SMCI Options History — June 2017

In June 2017, SMCI traded between $2.38 and $2.53. ATM implied volatility averaged 30.6%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 9.4% (HV 20d: 21.2%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.77.

Notable Days

  • 2017-06-15: Highest Volume — 4,580 contracts
  • 2017-06-07: Largest IV spike — 32.3% change
  • 2017-06-12: Highest IV Rank — 30.1%
  • 2017-06-09: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.45$2.38$2.53$2.46$2.46
Max Pain$2.48$2.25$2.50$2.25$2.50
ATM IV30.6%26.9%40.3%30.9%29.7%
Expected Move8.4%7.7%9.1%8.8%8.5%
HV 20d21.2%20.1%22.6%21.8%22.6%
HV 60d21.3%20.7%22.3%21.6%21.2%
IV Rank7.5%0.0%30.1%7.1%6.5%
IV Percentile10.5%0.0%57.9%7.5%6.3%
Term Structure6.6%-1.2%11.1%-1.2%9.1%
VWIV32.8%29.6%35.8%32.2%30.7%
Skew 25d6.0%-0.3%10.1%6.5%6.2%
Skew 10d15.2%3.2%22.5%7.5%6.6%
Call IV 25d27.8%23.3%34.6%30.0%27.2%
Put IV 25d33.8%30.8%39.1%36.4%33.4%
Bid-Ask Spread %25.2513.6674.2428.6231.36
Gamma HHI0.340.260.590.330.29
Net GEX2.8K-18.3K45.5K-9.8K2.7K
Net DEX33.7K-335.0K260.8K118.7K20.1K
Net VEX-2.5K-2.9K-2.2K-2.9K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.771.043.921.851.34
Total Volume2,454.0911,8404,5802,1101,870
Total OI14,070.90912,29017,58014,38012,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$2.46$2.2530.9%8.8%21.8%7.1%32.2%6.5%-1.2%-9.8K118.7K-2.9K1.8528.627401,3707,8106,570
2017-06-02$2.46$2.2530.3%8.7%20.6%5.7%32.6%4.2%-0.8%-10.0K120.6K-2.8K1.9628.167401,4507,8106,570
2017-06-05$2.44$2.5033.8%8.7%20.8%14.3%33.4%6.5%6.0%-10.8K146.1K-2.7K2.0723.967001,4507,8106,670
2017-06-06$2.42$2.5029.8%9.0%20.1%4.6%35.0%7.0%3.0%-13.9K191.9K-2.8K2.1334.076801,4507,8106,670
2017-06-07$2.38$2.5039.5%8.9%20.1%28.1%35.4%7.4%3.0%-18.3K260.8K-2.6K2.1323.806801,4508,0306,670
2017-06-08$2.45$2.5029.1%8.5%21.2%2.7%32.5%10.1%4.4%-8.6K125.2K-2.5K1.4228.181,0201,4508,0306,670
2017-06-09$2.47$2.5033.5%9.1%21.3%13.6%34.6%8.4%3.2%-1.9K31.6K-2.8K1.0474.241,4001,4508,3406,670
2017-06-12$2.48$2.5040.3%8.9%21.2%30.1%34.4%-0.3%3.8%7.3K-91.6K-2.8K1.1631.471,2501,4508,9806,670
2017-06-13$2.53$2.5036.4%8.5%22.0%20.7%31.2%0.8%5.3%45.5K-335.0K-2.7K1.1619.661,2501,4509,4806,680
2017-06-14$2.50$2.5030.3%8.7%22.5%5.8%35.8%1.5%4.8%22.0K-197.8K-2.8K1.0927.621,3301,4509,4806,780
2017-06-15$2.47$2.5029.5%8.4%20.6%3.7%34.7%9.0%5.6%43.7K-94.0K-2.5K2.4414.391,3303,2509,2206,780
2017-06-16$2.50$2.5028.3%8.1%20.7%0.9%33.5%6.4%7.4%3.2K-63.8K-2.5K3.9218.038503,3309,2208,360
2017-06-19$2.47$2.5026.9%7.7%20.5%0.0%30.2%8.2%10.1%1.2K21.9K-2.3K1.1613.669701,1307,8704,420
2017-06-20$2.45$2.5028.3%8.1%20.5%3.4%29.6%6.3%11.1%2.4K15.2K-2.3K1.4417.888801,2707,8904,420
2017-06-21$2.41$2.5028.3%8.1%21.1%3.3%32.6%7.4%10.7%-1.6K104.9K-2.3K2.0919.937001,4607,8904,520
2017-06-22$2.42$2.5028.1%8.1%20.8%2.8%32.6%6.6%10.1%-6782.3K-2.4K1.8718.327801,4607,9604,720
2017-06-23$2.47$2.5027.9%8.0%21.8%2.4%32.6%6.9%9.8%1.9K20.4K-2.4K1.8519.867901,4608,0104,720
2017-06-26$2.44$2.5028.3%8.1%21.5%3.3%30.7%5.6%10.7%2.4K36.5K-2.2K1.9022.157701,4608,0404,720
2017-06-27$2.42$2.5027.6%7.9%21.8%1.6%33.4%6.6%10.0%1.0K76.1K-2.2K1.7120.017701,3208,0804,720
2017-06-28$2.42$2.5027.1%7.8%21.3%0.5%32.7%6.6%11.0%1.9K65.7K-2.2K1.7116.887701,3208,0804,520
2017-06-29$2.41$2.5028.9%8.3%21.2%4.7%31.4%4.6%8.4%79586.0K-2.2K1.3923.187701,0708,0804,520
2017-06-30$2.46$2.5029.7%8.5%22.6%6.5%30.7%6.2%9.1%2.7K20.1K-2.2K1.3431.368001,0708,0804,520