SMCI Options History — May 2017

In May 2017, SMCI traded between $2.35 and $2.46. ATM implied volatility averaged 31.8%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.6% (HV 20d: 22.2%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2017-05-01: Highest Volume — 5,630 contracts
  • 2017-05-02: Largest IV spike — 17.4% change
  • 2017-05-04: Highest IV Rank — 21.2%
  • 2017-05-02: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.41$2.35$2.46$2.44$2.45
Max Pain$2.28$2.25$2.50$2.50$2.25
ATM IV31.8%29.7%37.1%30.9%29.8%
Expected Move9.0%8.5%10.4%8.9%8.6%
HV 20d22.2%17.7%24.0%17.7%21.8%
HV 60d23.6%21.4%24.8%22.9%21.5%
IV Rank9.2%4.2%21.2%6.9%4.6%
IV Percentile9.6%1.2%29.8%4.0%2.8%
Term Structure-0.5%-3.5%0.8%-1.2%-0.4%
VWIV34.2%30.4%42.1%33.4%30.4%
Skew 25d5.5%-4.1%8.6%-4.1%1.6%
Skew 10d7.1%-3.4%19.9%-0.8%-2.8%
Call IV 25d29.3%26.0%39.9%39.9%33.5%
Put IV 25d34.8%32.0%39.3%35.8%35.1%
Bid-Ask Spread %41.1517.4696.2993.7055.55
Gamma HHI0.480.320.650.470.36
Net GEX-27.9K-49.8K-10.4K-28.4K-14.0K
Net DEX405.5K151.0K720.2K364.6K175.1K
Net VEX-3.4K-4.3K-2.7K-4.3K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.541.961.811.85
Total Volume3,366.3641,8405,6305,6302,110
Total OI17,710.90913,77019,77019,30014,150

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$2.44$2.5030.9%8.9%17.7%6.9%33.4%-4.1%-1.2%-28.4K364.6K-4.3K1.8193.702,0003,6308,38010,920
2017-05-02$2.37$2.5036.3%10.4%19.6%19.4%34.6%8.5%0.6%-39.1K567.2K-4.0K0.8457.371,8601,5608,48010,770
2017-05-03$2.36$2.5034.8%10.0%19.5%15.7%42.1%3.5%-0.3%-44.0K720.2K-3.9K0.9196.291,8301,6608,49010,920
2017-05-04$2.41$2.2537.1%8.5%21.2%21.2%34.7%8.1%0.8%-36.1K510.5K-4.0K0.9138.241,8301,6608,44010,920
2017-05-05$2.43$2.2531.6%8.7%21.4%8.5%34.5%8.3%-0.1%-33.5K437.5K-4.0K0.8434.611,9701,6608,44010,920
2017-05-08$2.39$2.2531.5%8.7%22.0%8.6%34.7%7.4%0.1%-36.5K535.1K-3.8K0.8058.211,9501,5608,66010,920
2017-05-09$2.35$2.2532.0%9.7%22.5%10.0%34.2%6.5%-1.3%-49.8K682.5K-3.4K0.8025.241,9501,5608,71010,870
2017-05-10$2.41$2.2529.7%8.5%23.7%4.2%33.9%7.6%0.1%-40.4K517.1K-3.5K0.9229.851,9501,8008,71010,810
2017-05-11$2.40$2.2530.4%8.7%23.2%5.9%34.1%6.1%-1.0%-35.5K456.1K-3.6K0.8138.621,9201,5608,71011,060
2017-05-12$2.42$2.2530.5%8.7%23.4%6.2%31.2%6.7%-0.0%-31.5K423.9K-3.6K0.9620.351,8501,7808,69011,060
2017-05-15$2.43$2.2530.4%8.7%21.9%5.9%31.7%5.6%0.0%-27.7K348.6K-3.3K0.8935.572,0601,8408,62010,720
2017-05-16$2.44$2.2530.5%8.7%20.7%6.3%34.0%8.3%-0.3%-28.8K363.4K-3.3K0.8621.282,1401,8408,63010,780
2017-05-17$2.38$2.2531.4%9.0%22.8%8.3%36.6%5.5%-0.2%-38.5K612.1K-3.4K0.8755.512,0901,8108,66010,780
2017-05-18$2.37$2.2534.8%10.0%21.9%16.6%34.9%5.7%-0.7%-28.3K510.0K-3.0K0.8926.682,0901,8708,66010,610
2017-05-19$2.41$2.2531.1%8.9%23.2%7.8%32.5%2.8%-1.1%-20.2K481.7K-2.9K0.7774.692,3801,8408,66010,770
2017-05-22$2.43$2.2531.4%9.0%23.3%8.3%33.7%6.1%-1.5%-13.8K205.8K-3.1K0.5417.462,1201,1407,3206,450
2017-05-23$2.40$2.2529.9%8.6%23.6%4.7%33.5%5.9%-0.5%-16.1K257.8K-2.9K0.5418.682,1201,1407,4806,450
2017-05-24$2.43$2.2529.8%8.5%23.9%4.5%33.6%4.2%0.6%-12.1K191.7K-3.0K1.6335.347001,1407,4806,460
2017-05-25$2.46$2.2529.8%8.5%23.5%4.4%34.3%8.6%0.5%-10.4K151.0K-2.9K1.8021.517001,2607,4306,460
2017-05-26$2.42$2.2532.0%9.2%24.0%9.8%34.5%4.1%-1.3%-12.5K182.7K-3.0K1.9424.737001,3607,5806,460
2017-05-30$2.42$2.2534.1%9.8%24.0%15.0%35.8%3.8%-3.5%-15.7K226.9K-2.9K1.9625.907001,3707,5806,570
2017-05-31$2.45$2.2529.8%8.6%21.8%4.6%30.4%1.6%-0.4%-14.0K175.1K-2.7K1.8555.557401,3707,5806,570