SANM Options History — November 2007

In November 2007, SANM traded between $10.44 and $13.92. ATM implied volatility averaged 70.8%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 18.8% (HV 20d: 52.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.59.

Notable Days

  • 2007-11-23: Highest Volume — 160 contracts
  • 2007-11-30: Largest IV spike — 74.4% change
  • 2007-11-26: Highest IV Rank — 43.2%
  • 2007-11-26: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.87$10.44$13.92$13.44$10.62
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV70.8%41.4%93.1%68.3%77.4%
Expected Move20.3%11.9%26.7%19.6%22.2%
HV 20d52.0%46.9%58.2%49.1%54.0%
HV 60d46.8%45.1%48.6%46.6%47.8%
IV Rank28.4%8.8%43.2%26.7%32.8%
IV Percentile64.5%5.4%91.6%63.3%77.0%
Term Structure-2.3%-27.1%31.8%-4.5%-18.0%
VWIV72.4%41.3%94.0%68.3%94.0%
Bid-Ask Spread %12.785.4033.5217.287.70
Gamma HHI0.660.380.740.690.68
Net GEX-21.2K-33.9K3.0K-30.6K-17.9K
Net DEX2.8M1.7M4.4M2.1M2.9M
Net VEX-18.0K-26.0K-6.7K-24.2K-15.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.0035.002.220.00
Total Volume33.61901602490
Total OI10,954.47610,87710,99010,98810,877

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$13.44$15.0068.3%19.6%49.1%26.7%68.3%0.0%-4.5%-30.6K2.1M-24.2K2.2217.287176,2674,721
2007-11-02$13.50$15.0072.3%20.7%49.1%29.4%72.3%0.0%-6.8%-27.5K1.8M-25.0K0.679.88116,2654,721
2007-11-05$13.92$15.0065.1%18.7%50.0%24.6%65.1%0.0%2.7%-33.9K1.7M-26.0K0.0014.111206,2664,714
2007-11-06$13.26$15.0069.4%19.9%53.4%27.4%69.4%0.0%-3.8%-30.2K2.3M-23.4K0.0014.53206,2694,714
2007-11-07$12.84$15.0073.0%20.9%54.6%29.8%0.0%0.0%-5.1%-26.9K2.1M-23.4K0.0011.12106,2694,714
2007-11-08$12.96$15.0071.5%20.5%53.0%28.9%71.5%0.0%-2.7%-28.0K2.5M-22.2K0.2123.952046,2704,714
2007-11-09$12.42$15.0072.4%20.7%52.2%29.4%72.2%0.0%-2.1%-25.6K2.7M-21.5K6.8017.237516,2804,710
2007-11-12$12.00$15.0076.8%22.0%51.8%32.4%76.7%0.0%-4.1%-24.2K2.6M-20.6K35.0014.751296,2774,700
2007-11-13$12.42$15.0079.5%22.8%53.8%34.2%79.5%0.0%-8.6%-23.9K2.4M-21.3K2.0823.4210216,2764,680
2007-11-14$12.12$15.0074.7%21.4%52.4%31.0%74.4%0.0%-11.4%-25.7K2.7M-19.4K2.0016.779186,2844,663
2007-11-15$11.88$15.0076.0%21.8%50.3%31.9%76.8%0.0%-8.7%-22.6K3.0M-17.6K0.0833.524946,2834,648
2007-11-16$11.34$15.0055.9%16.0%49.0%18.5%50.1%0.0%-5.9%-23.7K3.1M-15.9K1.786.62476,2584,648
2007-11-19$11.16$15.0077.4%22.2%48.7%32.8%76.8%0.0%-7.9%-20.5K3.1M-15.5K3.415.8113456,2554,648
2007-11-20$10.98$15.0068.8%19.7%46.9%27.1%57.6%0.0%22.6%-17.6K3.0M-15.5K0.147.701626,2634,689
2007-11-21$10.44$15.0041.4%11.9%49.0%8.8%41.3%0.0%26.5%3.0K4.4M-6.7K0.037.705426,2574,687
2007-11-23$11.04$15.0066.4%19.0%53.7%25.5%0.0%0.0%31.8%-17.4K2.9M-15.2K0.009.2616006,2934,685
2007-11-26$10.56$15.0093.1%26.7%55.2%43.2%93.6%0.0%-27.1%-17.0K3.1M-13.8K0.015.401506,2794,685
2007-11-27$11.04$15.0090.8%26.0%58.2%41.8%91.8%0.0%-21.2%-17.7K3.2M-14.8K0.007.70206,2814,685
2007-11-28$10.98$15.0071.4%20.5%52.6%28.8%0.0%0.0%-17.8%-19.8K3.1M-14.5K0.008.62006,2794,685
2007-11-29$10.44$15.0044.4%12.7%53.8%10.8%0.0%0.0%23.9%2.9K4.4M-6.8K0.005.403206,2004,685
2007-11-30$10.62$15.0077.4%22.2%54.0%32.8%94.0%0.0%-18.0%-17.9K2.9M-15.3K0.007.709006,1924,685