SMCI Options History — December 2017

In December 2017, SMCI traded between $2.08 and $2.21. ATM implied volatility averaged 41.0%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 18.2% (HV 20d: 22.8%). Max pain ranged from $2.00 to $2.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2017-12-04: Highest Volume — 5,930 contracts
  • 2017-12-13: Largest IV spike — 42.5% change
  • 2017-12-13: Highest IV Rank — 73.2%
  • 2017-12-06: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.16$2.08$2.21$2.19$2.09
Max Pain$2.21$2.00$2.25$2.25$2.25
ATM IV41.0%33.9%48.3%36.3%42.4%
Expected Move12.8%10.4%14.6%10.4%12.1%
HV 20d22.8%16.7%29.2%28.9%16.8%
HV 60d31.4%25.6%38.4%38.4%25.6%
IV Rank51.5%30.6%73.2%35.2%58.6%
IV Percentile62.4%25.8%88.1%36.1%71.8%
Term Structure3.7%-3.1%12.8%12.8%7.7%
VWIV45.7%37.8%58.2%41.7%43.1%
Skew 25d4.3%-5.5%12.9%12.9%-5.5%
Skew 10d11.4%-14.3%27.9%13.5%-4.7%
Call IV 25d43.3%31.2%48.9%31.2%43.2%
Put IV 25d47.5%37.3%55.7%44.1%37.7%
Bid-Ask Spread %40.2811.6864.4919.1717.04
Gamma HHI0.500.280.620.600.28
Net GEX73.4K24.0K110.0K83.2K24.0K
Net DEX-1.1M-1.8M-28.0K-1.7M-28.0K
Net VEX-11.1K-13.9K-7.2K-13.9K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.542.991.110.54
Total Volume4,2093,0005,9304,6904,010
Total OI53,90551,02054,94051,57054,920

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$2.19$2.2536.3%10.4%28.9%35.2%41.7%12.9%12.8%83.2K-1.7M-13.9K1.1119.172,2202,47036,77014,800
2017-12-04$2.20$2.2544.9%14.3%28.7%52.3%50.5%10.4%-3.1%89.2K-1.8M-13.7K1.9854.041,9903,94036,83015,280
2017-12-05$2.17$2.2544.7%14.2%29.2%52.0%58.1%8.2%2.2%73.4K-1.3M-13.2K2.3954.861,5703,76036,95017,050
2017-12-06$2.15$2.2537.0%14.6%25.3%36.7%52.1%7.0%1.0%61.6K-1.1M-12.7K2.2848.981,4903,40036,92017,250
2017-12-07$2.15$2.2538.9%14.2%25.3%40.4%48.0%7.1%-0.0%63.0K-1.1M-12.6K2.9958.819502,84036,96017,410
2017-12-08$2.17$2.2536.0%14.3%24.5%34.7%49.8%6.5%-0.4%72.1K-1.3M-12.9K0.6646.462,2901,52037,06016,510
2017-12-11$2.18$2.0035.4%13.6%23.5%33.4%51.4%6.2%-0.4%79.1K-1.4M-12.2K0.7223.262,3101,67037,77016,560
2017-12-12$2.19$2.0033.9%14.0%23.3%30.6%47.6%2.6%-0.2%87.0K-1.6M-12.5K0.9943.121,6901,67037,62016,770
2017-12-13$2.21$2.0048.3%13.8%22.9%73.2%58.2%11.2%0.3%91.1K-1.5M-12.0K0.9256.122,0101,84037,41016,770
2017-12-14$2.17$2.2544.3%12.7%24.1%63.4%45.3%8.6%4.3%75.7K-1.1M-11.0K1.7049.021,6302,77037,58016,910
2017-12-15$2.20$2.2544.0%12.6%23.1%62.6%45.7%0.4%1.9%95.2K-1.4M-11.6K0.6152.993,4402,09037,78016,940
2017-12-18$2.19$2.2541.3%11.9%23.1%56.1%38.8%2.0%3.5%91.8K-1.2M-10.1K0.6717.332,9801,99036,67014,350
2017-12-19$2.21$2.2538.7%11.1%18.6%49.6%39.8%3.2%7.2%110.0K-1.6M-11.2K0.6735.333,2602,17038,53014,960
2017-12-20$2.17$2.2539.6%11.4%20.3%51.8%39.0%1.7%7.7%89.8K-1.1M-10.4K1.1664.491,9402,26038,87015,110
2017-12-21$2.13$2.2540.9%11.7%20.8%55.1%39.9%-0.4%8.0%75.8K-849.3K-9.9K0.9442.581,7001,60039,03015,210
2017-12-22$2.10$2.2541.3%11.8%20.8%55.9%40.1%-5.1%4.8%56.2K-452.5K-9.0K1.1635.011,4701,70039,03015,370
2017-12-26$2.08$2.2543.2%12.4%20.6%60.6%44.7%-0.9%6.2%51.0K-325.1K-8.6K0.9949.711,7201,70039,14015,370
2017-12-27$2.10$2.2545.4%13.0%18.3%66.2%43.5%5.7%4.0%50.5K-328.7K-8.3K1.2625.561,3801,74039,18015,520
2017-12-28$2.10$2.2543.3%12.4%16.7%60.9%37.8%3.5%6.6%48.6K-326.6K-8.2K1.0311.681,4801,52039,28015,660
2017-12-29$2.09$2.2542.4%12.1%16.8%58.6%43.1%-5.5%7.7%24.0K-28.0K-7.2K0.5417.042,6101,40039,22015,700