SANM Options History — May 2007

In May 2007, SANM traded between $20.82 and $21.90. ATM implied volatility averaged 64.6%. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 27.4% (HV 20d: 37.2%). Max pain ranged from $15.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.32.

Notable Days

  • 2007-05-08: Highest Volume — 86 contracts
  • 2007-05-10: Largest IV drop — 46.2% change
  • 2007-05-02: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.32$20.82$21.90$21.06$21.42
Max Pain$27.95$15.00$30.00$15.00$30.00
ATM IV64.6%49.5%93.0%62.0%65.5%
Expected Move16.7%13.5%22.1%17.8%18.8%
HV 20d37.2%27.2%46.2%45.1%27.2%
HV 60d35.4%33.4%36.7%34.8%33.6%
Term Structure-20.4%-33.8%-8.1%-12.1%-16.0%
VWIV40.3%40.3%40.3%40.3%40.3%
Skew 25d2.3%-12.5%12.0%5.4%12.0%
Skew 10d3.8%-12.5%12.0%5.0%12.0%
Call IV 25d53.5%40.6%83.4%60.1%59.5%
Put IV 25d55.9%43.5%72.2%65.5%71.5%
Bid-Ask Spread %3.892.954.523.604.50
Gamma HHI0.430.420.480.430.43
Net GEX9.5K3.4K16.7K5.3K12.9K
Net DEX-592.1K-887.4K-235.0K-424.0K-584.4K
Net VEX-39.4K-42.9K-10.1K-40.7K-35.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.0038.620.000.00
Total Volume27.45508680
Total OI8,932.0911,7179,3819,1549,381

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$21.06$15.0062.0%17.8%45.1%0.0%0.0%5.4%-12.1%5.3K-424.0K-40.7K0.003.60804,2794,875
2007-05-02$21.66$15.0077.1%22.1%46.2%0.0%0.0%-12.5%-33.8%12.6K-660.3K-41.4K0.004.054104,2834,875
2007-05-03$21.54$15.0073.2%21.0%44.8%0.0%0.0%-1.9%-31.5%11.7K-725.9K-42.1K1.833.9520374,3244,875
2007-05-04$21.60$30.0073.9%14.0%44.5%0.0%40.3%2.9%-15.1%13.1K-887.4K-40.8K2.364.0514334,3384,876
2007-05-07$21.06$30.0087.4%13.5%40.1%0.0%0.0%1.2%-15.2%6.2K-395.1K-41.1K0.003.943404,3434,897
2007-05-08$21.30$30.0085.2%14.3%40.3%0.0%0.0%1.6%-16.4%9.0K-682.5K-42.0K0.252.9569174,3494,897
2007-05-09$21.90$30.0093.0%15.2%41.1%0.0%0.0%4.2%-17.6%16.7K-808.1K-40.5K0.533.1423124,3834,914
2007-05-10$21.00$30.0050.0%14.4%43.4%0.0%0.0%0.2%-16.9%6.1K-431.4K-41.2K0.034.005024,4054,918
2007-05-11$21.30$30.0052.1%14.9%43.5%0.0%0.0%2.1%-17.9%9.0K-613.1K-41.2K0.004.49004,4054,919
2007-05-14$21.42$30.0052.6%15.1%40.7%0.0%0.0%4.1%-18.5%6.4K-405.4K-10.1K0.004.52701,144573
2007-05-15$21.12$30.0052.1%14.9%39.6%0.0%0.0%2.8%-18.6%7.5K-613.8K-42.9K0.003.941004,4004,919
2007-05-16$21.30$30.0049.5%14.2%37.8%0.0%0.0%7.1%-17.5%9.1K-675.8K-41.7K38.623.942844,3914,919
2007-05-17$21.36$30.0056.3%16.1%37.7%0.0%0.0%2.7%-21.0%9.8K-668.7K-42.7K0.003.20004,3904,884
2007-05-18$21.60$30.0052.6%15.1%35.2%0.0%0.0%8.6%-8.7%13.0K-747.3K-41.7K0.223.95104,3904,884
2007-05-21$21.72$30.0061.0%17.5%35.4%0.0%0.0%5.7%-24.2%14.6K-794.6K-41.7K0.004.47504,3894,885
2007-05-22$21.60$30.0064.4%18.5%35.2%0.0%0.0%2.8%-26.6%13.3K-727.8K-41.4K0.134.47204,3904,885
2007-05-23$21.12$30.0060.4%17.3%28.1%0.0%0.0%2.8%-24.9%7.7K-520.2K-40.1K0.004.23014,3904,885
2007-05-24$20.88$30.0058.9%16.9%28.4%0.0%0.0%-0.5%-8.1%4.9K-465.4K-41.5K0.003.60304,3904,884
2007-05-25$20.82$30.0061.4%17.6%28.3%0.0%0.0%-0.5%-26.4%3.4K-235.0K-36.8K0.003.957504,3934,869
2007-05-29$21.24$30.0067.1%19.2%28.5%0.0%0.0%-1.5%-30.6%9.7K-527.3K-39.4K0.073.084834,4684,869
2007-05-30$21.00$30.0065.7%18.8%28.2%0.0%0.0%2.3%-30.2%7.4K-431.9K-40.0K0.003.60304,5074,872
2007-05-31$21.42$30.0065.5%18.8%27.2%0.0%0.0%12.0%-16.0%12.9K-584.4K-35.3K0.004.50004,5094,872