SANM Options History — October 2007

In October 2007, SANM traded between $12.66 and $14.64. ATM implied volatility averaged 72.3%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 34.8% (HV 20d: 37.6%). 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 11 of 23 days. Put/call ratio averaged 4.75.

Notable Days

  • 2007-10-19: Highest Volume — 538 contracts
  • 2007-10-19: Largest IV spike — 122.5% change
  • 2007-10-19: Highest IV Rank — 84.7%
  • 2007-10-30: Largest Expected Move — 25.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.31$12.66$14.64$13.14$13.26
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV72.3%41.7%155.4%43.6%66.8%
Expected Move19.2%12.0%25.2%12.5%19.1%
HV 20d37.6%26.6%49.8%40.5%49.8%
HV 60d51.5%46.7%54.5%51.5%46.7%
IV Rank29.4%9.0%84.7%10.3%25.7%
IV Percentile61.1%6.9%98.5%12.8%61.7%
Term Structure4.9%-22.5%31.4%30.6%3.4%
VWIV77.2%66.8%87.8%68.9%66.8%
Bid-Ask Spread %9.442.6017.735.0414.53
Gamma HHI0.600.550.680.640.68
Net GEX-23.4K-31.2K-17.9K-27.0K-30.5K
Net DEX2.0M1.5M2.5M2.3M2.2M
Net VEX-25.6K-28.8K-23.5K-23.9K-25.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.750.0066.900.000.00
Total Volume59.52225381989
Total OI10,976.39110,79211,12210,86910,930

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$13.14$15.0043.6%12.5%40.5%10.3%0.0%0.0%30.6%-27.0K2.3M-23.9K0.005.041906,1774,692
2007-10-02$13.08$15.0044.2%12.7%40.5%10.7%0.0%0.0%31.4%-25.2K2.4M-23.9K0.004.38206,1864,692
2007-10-03$12.96$15.0041.7%12.0%39.9%9.0%0.0%0.0%29.1%-22.6K2.4M-23.7K0.004.76506,1874,685
2007-10-04$12.66$15.0049.7%14.2%37.9%14.3%0.0%0.0%28.7%-20.7K2.3M-23.5K66.905.0832236,1904,685
2007-10-05$12.78$15.0043.6%12.5%36.1%10.3%0.0%0.0%26.9%-22.9K2.4M-24.8K10.002.60026,1914,881
2007-10-08$12.84$15.0060.0%17.2%27.1%21.2%0.0%0.0%23.2%-24.6K2.4M-24.3K0.004.34406,1914,881
2007-10-09$12.84$15.0052.3%15.0%26.6%16.1%0.0%0.0%21.2%-22.4K2.5M-24.4K0.002.791706,1954,881
2007-10-10$12.72$15.0063.8%18.3%26.6%23.7%0.0%0.0%17.1%-21.5K2.4M-24.2K0.003.90306,2114,881
2007-10-11$13.20$15.0060.9%17.5%28.9%21.8%68.9%0.0%18.0%-28.3K2.4M-25.0K0.653.77326,2154,881
2007-10-12$13.80$15.0061.2%17.5%31.3%22.0%0.0%0.0%27.9%-29.0K1.9M-27.5K0.006.351106,2174,881
2007-10-15$14.16$15.0085.1%20.9%30.7%37.9%73.0%0.0%-9.0%-29.3K1.8M-27.7K0.0013.64306,2254,881
2007-10-16$14.22$15.00114.0%21.7%30.0%57.2%75.8%0.0%-9.2%-27.2K1.5M-28.8K4.439.2019836,2284,881
2007-10-17$14.64$15.0072.7%21.0%31.2%29.7%73.4%0.0%-11.5%-31.2K1.6M-28.1K3.3513.4419646,2404,862
2007-10-18$13.92$15.0069.8%21.4%36.5%27.8%74.6%0.0%-10.1%-22.8K1.8M-27.3K0.5312.701686,2434,867
2007-10-19$13.14$15.00155.4%22.2%42.3%84.7%73.6%0.0%-6.4%-21.3K2.1M-26.1K0.0717.73505336,2474,875
2007-10-22$13.26$15.0078.5%22.5%41.4%33.6%78.5%0.0%-6.4%-19.1K1.6M-26.3K1.7517.297126,4294,625
2007-10-23$13.62$15.0081.8%23.4%42.4%35.7%81.8%0.0%-15.7%-19.0K1.7M-26.3K0.0011.84906,1644,628
2007-10-24$13.38$15.0081.9%23.5%42.9%35.8%81.9%0.0%-13.0%-19.1K1.8M-26.2K0.0614.682926,1714,628
2007-10-25$12.90$15.0081.7%23.4%45.1%35.7%81.7%0.0%-12.7%-19.1K1.9M-24.8K0.0011.451306,2004,629
2007-10-26$12.84$15.0082.4%23.6%44.8%36.1%0.0%0.0%-12.6%-18.8K1.9M-25.0K0.0012.33806,2014,629
2007-10-29$12.96$15.0085.1%24.4%43.3%37.9%85.1%0.0%-14.6%-17.9K1.6M-25.9K0.0015.54206,2074,629
2007-10-30$13.74$15.0087.8%25.2%48.1%39.7%87.8%0.0%-22.5%-18.3K1.8M-25.9K21.499.7171476,2094,629
2007-10-31$13.26$15.0066.8%19.1%49.8%25.7%66.8%0.0%3.4%-30.5K2.2M-25.3K0.0014.538906,2094,721