SMCI Options History — December 2020

In December 2020, SMCI traded between $2.89 and $3.17. ATM implied volatility averaged 42.4%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 10.0% (HV 20d: 32.4%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2020-12-17: Highest Volume — 580 contracts
  • 2020-12-31: Largest IV spike — 10.2% change
  • 2020-12-31: Highest IV Rank — 11.6%
  • 2020-12-31: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.02$2.89$3.17$2.89$3.17
Max Pain$2.95$2.50$3.00$2.50$3.00
ATM IV42.4%40.5%47.4%41.2%47.4%
Expected Move12.0%11.2%13.6%11.8%13.6%
HV 20d32.4%22.6%72.2%72.2%25.0%
HV 60d50.6%49.8%51.3%51.2%50.3%
IV Rank8.9%7.8%11.6%8.2%11.6%
IV Percentile10.8%3.2%31.0%4.4%31.0%
Term Structure3.6%-3.1%7.3%0.6%2.1%
VWIV40.9%34.0%46.7%41.3%36.9%
Skew 25d6.5%-4.0%21.6%10.7%21.6%
Skew 10d11.1%-5.4%85.3%14.1%85.3%
Call IV 25d42.5%33.9%51.6%42.2%33.9%
Put IV 25d49.0%43.8%55.5%52.9%55.5%
Bid-Ask Spread %91.0679.26104.4390.95104.43
Gamma HHI0.370.270.520.390.27
Net GEX13.0K10.2K20.9K10.7K12.3K
Net DEX-415.1K-539.7K-302.6K-360.8K-438.0K
Net VEX-1.6K-2.0K-1.4K-1.5K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.006.000.500.00
Total Volume159.0910580180400
Total OI4,844.5454,1605,5204,1605,010

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$2.89$2.5041.2%11.8%72.2%8.2%41.3%10.7%0.6%10.7K-360.8K-1.5K0.5090.95120602,9201,240
2020-12-02$2.94$2.5044.0%12.6%72.2%9.8%44.0%7.1%-3.1%11.3K-404.0K-1.6K0.0093.477003,0001,300
2020-12-03$2.96$3.0044.0%12.4%27.1%9.7%0.0%8.3%0.4%11.8K-429.1K-1.6K0.0081.233003,0101,300
2020-12-04$3.07$3.0041.5%11.6%29.5%8.4%38.9%8.8%5.2%12.9K-500.9K-1.5K0.3279.26250803,0401,300
2020-12-07$3.10$3.0043.7%11.2%28.8%9.6%37.7%10.4%7.3%13.0K-528.7K-1.5K0.0083.0656003,1401,380
2020-12-08$3.09$3.0045.8%11.8%28.9%10.7%41.5%3.4%4.2%14.8K-539.7K-1.6K1.3883.49801103,5701,380
2020-12-09$3.04$3.0041.6%11.9%29.8%8.4%40.1%5.8%3.3%12.8K-471.6K-1.6K0.0088.1019003,5301,480
2020-12-10$3.05$3.0041.0%11.8%29.6%8.1%0.0%8.3%3.8%13.5K-473.4K-1.6K6.0089.5610603,6101,480
2020-12-11$3.00$3.0041.1%11.8%30.5%8.2%0.0%7.6%4.0%13.1K-427.5K-1.6K0.0087.621003,6101,540
2020-12-14$2.94$3.0041.3%11.9%28.2%8.3%46.2%3.9%3.7%13.0K-380.2K-1.5K1.0088.7630303,6201,540
2020-12-15$3.00$3.0040.5%11.6%29.1%7.8%0.0%-3.3%6.3%14.7K-427.1K-1.5K0.0087.581003,6401,540
2020-12-16$3.00$3.0041.2%11.8%29.1%8.2%0.0%7.5%4.5%15.5K-430.1K-1.5K0.0091.993003,6301,540
2020-12-17$3.00$3.0040.8%11.7%29.1%8.0%0.0%6.3%4.2%18.7K-431.9K-1.4K0.0097.3258003,6301,540
2020-12-18$3.04$3.0040.9%11.7%29.4%8.1%41.4%10.3%2.0%20.9K-512.3K-1.6K0.0594.83200103,9801,540
2020-12-21$2.98$3.0042.2%12.1%30.2%8.8%42.2%3.9%1.4%10.6K-314.8K-1.7K0.3388.5030103,1601,350
2020-12-22$2.98$3.0042.0%12.0%29.5%8.6%0.0%0.2%5.4%10.2K-302.6K-1.7K0.0093.86003,1901,350
2020-12-23$3.04$3.0041.0%11.7%29.9%8.1%0.0%-4.0%5.0%10.7K-343.7K-1.6K0.9593.982202103,1801,350
2020-12-24$3.05$3.0041.6%11.9%29.9%8.4%34.0%12.4%5.7%11.0K-355.3K-2.0K0.3390.8460203,3901,550
2020-12-28$3.06$3.0043.7%12.5%29.5%9.6%46.7%5.0%3.8%11.4K-362.4K-1.8K0.0095.163003,4401,560
2020-12-29$3.06$3.0044.2%12.7%23.0%9.9%0.0%5.1%4.9%11.3K-347.3K-1.8K0.0099.72003,4501,560
2020-12-30$3.06$3.0043.0%12.3%22.6%9.2%0.0%3.3%5.6%11.5K-349.9K-1.8K0.0099.59003,4501,560
2020-12-31$3.17$3.0047.4%13.6%25.0%11.6%36.9%21.6%2.1%12.3K-438.0K-1.9K0.00104.4340003,4501,560