SMCI Options History — September 2020

In September 2020, SMCI traded between $2.54 and $2.74. ATM implied volatility averaged 48.4%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 5.6% (HV 20d: 42.8%). Max pain ranged from $2.25 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2020-09-02: Highest Volume — 690 contracts
  • 2020-09-28: Largest IV spike — 35.3% change
  • 2020-09-04: Highest IV Rank — 13.4%
  • 2020-09-28: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.62$2.54$2.74$2.71$2.64
Max Pain$2.38$2.25$3.00$3.00$2.25
ATM IV48.4%40.2%55.1%49.0%54.1%
Expected Move13.8%11.5%15.6%14.1%15.5%
HV 20d42.8%31.5%65.7%62.9%35.2%
HV 60d47.1%44.1%50.6%49.4%44.4%
IV Rank9.6%5.0%13.4%10.0%12.9%
IV Percentile31.5%10.7%48.0%29.8%48.0%
Term Structure3.3%-14.4%18.7%0.4%-5.7%
VWIV43.0%30.4%68.0%38.6%68.0%
Skew 25d8.8%-2.8%29.2%8.0%17.4%
Skew 10d1.4%-20.9%25.1%9.5%8.4%
Call IV 25d39.7%27.0%47.3%39.7%34.5%
Put IV 25d48.6%36.9%62.4%47.7%51.9%
Bid-Ask Spread %100.1382.49130.2797.56125.24
Gamma HHI0.400.280.530.450.53
Net GEX6.5K41913.0K11.4K11.0K
Net DEX-156.3K-275.8K-16.8K-184.0K-273.4K
Net VEX-2.0K-2.4K-1.8K-2.3K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.005.000.055.00
Total Volume239.5240690210120
Total OI8,129.0486,01010,2008,3006,130

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$2.71$3.0049.0%14.1%62.9%10.0%38.6%8.0%0.4%11.4K-184.0K-2.3K0.0597.56200105,3402,960
2020-09-02$2.74$3.0045.5%13.0%62.6%8.0%38.8%11.6%14.7%13.0K-211.0K-2.3K0.0593.98660305,4302,970
2020-09-03$2.59$2.5048.6%14.6%64.8%9.7%46.8%5.1%2.0%5.8K-54.1K-2.2K0.0383.48330105,8902,970
2020-09-04$2.57$2.5055.1%14.6%64.7%13.4%45.7%7.0%2.0%8.5K-86.8K-2.4K0.3892.662901106,1302,980
2020-09-08$2.55$2.5052.3%14.5%64.6%11.9%0.0%3.3%2.2%2.2K-16.8K-2.1K0.0091.0821006,2102,970
2020-09-09$2.63$2.5050.4%14.4%65.7%10.7%50.9%6.6%1.2%5.7K-86.0K-2.1K0.1987.305301006,3202,970
2020-09-10$2.56$2.5048.3%13.9%31.5%9.6%46.2%4.4%3.8%3.1K-68.4K-2.1K0.0095.1918006,7302,960
2020-09-11$2.56$2.2550.6%14.5%31.5%10.9%0.0%5.3%0.5%1.8K-81.5K-2.1K0.0092.9301006,8602,960
2020-09-14$2.63$2.2547.6%13.7%33.2%9.2%41.2%3.7%5.4%3.3K-166.7K-2.0K0.4289.103601506,8602,870
2020-09-15$2.62$2.2549.2%14.1%32.9%10.1%35.4%7.6%2.8%419-149.1K-2.0K0.1497.1370106,7202,980
2020-09-16$2.65$2.2547.9%13.7%33.0%9.4%39.8%0.7%4.0%2.2K-171.8K-1.9K0.0096.4744006,7102,980
2020-09-17$2.64$2.2545.0%12.9%33.0%7.7%48.5%0.9%8.8%4.4K-194.8K-2.0K3.0082.4930907,1202,980
2020-09-18$2.69$2.2546.2%13.2%33.4%8.3%38.9%4.2%5.3%7.0K-234.2K-2.0K0.0898.74600507,1203,080
2020-09-21$2.59$2.2544.1%12.6%35.6%7.2%42.8%-2.8%9.1%8.0K-162.5K-1.9K0.1794.0960103,6902,320
2020-09-22$2.60$2.2543.6%12.5%35.6%6.9%30.4%3.6%9.3%8.1K-162.8K-1.9K0.00104.164003,7102,320
2020-09-23$2.54$2.2552.4%15.0%36.4%11.9%0.0%23.2%-9.0%6.9K-143.6K-1.9K0.00102.340803,7502,320
2020-09-24$2.57$2.2541.4%11.9%35.7%5.7%0.0%29.2%18.7%7.0K-179.1K-2.0K0.00124.800103,7502,320
2020-09-25$2.59$2.2540.2%11.5%35.6%5.0%33.4%2.1%11.5%7.4K-144.6K-1.8K0.00106.7311003,7502,320
2020-09-28$2.65$2.2554.4%15.6%35.4%13.1%42.4%23.8%-4.0%9.0K-235.1K-1.8K0.00130.274003,8102,320
2020-09-29$2.68$2.2549.9%14.3%35.1%10.5%0.0%21.3%-14.4%10.7K-275.8K-1.9K0.00116.88003,8102,320
2020-09-30$2.64$2.2554.1%15.5%35.2%12.9%68.0%17.4%-5.7%11.0K-273.4K-1.8K5.00125.24201003,8102,320