SANM Options History — March 2007

In March 2007, SANM traded between $21.00 and $22.80. ATM implied volatility averaged 80.0%. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 47.0% (HV 20d: 33.0%). Max pain ranged from $15.00 to $30.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2007-03-30: Highest Volume — 271 contracts
  • 2007-03-22: Largest IV spike — 88.1% change
  • 2007-03-02: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.05$21.00$22.80$22.14$21.72
Max Pain$28.64$15.00$30.00$15.00$30.00
ATM IV80.0%41.3%178.3%76.8%66.4%
Expected Move16.1%9.6%22.6%22.0%19.0%
HV 20d33.0%24.7%36.1%30.1%24.7%
HV 60d29.3%28.3%30.9%30.9%28.4%
Term Structure-16.8%-57.7%7.7%-36.8%-25.3%
VWIV61.9%40.4%98.7%44.6%90.1%
Skew 25d5.4%-9.7%11.9%-1.8%7.0%
Skew 10d9.2%-9.7%14.6%-1.9%9.9%
Call IV 25d47.6%34.8%83.5%77.7%55.7%
Put IV 25d52.9%40.7%75.8%75.8%62.7%
Bid-Ask Spread %3.201.913.993.583.95
Gamma HHI0.430.420.440.420.43
Net GEX7.5K-7.7K17.7K7.7K3.2K
Net DEX-870.2K-1.3M-272.1K-853.6K-673.6K
Net VEX-45.2K-48.4K-40.4K-46.0K-41.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.005.965.390.00
Total Volume45.7730271267271
Total OI10,477.77310,16810,56010,16810,560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$22.14$15.0076.8%22.0%30.1%0.0%0.0%-1.8%-36.8%7.7K-853.6K-46.0K5.393.58422254,5375,631
2007-03-02$21.42$15.0078.7%22.6%32.5%0.0%0.0%-9.7%-39.8%-3.0K-477.5K-46.2K0.003.95004,5775,848
2007-03-05$21.00$30.0078.4%12.7%33.1%0.0%0.0%0.8%7.7%-7.7K-272.1K-45.8K0.003.55004,5785,837
2007-03-06$21.30$30.0085.2%13.1%33.3%0.0%0.0%2.3%7.5%-4.0K-421.7K-46.0K0.003.55404,5785,836
2007-03-07$21.72$30.0092.6%13.1%33.8%0.0%0.0%3.0%6.2%1.7K-654.2K-44.3K0.003.14004,5785,836
2007-03-08$21.96$30.0099.5%12.0%33.1%0.0%0.0%8.5%-5.7%3.8K-818.0K-46.2K5.962.199574,5785,836
2007-03-09$22.80$30.0075.6%9.6%35.6%0.0%44.6%10.6%7.6%12.1K-993.4K-47.2K0.003.184304,5875,848
2007-03-12$22.62$30.00102.3%10.6%35.8%0.0%40.4%9.1%6.6%14.2K-1.0M-46.0K0.462.651674,6165,848
2007-03-13$22.32$30.00164.3%14.8%36.1%0.0%0.0%5.4%-28.5%13.0K-1.1M-44.6K0.003.13404,6325,848
2007-03-14$22.44$30.00178.3%14.4%35.3%0.0%0.0%11.8%2.0%13.6K-1.3M-45.6K0.003.131104,6365,848
2007-03-15$22.32$30.0053.1%15.2%35.4%0.0%0.0%8.0%-22.5%12.7K-1.0M-44.7K0.003.55004,6475,858
2007-03-16$22.44$30.0051.6%14.8%35.2%0.0%51.3%11.9%7.3%9.9K-1.1M-48.4K0.002.23704,6475,848
2007-03-19$22.44$30.0054.0%15.5%35.1%0.0%53.8%8.6%-16.2%10.2K-1.1M-47.6K0.003.5821104,6455,848
2007-03-20$22.14$30.0053.7%15.4%35.4%0.0%0.0%7.3%-16.4%8.5K-950.1K-46.1K0.333.11524,6955,848
2007-03-21$22.56$30.0041.3%11.8%35.8%0.0%64.7%8.5%-10.9%17.7K-1.1M-42.9K0.003.103804,6975,850
2007-03-22$22.38$30.0077.6%22.3%35.9%0.0%98.7%2.2%-57.7%17.3K-1.2M-48.4K0.401.91424,6795,850
2007-03-23$22.20$30.0055.1%15.8%35.5%0.0%53.5%9.1%-17.6%11.1K-973.7K-43.9K0.003.11804,6825,852
2007-03-26$22.14$30.0059.8%17.1%35.4%0.0%59.9%10.3%-9.7%7.3K-903.6K-45.6K0.003.99704,6905,852
2007-03-27$22.14$30.0076.4%21.9%25.5%0.0%0.0%4.7%-51.9%12.8K-996.1K-46.0K0.003.51404,6925,852
2007-03-28$21.54$30.0074.6%21.4%26.6%0.0%90.1%-2.0%-51.6%5.3K-636.6K-40.4K0.003.061904,6965,852
2007-03-29$21.36$30.0064.5%18.5%26.7%0.0%0.0%2.7%-24.4%-1.5K-507.6K-41.6K0.003.201104,7065,852
2007-03-30$21.72$30.0066.4%19.0%24.7%0.0%0.0%7.0%-25.3%3.2K-673.6K-41.7K0.003.9527104,7085,852