SANM Options History — April 2007

In April 2007, SANM traded between $20.70 and $22.98. ATM implied volatility averaged 61.1%. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 25.5% (HV 20d: 35.6%). Max pain ranged from $15.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 6.90.

Notable Days

  • 2007-04-09: Highest Volume — 3,226 contracts
  • 2007-04-12: Largest IV drop — 55.2% change
  • 2007-04-03: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.90$20.70$22.98$22.20$20.70
Max Pain$26.25$15.00$30.00$30.00$15.00
ATM IV61.1%37.3%99.9%68.6%68.5%
Expected Move15.7%10.7%22.3%19.7%19.6%
HV 20d35.6%24.5%46.6%24.5%45.4%
HV 60d31.7%28.1%34.7%28.5%34.7%
Term Structure-15.2%-29.1%8.4%-26.9%-29.0%
VWIV65.1%55.1%85.5%85.5%58.2%
Skew 25d-14.3%-99.1%10.4%-89.7%-2.8%
Skew 10d-18.3%-115.8%17.7%-108.2%-0.9%
Call IV 25d73.7%36.6%169.3%159.7%64.8%
Put IV 25d59.4%44.5%96.2%69.9%62.0%
Bid-Ask Spread %3.762.654.873.993.29
Gamma HHI0.420.410.430.430.43
Net GEX10.2K98927.4K8.9K1.6K
Net DEX-829.4K-1.7M-242.5K-995.3K-242.5K
Net VEX-42.7K-47.0K-40.0K-40.4K-40.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.900.0064.7164.710.07
Total Volume228.3553,2261865
Total OI9,906.458,98210,75410,5329,148

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$22.20$30.0068.6%19.7%24.5%0.0%0.0%-89.7%-26.9%8.9K-995.3K-40.4K64.713.9931834,6805,852
2007-04-03$21.90$30.0077.8%22.3%24.8%0.0%85.5%-99.1%6.4%2.4K-788.1K-44.6K2.463.9934834,6805,829
2007-04-04$22.56$30.0052.6%15.1%26.0%0.0%68.6%-90.9%-20.6%9.8K-1.2M-46.0K0.002.6517304,7135,908
2007-04-05$22.86$30.0054.8%15.7%26.1%0.0%0.0%8.8%-21.1%16.6K-1.0M-41.1K0.003.189704,7865,908
2007-04-09$21.54$15.0084.7%14.7%30.9%0.0%56.7%1.6%-23.8%989-548.2K-47.0K44.334.05713,1554,8465,908
2007-04-10$21.66$30.0087.9%12.5%31.0%0.0%0.0%7.5%8.4%11.1K-806.6K-41.9K4.273.0618784,8535,096
2007-04-11$21.30$30.0099.9%14.5%31.2%0.0%55.1%1.6%-2.3%5.4K-633.7K-45.3K0.003.954904,8725,174
2007-04-12$21.66$30.0044.7%12.8%31.8%0.0%0.0%7.6%8.1%10.1K-737.1K-41.8K12.503.58184,9055,174
2007-04-13$21.36$30.0051.2%14.7%32.1%0.0%0.0%2.8%-6.2%6.7K-534.4K-43.1K0.003.250144,9055,183
2007-04-16$22.26$30.0057.4%16.5%35.5%0.0%61.3%6.9%-28.2%17.9K-1.0M-41.0K0.804.0214114,9055,183
2007-04-17$21.60$30.0049.9%14.3%37.1%0.0%0.0%6.2%-14.9%9.2K-714.8K-41.9K0.003.581504,9085,194
2007-04-18$22.32$30.0058.2%16.7%38.7%0.0%0.0%10.4%-29.1%15.1K-1.5M-44.6K1.394.8720284,9085,119
2007-04-19$22.14$30.0055.5%15.9%38.2%0.0%0.0%9.8%-18.8%13.4K-1.2M-44.0K0.003.994304,9115,130
2007-04-20$22.98$30.0037.3%10.7%40.4%0.0%0.0%10.2%-12.0%27.4K-1.7M-42.8K0.003.138304,8935,130
2007-04-23$22.92$30.0044.0%12.6%40.3%0.0%0.0%-41.1%-12.7%15.6K-870.9K-41.1K0.034.017324,1024,880
2007-04-24$22.62$30.0046.5%13.3%40.6%0.0%69.9%-47.1%-13.7%13.5K-767.4K-42.6K0.244.50134334,1364,882
2007-04-25$21.24$15.0057.9%16.6%46.6%0.0%58.2%6.0%-20.6%6.1K-461.8K-42.7K0.264.5070184,2104,904
2007-04-26$21.18$15.0060.5%17.4%45.6%0.0%0.0%4.4%-22.3%6.5K-422.5K-40.0K0.013.124604,2524,894
2007-04-27$21.06$15.0064.3%18.4%45.5%0.0%0.0%0.8%-24.9%5.5K-455.8K-41.9K0.004.50504,2744,894
2007-04-30$20.70$15.0068.5%19.6%45.4%0.0%0.0%-2.8%-29.0%1.6K-242.5K-40.8K0.073.29504,2744,874