SANM Options History — June 2007

In June 2007, SANM traded between $18.78 and $22.50. ATM implied volatility averaged 75.6%. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 44.9% (HV 20d: 30.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.57.

Notable Days

  • 2007-06-25: Highest Volume — 280 contracts
  • 2007-06-14: Largest IV drop — 70.4% change
  • 2007-06-01: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.67$18.78$22.50$21.30$18.78
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV75.6%46.1%155.5%72.0%63.2%
Expected Move14.7%12.5%20.6%20.6%18.1%
HV 20d30.7%27.2%34.7%27.2%30.9%
HV 60d34.9%33.3%35.4%33.3%34.7%
Term Structure-5.8%-30.9%10.5%-14.5%-24.4%
VWIV52.1%41.8%58.5%41.8%58.5%
Skew 25d-1.4%-26.4%10.9%2.1%-26.4%
Skew 10d-1.2%-24.4%13.0%2.1%-24.4%
Call IV 25d50.0%34.0%71.9%70.9%71.9%
Put IV 25d48.6%43.0%73.0%73.0%45.5%
Bid-Ask Spread %3.842.875.823.303.41
Gamma HHI0.430.420.460.420.46
Net GEX4.2K-13.5K28.3K10.7K-13.5K
Net DEX-347.7K-1.2M236.1K-758.8K236.1K
Net VEX-37.2K-42.4K-33.5K-42.4K-34.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.570.0055.000.020.00
Total Volume22.52402802044
Total OI9,393.9529,3019,4359,3819,333

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$21.30$30.0072.0%20.6%27.2%0.0%0.0%2.1%-14.5%10.7K-758.8K-42.4K0.023.302004,5094,872
2007-06-04$22.50$30.0089.8%12.5%33.6%0.0%41.8%10.9%8.7%28.3K-1.2M-39.4K0.404.001144,5294,872
2007-06-05$22.20$30.0091.7%14.1%32.6%0.0%0.0%7.4%-3.5%23.3K-1.2M-39.1K0.004.021204,5324,877
2007-06-06$21.48$30.0094.9%14.1%34.7%0.0%0.0%2.7%0.7%13.3K-697.9K-40.5K0.004.43504,5384,877
2007-06-07$21.36$30.0094.6%14.6%33.2%0.0%0.0%0.5%2.0%11.7K-684.7K-40.4K0.004.43004,5414,877
2007-06-08$21.18$30.00103.5%12.5%29.7%0.0%0.0%4.1%10.5%9.6K-586.1K-38.4K0.003.07204,5414,877
2007-06-11$21.12$30.00124.0%13.3%29.3%0.0%0.0%2.8%9.9%8.8K-483.7K-38.3K0.003.07004,5434,877
2007-06-12$20.70$30.00133.2%13.6%30.0%0.0%0.0%-1.0%4.7%4.3K-356.0K-39.3K0.003.58204,5434,872
2007-06-13$20.82$30.00155.5%13.3%29.7%0.0%0.0%0.1%9.0%5.5K-400.1K-38.6K0.003.58904,5454,872
2007-06-14$20.88$30.0046.1%13.2%29.6%0.0%0.0%2.8%2.5%5.5K-288.6K-35.8K0.003.58004,5524,872
2007-06-15$21.00$30.0050.8%14.6%29.6%0.0%0.0%0.1%-6.4%7.1K-403.4K-36.2K0.004.11004,5524,872
2007-06-18$20.82$30.0049.9%14.3%29.4%0.0%0.0%1.4%-15.2%4.9K-286.8K-35.4K0.913.95654,5524,872
2007-06-19$20.76$30.0051.7%14.8%29.3%0.0%0.0%-0.1%-16.3%4.2K-266.6K-36.6K0.003.29004,5584,877
2007-06-20$20.16$30.0049.5%14.2%30.8%0.0%56.2%-2.9%10.5%-3.6K-29.0K-35.4K0.173.63204,5584,877
2007-06-21$20.46$30.0051.9%14.9%30.6%0.0%0.0%0.9%-17.0%240-144.7K-36.2K0.004.55804,5584,876
2007-06-22$20.34$30.0048.2%13.8%30.4%0.0%0.0%3.7%-15.5%-3.4K-25.2K-35.7K0.025.821804,5584,803
2007-06-25$19.80$30.0059.3%17.0%31.8%0.0%0.0%-9.7%-30.9%-4.9K-10.1K-36.8K55.004.9752754,5774,803
2007-06-26$19.50$30.0052.7%15.1%30.9%0.0%58.5%-8.7%-19.6%-9.0K193.7K-33.9K0.603.961484,5774,724
2007-06-27$19.56$30.0053.0%15.2%30.9%0.0%0.0%-7.3%-20.0%-7.0K44.9K-35.1K0.002.87004,5904,724
2007-06-28$19.32$30.0051.3%14.7%29.8%0.0%0.0%-11.7%3.3%-8.1K31.5K-33.5K0.012.962304,5904,724
2007-06-29$18.78$30.0063.2%18.1%30.9%0.0%0.0%-26.4%-24.4%-13.5K236.1K-34.7K0.003.414404,6094,724