SMCI Options History — September 2017

In September 2017, SMCI traded between $2.08 and $2.67. ATM implied volatility averaged 37.5%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 0.7% (HV 20d: 38.2%). Max pain ranged from $2.25 to $2.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.57.

Notable Days

  • 2017-09-29: Highest Volume — 34,360 contracts
  • 2017-09-07: Largest IV spike — 25.2% change
  • 2017-09-12: Highest IV Rank — 51.4%
  • 2017-09-18: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.37$2.08$2.67$2.67$2.22
Max Pain$2.42$2.25$2.50$2.50$2.25
ATM IV37.5%27.8%44.4%27.8%35.8%
Expected Move10.5%8.0%12.1%8.0%10.3%
HV 20d38.2%25.8%52.3%26.5%48.7%
HV 60d33.6%28.5%39.1%28.6%39.1%
IV Rank37.7%18.6%51.4%18.6%34.3%
IV Percentile46.9%2.4%76.2%2.4%38.1%
Term Structure2.1%-2.8%13.2%13.2%8.9%
VWIV38.3%31.0%44.4%31.0%35.7%
Skew 25d7.2%1.4%14.6%14.4%2.4%
Skew 10d14.3%-2.8%26.5%13.0%1.1%
Call IV 25d32.3%19.2%41.3%19.2%37.9%
Put IV 25d39.5%33.6%44.3%33.6%40.3%
Bid-Ask Spread %30.6415.1864.9415.1833.70
Gamma HHI0.400.210.640.640.40
Net GEX11.8K-23.5K46.7K46.7K33.8K
Net DEX-54.5K-561.8K624.7K-561.8K-428.6K
Net VEX-4.3K-6.7K-2.8K-4.6K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.173.421.540.17
Total Volume7,441.54,07034,3604,07034,360
Total OI26,690.520,78037,29020,78037,290

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$2.67$2.5027.8%8.0%26.5%18.6%31.0%14.4%13.2%46.7K-561.8K-4.6K1.5415.181,6002,47015,8104,970
2017-09-05$2.65$2.5031.0%10.0%26.6%24.8%38.3%6.7%1.0%37.8K-471.6K-4.1K1.5931.271,6002,54015,8304,970
2017-09-06$2.65$2.5032.2%9.9%26.4%27.2%37.6%14.2%2.3%39.8K-491.7K-4.1K1.6037.641,6002,56015,8305,050
2017-09-07$2.62$2.5040.3%10.2%26.8%43.3%38.8%5.4%-1.1%33.1K-411.2K-4.0K1.5924.631,6002,55015,8305,050
2017-09-08$2.57$2.5035.0%9.9%27.3%32.7%38.1%4.1%2.0%22.8K-299.2K-3.8K2.0422.491,6003,26015,8305,050
2017-09-11$2.59$2.5043.3%10.2%27.0%49.2%40.1%14.6%0.6%19.6K-273.4K-3.4K2.0420.501,6003,26015,8306,010
2017-09-12$2.58$2.5044.4%9.9%25.8%51.4%39.0%13.3%0.6%15.9K-256.1K-3.3K3.4024.221,6005,44015,8306,010
2017-09-13$2.56$2.5034.0%9.8%25.8%30.8%37.5%11.2%0.8%10.7K-201.9K-3.5K3.4264.941,6005,47015,8108,250
2017-09-14$2.52$2.5034.5%9.9%26.0%31.7%34.6%2.5%1.1%-296-132.8K-3.5K2.5423.351,5603,96015,8108,250
2017-09-15$2.34$2.5039.0%11.2%36.8%40.6%36.7%5.9%-2.8%-3.0K315.5K-3.2K1.9124.011,9303,68015,7809,070
2017-09-18$2.13$2.5042.1%12.1%47.5%46.8%43.5%1.4%-1.9%-14.9K503.4K-2.8K1.4761.472,8204,14015,1307,260
2017-09-19$2.10$2.5039.6%11.4%47.5%41.9%43.5%7.0%1.0%-22.1K624.7K-3.5K1.2518.312,9603,69016,7309,760
2017-09-20$2.08$2.5040.1%11.5%47.0%42.9%44.4%6.8%3.3%-23.5K598.5K-3.6K1.2221.853,0403,70017,03010,150
2017-09-21$2.12$2.5040.1%11.5%47.1%42.8%37.9%6.6%-0.2%-22.5K539.3K-4.1K0.9523.552,9602,80017,57010,350
2017-09-22$2.19$2.2537.3%10.7%49.5%37.2%37.7%10.4%3.0%-4.9K126.1K-4.9K0.9845.843,8303,74019,55010,580
2017-09-25$2.13$2.2538.8%11.1%48.8%40.3%40.9%3.8%4.5%-10.6K378.8K-4.7K0.5133.976,3403,22020,45011,570
2017-09-26$2.17$2.2535.6%10.2%50.3%33.9%36.2%3.3%3.2%22.0K-29.8K-5.7K1.0633.383,2003,40024,21012,100
2017-09-27$2.23$2.2538.3%11.0%52.3%39.3%34.6%7.1%-1.0%31.0K-401.2K-6.2K1.1028.223,0903,39024,27012,100
2017-09-28$2.19$2.2541.3%11.8%50.0%45.1%39.5%2.9%2.4%24.0K-216.7K-6.2K1.0324.373,2803,39024,51012,330
2017-09-29$2.22$2.2535.8%10.3%48.7%34.3%35.7%2.4%8.9%33.8K-428.6K-6.7K0.1733.7029,3305,03024,79012,500