SANM Options History — August 2007

In August 2007, SANM traded between $11.58 and $16.74. ATM implied volatility averaged 64.2%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 7.1% (HV 20d: 57.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.31.

Notable Days

  • 2007-08-10: Highest Volume — 1,200 contracts
  • 2007-08-27: Largest IV spike — 83.1% change
  • 2007-08-15: Highest IV Rank — 70.0%
  • 2007-08-14: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.87$11.58$16.74$16.74$13.74
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV64.2%40.2%133.3%42.8%51.7%
Expected Move15.9%9.2%24.3%12.3%14.8%
HV 20d57.1%43.2%63.1%43.2%62.4%
HV 60d43.0%35.0%48.2%35.0%48.2%
IV Rank24.0%8.0%70.0%9.7%15.7%
IV Percentile43.3%3.1%98.1%9.7%31.7%
Term Structure9.5%-13.1%36.8%2.9%27.6%
VWIV60.1%34.5%85.5%61.1%52.8%
Skew 25d-5.5%-31.7%24.7%-17.4%24.7%
Skew 10d-8.7%-37.2%24.7%-17.4%24.7%
Call IV 25d57.9%34.5%90.3%51.4%39.4%
Put IV 25d52.5%29.4%84.6%34.1%64.0%
Bid-Ask Spread %5.192.1616.895.065.05
Gamma HHI0.530.460.680.530.48
Net GEX-17.5K-36.2K-8.2K-28.5K-11.8K
Net DEX1.9M1.2M2.8M1.2M1.4M
Net VEX-27.6K-32.9K-19.2K-32.9K-32.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0017.830.000.00
Total Volume136.21731,2005714
Total OI10,429.0878,67710,9269,63110,926

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$16.74$15.0042.8%12.3%43.2%9.7%0.0%-17.4%2.9%-28.5K1.2M-32.9K0.005.065704,9674,664
2007-08-02$16.08$15.0051.3%14.7%44.3%15.4%0.0%-20.4%-10.7%-31.1K1.4M-31.3K17.836.49122145,0114,665
2007-08-03$14.88$15.0055.5%15.9%50.6%18.2%61.1%-21.6%0.1%-35.0K2.0M-30.1K4.4716.89251125,0124,660
2007-08-06$14.10$15.0043.8%16.0%51.7%10.4%55.9%-6.1%0.3%-35.2K2.2M-27.6K1.0313.4578815,0304,644
2007-08-07$12.96$15.0042.3%9.2%57.1%9.4%34.5%-5.1%16.7%-36.2K2.8M-24.1K1.245.2437465,0964,682
2007-08-08$12.72$15.0051.6%14.2%56.3%15.6%58.7%-21.5%2.9%-31.5K2.5M-26.1K0.005.56305,1314,656
2007-08-09$12.06$15.0077.8%11.9%55.1%33.1%44.5%-6.2%21.6%-15.8K2.0M-19.2K1.245.13881105,1323,545
2007-08-10$11.70$15.0087.1%11.0%54.6%39.2%39.6%2.6%34.1%-15.9K2.1M-25.0K0.004.011,19555,2014,653
2007-08-13$12.06$15.00100.1%22.1%57.9%47.9%78.0%-1.9%6.5%-9.5K1.6M-29.0K0.082.16384296,1644,653
2007-08-14$11.82$15.00127.4%24.3%56.9%66.1%0.0%-0.7%-5.1%-10.7K1.9M-26.9K0.002.96906,2134,663
2007-08-15$11.94$15.00133.3%23.8%58.0%70.0%0.0%0.4%-9.2%-10.8K1.9M-27.1K2.384.01386,2174,663
2007-08-16$11.58$15.0074.4%21.3%56.1%30.8%0.0%-31.7%-10.8%-9.8K1.8M-27.2K0.003.99706,2204,671
2007-08-17$12.06$15.0084.0%24.1%60.5%37.2%85.5%-3.0%-6.3%-8.2K1.6M-29.1K0.004.567306,2274,671
2007-08-20$12.18$15.0068.2%19.6%61.6%26.7%78.3%-29.6%-10.8%-10.2K1.8M-28.3K0.164.1370116,2184,671
2007-08-21$11.94$15.0046.6%13.4%61.3%12.3%53.9%-14.5%18.2%-11.0K1.8M-26.8K0.083.05606,1854,677
2007-08-22$12.18$15.0043.6%12.5%63.1%10.3%0.0%9.7%28.3%-13.0K2.1M-25.8K0.034.215326,1804,677
2007-08-23$11.88$15.0040.2%11.5%56.7%8.0%0.0%-4.6%24.5%-15.0K2.2M-25.6K0.003.05306,1764,677
2007-08-24$12.54$15.0042.3%12.1%60.2%9.4%0.0%12.2%26.9%-14.6K2.1M-27.4K0.024.904216,1804,677
2007-08-27$12.96$15.0077.4%22.2%62.0%32.8%78.7%-5.3%-13.1%-14.7K1.9M-29.0K0.063.909966,1934,676
2007-08-28$12.54$15.0045.3%13.0%61.8%11.4%52.8%-15.0%7.2%-13.4K1.9M-27.6K0.143.331226,2294,677
2007-08-29$12.60$15.0047.5%13.6%61.3%12.9%0.0%16.6%36.8%-11.8K1.8M-28.9K1.323.3344586,2244,675
2007-08-30$12.84$15.0043.5%12.5%61.6%10.2%0.0%12.6%30.1%-9.7K1.5M-28.9K0.014.8113316,2234,617
2007-08-31$13.74$15.0051.7%14.8%62.4%15.7%0.0%24.7%27.6%-11.8K1.4M-32.1K0.005.051406,3094,617