SMCI Options History — October 2017

In October 2017, SMCI traded between $1.98 and $2.32. ATM implied volatility averaged 45.3%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 6.5% (HV 20d: 38.8%). Max pain ranged from $2.25 to $2.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-10-27: Highest Volume — 14,360 contracts
  • 2017-10-11: Largest IV spike — 29.3% change
  • 2017-10-25: Highest IV Rank — 71.5%
  • 2017-10-25: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.21$1.98$2.32$2.32$2.00
Max Pain$2.25$2.25$2.25$2.25$2.25
ATM IV45.3%35.5%54.6%37.5%35.5%
Expected Move13.4%10.2%15.7%10.8%10.2%
HV 20d38.8%25.4%52.6%52.0%27.4%
HV 60d37.1%34.3%40.3%40.1%37.0%
IV Rank53.1%33.8%71.5%37.7%33.8%
IV Percentile74.4%36.9%98.4%46.0%37.3%
Term Structure-2.1%-7.7%9.0%8.1%6.0%
VWIV46.3%31.6%57.5%36.7%31.6%
Skew 25d3.7%-9.8%8.7%8.7%-0.4%
Skew 10d12.5%-11.4%20.6%13.5%1.2%
Call IV 25d45.0%28.6%55.4%33.5%28.6%
Put IV 25d48.7%28.2%58.4%42.2%28.2%
Bid-Ask Spread %51.7114.1475.8062.7314.14
Gamma HHI0.520.410.600.460.41
Net GEX74.0K37.4K97.7K97.7K37.4K
Net DEX-1.9M-2.9M-112.6K-2.7M-124.4K
Net VEX-17.9K-20.0K-12.9K-18.4K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.232.230.351.56
Total Volume6,746.8182,95014,36010,6804,680
Total OI61,954.09149,01069,18061,34056,370

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$2.32$2.2537.5%10.8%52.0%37.7%36.7%8.7%8.1%97.7K-2.7M-18.4K0.3562.737,9002,78045,13016,210
2017-10-03$2.27$2.2538.9%11.1%52.2%40.4%38.6%5.5%7.5%90.0K-2.7M-20.0K0.2660.898,5802,26048,31016,800
2017-10-04$2.30$2.2537.9%10.9%52.6%38.6%36.4%5.5%9.0%94.3K-2.9M-19.8K0.2368.3310,5002,41047,91016,930
2017-10-05$2.29$2.2537.9%13.3%52.6%38.5%45.0%5.9%-4.1%88.8K-2.6M-19.3K0.5953.094,3802,60047,01017,360
2017-10-06$2.27$2.2535.5%13.2%52.4%33.8%47.1%4.5%-0.9%85.4K-2.5M-19.2K0.9350.623,1102,88047,64017,780
2017-10-09$2.27$2.2544.4%13.4%52.3%51.2%46.5%6.9%-2.4%77.3K-2.4M-19.3K0.9823.592,9602,91047,81017,780
2017-10-10$2.25$2.2536.9%13.7%52.3%36.5%46.4%4.7%-3.6%77.8K-2.2M-18.5K0.7836.333,2402,54048,11017,730
2017-10-11$2.25$2.2547.7%13.7%52.3%57.9%47.5%5.3%-2.8%76.3K-2.1M-18.6K0.9624.102,8402,72048,33017,970
2017-10-12$2.25$2.2548.3%13.8%52.3%59.1%47.9%3.7%-3.4%75.5K-2.2M-18.8K0.7861.313,4702,70048,31018,370
2017-10-13$2.26$2.2547.6%13.6%45.1%57.6%48.1%2.1%-4.0%77.3K-2.4M-19.0K0.7063.333,3102,32049,11018,830
2017-10-16$2.24$2.2550.0%14.3%30.3%62.3%50.4%2.2%-5.5%76.1K-2.2M-18.8K0.7460.504,1803,11049,51018,830
2017-10-17$2.21$2.2551.3%14.7%30.0%65.1%52.0%3.3%-7.2%67.3K-1.8M-17.8K0.9147.282,8502,59049,31019,350
2017-10-18$2.21$2.2549.6%14.2%29.8%61.7%50.0%2.9%-3.7%66.2K-1.6M-17.8K0.9549.182,7402,61049,15019,510
2017-10-19$2.18$2.2551.5%14.8%29.8%65.5%51.6%2.6%-6.2%62.8K-1.3M-17.5K0.5460.603,4401,86049,26019,150
2017-10-20$2.24$2.2550.9%14.6%29.0%64.2%51.2%5.9%-4.0%84.6K-1.5M-18.1K1.1963.192,7403,27049,91019,270
2017-10-23$2.25$2.2552.1%14.9%26.6%66.5%52.0%5.7%-6.6%85.1K-2.4M-18.2K0.5353.511,9301,02035,81013,200
2017-10-24$2.24$2.2554.4%15.6%25.8%71.1%57.2%4.5%-7.4%83.6K-2.2M-17.9K1.9957.841,5303,05035,88013,270
2017-10-25$2.18$2.2554.6%15.7%25.9%71.5%57.5%2.9%-7.7%66.5K-1.7M-17.5K2.2357.041,3803,08036,16014,940
2017-10-26$2.16$2.2552.6%15.1%25.4%67.6%53.2%0.6%-7.7%65.3K-1.5M-17.0K0.9037.062,8102,52036,59015,040
2017-10-27$2.04$2.2542.1%12.1%31.4%46.9%38.1%8.0%1.3%49.5K-674.2K-15.5K0.2675.8011,4302,93037,46015,310
2017-10-30$1.98$2.2539.5%11.3%27.3%41.6%33.8%-9.8%-0.9%42.4K-112.6K-13.3K0.6457.243,8202,45040,80015,480
2017-10-31$2.00$2.2535.5%10.2%27.4%33.8%31.6%-0.4%6.0%37.4K-124.4K-12.9K1.5614.141,8302,85041,03015,340