SANM Options History — July 2007

In July 2007, SANM traded between $16.20 and $19.68. ATM implied volatility averaged 51.0%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 21.2% (HV 20d: 29.9%). Max pain ranged from $15.00 to $30.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2007-07-12: Highest Volume — 1,659 contracts
  • 2007-07-12: Largest IV drop — 41.1% change
  • 2007-07-09: Highest IV Rank — 29.6%
  • 2007-07-05: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.79$16.20$19.68$19.44$16.50
Max Pain$17.14$15.00$30.00$30.00$15.00
ATM IV51.0%36.5%72.6%54.1%36.5%
Expected Move13.0%10.1%18.3%15.5%10.5%
HV 20d29.9%24.7%45.5%26.0%43.0%
HV 60d32.1%27.9%35.4%35.4%35.1%
IV Rank14.9%5.6%29.6%23.8%5.6%
IV Percentile24.4%0.7%68.8%56.3%0.7%
Term Structure0.6%-29.6%19.6%-11.8%12.2%
VWIV59.0%40.9%75.9%54.3%54.8%
Skew 25d-16.5%-111.4%0.1%-4.8%-11.4%
Skew 10d-23.0%-136.6%-6.6%-11.5%-11.4%
Call IV 25d64.0%42.2%156.4%65.7%42.2%
Put IV 25d47.5%30.8%79.5%60.9%30.8%
Bid-Ask Spread %4.392.968.154.096.04
Gamma HHI0.450.410.540.450.53
Net GEX-12.2K-31.4K2.7K-8.3K-28.7K
Net DEX172.6K-358.4K1.3M105.7K1.2M
Net VEX-34.7K-39.8K-31.7K-35.3K-32.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0018.000.480.83
Total Volume18201,6594018
Total OI9,566.7629,36310,0479,3689,622

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$19.44$30.0054.1%15.5%26.0%0.0%0.0%-4.8%-11.8%-8.3K105.7K-35.3K0.484.0927134,6524,716
2007-07-03$19.68$30.0059.0%16.9%26.8%0.0%0.0%-4.8%-24.7%-9.3K124.4K-31.7K0.425.3555234,6554,708
2007-07-05$19.20$30.0063.8%18.3%25.8%23.8%0.0%-13.6%-29.6%-9.5K65.4K-33.1K0.004.91004,7174,726
2007-07-06$19.02$15.0069.0%15.1%25.9%27.2%0.0%-18.3%-15.1%-11.9K140.6K-31.7K0.003.77404,7194,725
2007-07-09$19.26$15.0072.6%11.2%26.6%29.6%0.0%-6.1%16.6%-11.9K105.2K-33.7K0.004.09004,7204,725
2007-07-10$19.08$15.0070.3%10.5%26.7%28.1%0.0%-5.0%19.6%-13.3K122.2K-33.4K0.004.17204,7204,725
2007-07-11$19.20$15.0070.4%10.1%26.4%28.2%0.0%-9.0%14.9%-9.9K19.4K-32.3K0.003.354004,7194,725
2007-07-12$19.62$15.0041.5%11.9%27.7%8.9%0.0%-3.7%-12.8%-4.1K-159.9K-34.5K0.004.331,65364,7204,725
2007-07-13$19.56$15.0042.9%12.3%27.6%9.8%0.0%-5.2%0.7%2.7K-358.4K-35.7K0.004.051,18255,1424,722
2007-07-16$19.32$15.0042.5%12.2%27.6%9.5%0.0%-8.9%15.4%-3.7K-303.3K-38.3K0.012.967215,3254,722
2007-07-17$19.44$15.0041.3%11.8%27.7%8.7%54.3%-5.7%14.3%-5.2K-291.2K-39.8K0.433.0323105,1564,723
2007-07-18$19.26$15.0038.1%10.9%27.8%6.6%0.0%-49.9%12.1%-7.5K-129.1K-38.9K18.003.354755,1074,733
2007-07-19$19.56$15.0040.3%11.5%26.9%8.1%0.0%0.1%12.1%-7.5K-236.5K-36.5K0.163.33514,9544,733
2007-07-20$19.50$15.0042.3%12.1%26.2%9.4%0.0%-4.4%12.7%-7.8K-216.2K-36.6K0.073.38704,9544,733
2007-07-23$19.26$15.0049.0%14.0%26.4%13.9%0.0%-8.4%-20.1%-9.8K-127.3K-34.6K0.084.653834,8494,571
2007-07-24$19.14$15.0045.1%12.9%24.9%11.3%75.9%-5.4%-9.1%-10.2K28.6K-38.0K3.594.173104,8864,571
2007-07-25$18.90$15.0050.0%14.3%24.7%14.5%0.0%-12.4%10.6%-10.3K-108.6K-34.2K10.564.176634,8554,570
2007-07-26$17.16$15.0042.9%12.3%41.7%9.8%40.9%-111.4%14.4%-28.1K1.0M-33.3K0.178.15211374,8554,603
2007-07-27$16.20$15.0052.7%15.1%45.5%16.3%68.9%-43.7%-20.1%-31.4K1.3M-32.5K2.906.2331904,9564,591
2007-07-30$16.32$15.0047.7%13.7%45.2%13.0%54.8%-14.3%0.0%-29.7K1.3M-31.7K3.664.5522824,9734,599
2007-07-31$16.50$15.0036.5%10.5%43.0%5.6%0.0%-11.4%12.2%-28.7K1.2M-32.4K0.836.041084,9584,664