SANM Options History — May 2008

In May 2008, SANM traded between $9.00 and $9.78. ATM implied volatility averaged 71.1%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 34.4% (HV 20d: 36.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2008-05-12: Highest Volume — 21 contracts
  • 2008-05-30: Largest IV drop — 12.1% change
  • 2008-05-09: Highest IV Rank — 28.1%
  • 2008-05-09: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.45$9.00$9.78$9.42$9.00
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV71.1%66.4%77.0%69.1%66.8%
Expected Move20.4%19.0%22.1%19.8%19.2%
HV 20d36.7%24.6%45.6%45.6%25.7%
HV 60d66.5%62.1%74.1%74.1%62.1%
IV Rank24.0%20.7%28.1%22.6%21.0%
IV Percentile55.3%36.9%74.6%47.2%36.9%
Term Structure8.5%1.5%14.7%14.7%8.5%
VWIV72.4%64.9%77.1%64.9%70.8%
Bid-Ask Spread %23.1715.1526.4324.9617.33
Gamma HHI0.340.330.370.330.37
Net GEX2.7K1.9K3.2K2.7K1.9K
Net DEX-7.9K-73.7K74.9K-15.7K74.9K
Net VEX-5.5K-6.1K-4.5K-5.7K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.006.676.670.00
Total Volume1.57102100
Total OI3,390.193,3793,3963,3793,396

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$9.42$15.0069.1%19.8%45.6%22.6%0.0%0.0%14.7%2.7K-15.7K-5.7K0.0024.96002,789590
2008-05-02$9.42$15.0068.5%19.6%43.4%22.1%0.0%0.0%13.4%2.6K-11.1K-5.5K0.0024.96002,789590
2008-05-05$9.48$15.0068.9%19.7%43.4%22.4%0.0%0.0%14.2%2.5K-1.6K-5.5K0.0024.26002,789590
2008-05-06$9.66$15.0066.4%19.0%43.8%20.7%64.9%0.0%11.6%2.5K9.9K-5.5K6.6725.19032,789590
2008-05-07$9.60$15.0070.5%20.2%43.6%23.6%0.0%0.0%7.3%2.7K3.4K-5.5K0.0026.06002,790594
2008-05-08$9.36$15.0076.7%22.0%42.0%27.8%77.1%0.0%3.9%3.2K-72.7K-6.0K0.0015.67202,790594
2008-05-09$9.30$15.0077.0%22.1%41.2%28.1%76.7%0.0%7.9%3.1K-73.7K-6.1K2.8615.15132,790594
2008-05-12$9.36$15.0069.6%20.0%40.3%22.9%70.8%0.0%14.4%2.6K-11.2K-5.5K0.0024.532102,790597
2008-05-13$9.36$15.0069.8%20.0%39.3%23.0%0.0%0.0%12.9%2.6K-16.8K-5.5K0.0023.76002,799597
2008-05-14$9.60$15.0070.0%20.1%39.2%23.2%0.0%0.0%11.0%2.7K-13.4K-5.6K0.0024.96002,799597
2008-05-15$9.78$15.0068.0%19.5%39.5%21.8%0.0%0.0%10.6%2.6K5.6K-5.4K0.0025.19002,796597
2008-05-16$9.72$15.0072.1%20.7%39.3%24.6%0.0%0.0%7.5%3.0K-45.5K-6.0K0.0016.52002,796597
2008-05-19$9.54$15.0070.8%20.3%38.6%23.7%0.0%0.0%5.4%2.7K2.0K-5.5K0.0025.40302,796597
2008-05-20$9.54$15.0070.9%20.3%36.9%23.8%0.0%0.0%6.6%2.7K1.5K-5.5K0.0024.96002,799597
2008-05-21$9.60$15.0071.0%20.3%34.5%23.9%0.0%0.0%5.0%2.7K1.5K-5.5K0.0026.43002,799597
2008-05-22$9.54$15.0071.2%20.4%27.8%24.0%0.0%0.0%6.3%2.7K-4.8K-5.5K0.0023.76002,799597
2008-05-23$9.36$15.0072.4%20.8%27.1%24.9%0.0%0.0%4.4%2.8K-11.0K-5.5K0.0025.37002,799597
2008-05-27$9.18$15.0075.6%21.7%26.7%27.1%0.0%0.0%4.2%2.7K-19.6K-5.4K0.0024.02002,799597
2008-05-28$9.42$15.0072.2%20.7%28.4%24.7%0.0%0.0%6.5%2.7K-12.2K-5.5K0.0023.76002,799597
2008-05-29$9.24$15.0076.0%21.8%24.6%27.4%0.0%0.0%1.5%2.6K43.8K-5.0K0.0024.36002,799597
2008-05-30$9.00$15.0066.8%19.2%25.7%21.0%0.0%0.0%8.5%1.9K74.9K-4.5K0.0017.33002,799597