SANM Options History — September 2007

In September 2007, SANM traded between $12.36 and $13.62. ATM implied volatility averaged 62.6%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 10.6% (HV 20d: 51.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 2.90.

Notable Days

  • 2007-09-27: Highest Volume — 115 contracts
  • 2007-09-28: Largest IV drop — 50.7% change
  • 2007-09-24: Highest IV Rank — 36.0%
  • 2007-09-24: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.88$12.36$13.62$13.62$12.72
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV62.6%39.5%82.2%53.7%39.5%
Expected Move18.8%11.3%23.6%15.4%11.3%
HV 20d51.9%46.1%59.6%59.6%46.1%
HV 60d50.8%48.2%51.9%48.2%50.9%
IV Rank22.9%7.6%36.0%17.0%7.6%
IV Percentile54.2%2.7%84.1%39.9%2.7%
Term Structure6.8%-15.5%34.3%19.7%28.7%
VWIV73.0%68.7%82.6%70.9%82.6%
Skew 25d-2.1%-15.8%15.6%-3.3%-9.3%
Skew 10d-10.3%-29.8%15.6%-6.7%-23.4%
Call IV 25d70.9%36.4%86.2%68.2%86.2%
Put IV 25d68.8%45.9%82.0%64.9%76.9%
Bid-Ask Spread %4.302.4312.505.084.81
Gamma HHI0.570.480.650.480.63
Net GEX-19.1K-25.8K-11.6K-11.6K-22.7K
Net DEX2.0M1.4M2.5M1.4M2.5M
Net VEX-26.0K-30.6K-23.1K-30.6K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.0027.004.000.47
Total Volume24.3680115120
Total OI10,925.73710,73911,00510,93510,886

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$13.62$15.0053.7%15.4%59.6%17.0%0.0%-3.3%19.7%-11.6K1.4M-30.6K4.005.082106,3184,617
2007-09-05$13.32$15.0061.7%17.7%51.8%22.3%0.0%-1.8%20.5%-12.4K1.6M-29.7K0.134.252026,3184,626
2007-09-06$12.78$15.0051.3%14.7%53.6%15.4%0.0%-2.2%17.7%-13.1K1.7M-28.4K0.503.90326,3164,628
2007-09-07$13.20$15.0057.1%20.2%50.8%19.3%70.9%-1.6%0.7%-15.0K1.8M-27.8K0.3012.501136,3194,628
2007-09-10$12.36$15.0062.4%20.5%55.3%22.8%0.0%-1.8%6.4%-15.7K2.0M-25.6K0.003.712506,3274,631
2007-09-11$12.54$15.0057.4%21.6%54.6%19.5%0.0%-2.0%2.3%-15.8K2.1M-25.6K1.383.76796,3284,631
2007-09-12$12.42$15.0056.5%21.2%54.1%18.9%0.0%-1.7%0.8%-17.6K2.0M-25.4K0.003.01006,3314,638
2007-09-13$12.66$15.0070.8%20.3%54.4%28.4%0.0%-3.7%-0.4%-20.0K2.3M-25.3K0.004.50206,3314,638
2007-09-14$13.02$15.0069.9%20.0%53.6%27.8%69.9%-1.4%2.7%-20.3K2.2M-25.7K0.003.343506,3324,638
2007-09-17$12.72$15.0075.4%21.6%52.9%31.5%74.8%-3.2%-0.8%-18.4K2.1M-25.6K5.754.3110586,3674,638
2007-09-18$13.02$15.0070.2%20.1%53.3%28.0%0.0%-4.3%0.3%-21.0K2.0M-25.6K0.003.90406,3674,622
2007-09-19$13.08$15.0068.6%19.7%52.6%27.0%68.7%-3.9%2.9%-20.9K2.0M-26.3K0.003.351806,3714,622
2007-09-20$12.90$15.0062.5%17.9%52.7%22.9%0.0%-15.8%-2.3%-24.4K2.2M-25.1K0.003.54106,3744,622
2007-09-21$13.08$15.0070.9%20.3%51.8%28.5%71.0%-3.7%2.1%-20.2K1.8M-26.5K0.003.35706,3744,622
2007-09-24$12.78$15.0082.2%23.6%49.2%36.0%0.0%-2.7%-11.9%-22.3K2.1M-24.8K1.792.437136,1594,580
2007-09-25$12.78$15.0041.1%11.8%47.7%8.6%0.0%9.6%34.3%-22.0K2.2M-24.1K7.944.159716,1564,586
2007-09-26$12.90$15.0057.0%16.4%46.3%19.2%0.0%15.6%21.5%-23.6K2.2M-25.0K27.003.901186,1614,654
2007-09-27$12.90$15.0080.2%23.0%46.3%34.7%82.6%-9.3%-15.5%-25.8K2.5M-23.6K0.473.9078376,1614,672
2007-09-28$12.72$15.0039.5%11.3%46.1%7.6%0.0%0.0%28.7%-22.7K2.5M-23.1K0.004.81006,1944,692