SMCI Options History — March 2018

In March 2018, SMCI traded between $1.66 and $1.98. ATM implied volatility averaged 60.7%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 24.1% (HV 20d: 36.6%). Max pain ranged from $2.00 to $2.25. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2018-03-20: Highest Volume — 7,320 contracts
  • 2018-03-14: Largest IV drop — 45.6% change
  • 2018-03-01: Highest IV Rank — 100.0%
  • 2018-03-01: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.85$1.66$1.98$1.81$1.70
Max Pain$2.02$2.00$2.25$2.25$2.00
ATM IV60.7%47.4%96.3%69.3%54.9%
Expected Move15.4%13.6%19.9%19.9%15.7%
HV 20d36.6%29.0%51.6%51.1%33.9%
HV 60d43.0%41.3%44.4%41.3%44.2%
IV Rank65.5%37.2%100.0%100.0%46.8%
IV Percentile88.3%67.9%100.0%100.0%86.9%
Term Structure-4.2%-14.3%4.2%-14.3%4.2%
VWIV53.7%45.9%68.9%68.9%52.1%
Skew 25d6.4%2.6%13.4%13.4%4.4%
Skew 10d18.0%0.4%39.5%30.9%0.4%
Call IV 25d51.9%45.3%66.8%66.8%54.4%
Put IV 25d58.3%50.8%80.2%80.2%58.8%
Bid-Ask Spread %53.5630.9574.6459.3332.35
Gamma HHI0.490.230.770.750.29
Net GEX-41.8K-116.5K30.1K-100.2K-9.4K
Net DEX643.1K-281.7K2.3M2.3M307.4K
Net VEX-7.1K-9.0K-5.5K-9.0K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.342.872.870.34
Total Volume5,201.4293,3207,3206,7306,790
Total OI46,902.85728,73059,90054,30038,610

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$1.81$2.2569.3%19.9%51.1%100.0%68.9%13.4%-14.3%-100.2K2.3M-9.0K2.8759.331,7404,99017,32036,980
2018-03-02$1.82$2.2563.3%18.2%51.6%88.2%62.7%7.3%-10.0%-116.5K2.2M-8.7K1.4362.781,8002,57017,49036,940
2018-03-05$1.89$2.0069.4%15.9%44.9%100.0%53.9%6.6%-5.5%-98.7K1.6M-8.6K0.9643.092,6302,53017,51036,950
2018-03-06$1.94$2.0061.9%15.3%40.7%85.2%53.1%7.5%-5.9%-91.4K1.0M-8.2K1.1363.252,3002,59018,21037,030
2018-03-07$1.96$2.0065.6%14.8%40.8%92.6%55.9%7.3%-5.4%-81.3K981.8K-8.2K0.7851.992,2401,74018,36037,030
2018-03-08$1.94$2.0065.3%14.9%40.7%91.8%55.7%3.2%-4.7%-101.4K981.4K-7.7K0.7855.582,3401,83018,44036,990
2018-03-09$1.98$2.0067.8%14.6%35.8%96.8%54.9%4.0%-3.4%-70.8K552.7K-7.5K0.4952.953,9601,96018,56036,890
2018-03-12$1.96$2.0089.2%15.4%35.9%100.0%55.3%10.3%-9.7%-80.2K548.2K-8.0K0.5038.564,0702,03020,33036,890
2018-03-13$1.96$2.0096.3%14.7%35.8%100.0%54.3%6.2%-6.4%-76.9K462.4K-7.8K1.2462.442,6403,28020,74036,950
2018-03-14$1.96$2.0052.4%15.0%34.2%43.6%53.1%8.1%-6.3%-82.9K545.3K-7.4K0.5848.372,7401,59020,91038,470
2018-03-15$1.96$2.0052.1%14.9%29.3%43.3%49.0%6.1%-6.3%7.9K75.3K-6.8K0.9047.552,1901,97021,34038,560
2018-03-16$1.97$2.0048.8%14.0%29.0%39.0%53.3%4.2%-4.2%30.1K-206.3K-6.6K1.1167.031,8302,04021,35035,770
2018-03-19$1.87$2.0051.9%14.9%33.3%43.0%48.9%7.8%-0.5%19.8K-281.7K-5.7K2.1274.641,7903,80019,0409,690
2018-03-20$1.87$2.0053.2%15.3%33.1%44.7%49.5%6.3%-6.0%9.4K-80.9K-5.8K1.0961.183,5103,81018,40011,470
2018-03-21$1.82$2.0047.4%13.6%31.3%37.2%47.7%5.6%1.4%4.1K48.0K-6.5K1.2130.953,1903,87020,72013,360
2018-03-22$1.77$2.0049.5%14.2%33.2%39.9%50.5%9.0%-2.4%-2.3K315.3K-6.0K0.4551.683,2201,46020,70013,440
2018-03-23$1.73$2.0050.6%14.5%33.8%41.3%50.6%8.0%1.4%-7.9K497.9K-5.7K1.1747.951,7602,06020,76013,660
2018-03-26$1.71$2.0056.3%16.1%32.5%48.6%55.8%2.6%-1.1%-7.3K486.1K-5.8K1.1455.531,5501,77021,39013,820
2018-03-27$1.66$2.0054.8%15.7%33.7%46.6%45.9%3.1%-3.1%-12.7K753.6K-5.5K0.6050.613,5102,12021,76014,170
2018-03-28$1.67$2.0054.4%15.6%33.2%46.1%55.8%3.7%-0.9%-10.3K376.5K-6.2K0.4366.983,7801,64023,86014,100
2018-03-29$1.70$2.0054.9%15.7%33.9%46.8%52.1%4.4%4.2%-9.4K307.4K-6.5K0.3432.355,0601,73024,18014,430