.1%-5.6%14.8%-4.1%11.3%
Skew 10d10.5%-8.3%28.5%8.1%15.2%
Call IV 25d36.5%27.7%46.8%45.5%35.2%
Put IV 25d42.5%38.8%46.5%41.4%46.5%
Bid-Ask Spread %92.9480.71108.6890.4698.76
Gamma HHI0.570.240.900.640.28
Net GEX-87.4K-347.3K22.1K-79.8K12.1K
Net DEX108.7K-914.9K1.3M-305.0K-292.7K
Net VEX-5.3K-6.7K-4.0K-6.6K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.487.486.430.64
Total Volume5,901.3043,60017,62017,6205,410
Total OI23,093.47814,36030,18028,43015,400

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$2.65$2.5040.6%11.6%24.2%29.2%40.9%-4.1%-1.2%-79.8K-305.0K-6.6K6.4390.462,37015,25010,32018,110
2017-03-02$2.66$2.5040.6%11.7%20.9%29.4%41.4%-5.6%-1.9%-81.2K-423.1K-6.3K7.4880.712,04015,25010,33018,110
2017-03-03$2.53$2.5036.1%10.4%27.9%18.9%65.4%7.3%0.8%-135.0K653.8K-6.7K1.11102.321,7201,91010,45018,110
2017-03-06$2.52$2.5039.3%11.0%27.6%26.3%39.5%1.1%-0.4%-144.4K820.5K-6.3K1.2886.551,5802,02010,46018,060
2017-03-07$2.52$2.5038.9%11.2%27.4%25.3%40.6%14.8%-1.2%-152.2K664.9K-6.3K1.4684.701,5802,30010,78017,850
2017-03-08$2.47$2.5038.6%10.8%26.5%24.6%41.2%10.5%-1.6%-152.3K1.2M-6.2K1.3291.841,5802,09010,78018,150
2017-03-09$2.46$2.5037.8%11.1%26.5%22.9%38.7%-2.1%-0.3%-161.0K1.3M-6.0K0.9982.312,1202,09010,78018,160
2017-03-10$2.50$2.5039.7%11.0%27.4%27.2%38.0%11.7%-0.5%-176.6K850.4K-6.2K0.7986.412,2701,79011,54018,280
2017-03-13$2.49$2.5044.2%11.0%27.0%37.6%41.5%1.0%0.0%-204.2K845.3K-5.8K0.7893.402,2701,78011,74018,280
2017-03-14$2.51$2.5045.1%11.2%27.3%39.6%45.5%3.6%-0.7%-244.4K587.1K-5.3K0.8887.682,0201,78011,74018,330
2017-03-15$2.54$2.2544.0%12.6%26.6%37.1%43.0%2.0%-4.3%-195.9K168.0K-5.3K0.89108.682,4402,18011,84018,330
2017-03-16$2.52$2.2538.3%11.0%26.7%24.0%40.8%11.6%-1.9%-347.3K550.2K-4.9K1.0387.202,1202,18011,35018,830
2017-03-17$2.51$2.2537.9%10.9%26.6%23.0%39.9%11.3%-0.6%-87.8K-914.9K-4.0K0.5695.463,8602,18011,28018,830
2017-03-20$2.57$2.2539.1%11.2%28.2%25.8%41.5%2.8%4.9%22.1K-600.5K-4.3K0.5187.403,5101,7808,9405,420
2017-03-21$2.48$2.2538.8%11.1%30.2%25.0%42.2%-1.3%-0.6%19.3K-377.5K-4.8K0.5484.813,5101,8909,7005,470
2017-03-22$2.52$2.5037.8%10.8%30.8%22.7%40.8%12.3%2.1%14.4K-279.6K-4.6K0.4892.253,9301,8909,0605,590
2017-03-23$2.56$2.5038.1%10.9%31.1%23.5%36.6%7.5%1.1%15.1K-345.1K-4.7K0.5198.823,7101,8909,2905,590
2017-03-24$2.55$2.5037.8%10.8%31.0%22.7%37.5%6.9%3.4%15.1K-363.3K-4.8K0.5197.233,7101,8909,3705,690
2017-03-27$2.52$2.5037.2%10.7%29.4%21.4%35.3%7.8%3.0%14.0K-316.2K-4.7K0.5298.503,6701,8909,3705,690
2017-03-28$2.49$2.5038.5%11.0%29.3%24.4%39.7%6.4%-0.7%12.6K-264.2K-4.5K0.6498.803,3002,1009,3705,740
2017-03-29$2.56$2.5040.6%11.7%29.4%29.4%40.0%10.4%1.1%14.0K-351.1K-4.7K0.64103.893,3002,1009,3305,990
2017-03-30$2.54$2.5039.9%11.4%29.4%27.7%46.9%12.4%-0.0%13.3K-341.2K-4.9K0.6699.383,3002,1809,3305,990
2017-03-31$2.54$2.5039.4%11.3%23.0%26.4%40.5%11.3%1.1%12.1K-292.7K-4.6K0.6498.763,3002,1109,3306,070