SMCI Options History — November 2017

In November 2017, SMCI traded between $1.96 and $2.22. ATM implied volatility averaged 38.9%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.0% (HV 20d: 31.9%). Max pain ranged from $2.25 to $2.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2017-11-14: Highest Volume — 6,570 contracts
  • 2017-11-03: Largest IV spike — 14.1% change
  • 2017-11-15: Highest IV Rank — 47.9%
  • 2017-11-15: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.06$1.96$2.22$2.04$2.21
Max Pain$2.25$2.25$2.25$2.25$2.25
ATM IV38.9%34.2%42.7%37.0%37.8%
Expected Move11.2%10.6%12.2%10.6%10.8%
HV 20d31.9%28.2%36.9%28.2%28.5%
HV 60d38.1%37.3%39.3%37.4%38.4%
IV Rank40.4%31.1%47.9%36.7%38.4%
IV Percentile56.1%31.0%74.2%43.3%45.6%
Term Structure8.4%1.6%12.4%1.6%12.4%
VWIV37.8%30.6%41.9%36.7%37.8%
Skew 25d2.2%-9.3%10.4%4.7%10.4%
Skew 10d4.5%-8.8%17.5%5.2%11.5%
Call IV 25d37.0%29.6%42.7%29.6%31.8%
Put IV 25d39.2%31.0%44.0%34.3%42.2%
Bid-Ask Spread %33.1317.1770.2138.9037.26
Gamma HHI0.500.380.640.450.60
Net GEX49.3K12.1K93.6K43.2K85.5K
Net DEX-824.7K-2.2M197.6K-395.0K-1.9M
Net VEX-13.6K-15.1K-11.8K-14.4K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.802.972.060.99
Total Volume5,006.6673,4206,5706,5104,640
Total OI54,956.1950,55058,18057,08050,910

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$2.04$2.2537.0%10.6%28.2%36.7%36.7%4.7%1.6%43.2K-395.0K-14.4K2.0638.902,1304,38041,13015,950
2017-11-02$2.03$2.2534.2%10.7%28.2%31.1%37.4%3.6%4.3%41.0K-367.1K-13.7K2.1662.081,8504,00040,85015,960
2017-11-03$2.02$2.2539.0%10.9%28.2%40.6%38.1%2.1%6.8%41.7K-428.4K-14.0K2.4449.611,7404,24040,83015,910
2017-11-06$2.05$2.2537.6%10.9%29.1%38.0%36.9%3.3%6.2%45.8K-658.9K-14.0K1.3122.021,5702,05040,83016,010
2017-11-07$1.98$2.2537.3%10.6%31.4%37.3%30.6%2.2%7.6%29.3K-67.4K-12.9K0.8025.662,4301,94040,83016,120
2017-11-08$1.98$2.2538.0%10.9%31.6%38.6%37.6%4.0%7.3%24.1K503-12.2K1.3834.781,4401,98040,05016,070
2017-11-09$1.96$2.2538.2%11.0%31.4%39.1%35.9%2.0%8.4%21.1K197.6K-11.8K1.3765.851,6702,29040,10016,090
2017-11-10$2.00$2.2541.0%11.8%33.2%44.6%40.2%1.4%6.6%27.1K-335.4K-13.6K1.7226.922,1603,71040,51016,230
2017-11-13$1.99$2.2540.8%11.7%33.2%44.3%41.8%5.3%5.6%16.4K-318.4K-13.3K2.5724.391,3603,49040,62017,560
2017-11-14$1.98$2.2538.8%11.1%33.1%40.2%37.1%-0.6%9.4%12.1K-195.4K-12.7K1.8721.952,2904,28040,99017,170
2017-11-15$1.98$2.2542.7%12.2%33.1%47.9%41.9%-1.3%5.3%20.1K-306.4K-12.4K2.0841.441,6203,37040,68017,100
2017-11-16$2.03$2.2540.6%11.6%34.7%43.7%38.8%-1.7%9.2%12.9K-640.2K-13.0K2.9770.211,4604,34040,79017,100
2017-11-17$2.05$2.2539.3%11.3%33.2%41.2%36.8%-9.3%9.9%61.8K-846.2K-13.0K2.8340.091,5404,36040,65016,820
2017-11-20$2.13$2.2538.9%11.1%36.7%40.4%38.0%0.6%10.4%76.9K-1.5M-14.3K1.2517.171,8702,33037,37013,180
2017-11-21$2.15$2.2537.6%10.8%36.9%37.9%37.8%2.9%11.8%78.4K-1.6M-15.0K1.0617.342,0102,14037,73013,700
2017-11-22$2.13$2.2541.1%11.8%35.6%44.9%39.0%-2.2%11.1%76.4K-1.4M-14.2K0.9020.032,4602,22037,60013,720
2017-11-24$2.10$2.2540.4%11.6%35.9%43.3%37.0%0.5%8.4%68.6K-1.3M-13.9K1.2824.241,7702,26037,59013,770
2017-11-27$2.13$2.2539.5%11.3%30.1%41.7%38.4%1.2%11.8%74.1K-1.4M-13.8K0.8517.693,0502,60037,47013,870
2017-11-28$2.18$2.2537.8%10.8%28.5%38.2%38.9%6.2%10.9%85.8K-1.7M-14.5K1.2017.672,1802,61037,87014,380
2017-11-29$2.22$2.2539.0%11.2%28.9%40.7%37.5%10.1%12.2%93.6K-2.2M-15.1K0.9920.372,6702,64037,58014,390
2017-11-30$2.21$2.2537.8%10.8%28.5%38.4%37.8%10.4%12.4%85.5K-1.9M-14.3K0.9937.262,3302,31036,52014,390