SANM Options History — June 2008

In June 2008, SANM traded between $7.50 and $9.42. ATM implied volatility averaged 67.7%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 32.9% (HV 20d: 34.8%). 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 20 of 21 days. Put/call ratio averaged 9.54.

Notable Days

  • 2008-06-25: Highest Volume — 25 contracts
  • 2008-06-23: Largest IV spike — 69.0% change
  • 2008-06-26: Highest IV Rank — 30.2%
  • 2008-06-26: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.99$7.50$9.42$9.24$7.68
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV67.7%41.0%80.1%76.5%67.4%
Expected Move19.4%11.8%23.0%21.9%19.3%
HV 20d34.8%25.9%52.9%27.6%52.7%
HV 60d52.1%40.7%62.0%61.4%42.4%
IV Rank21.6%3.1%30.2%27.7%21.4%
IV Percentile46.8%2.0%82.1%73.4%36.1%
Term Structure7.2%-1.7%17.2%7.2%-1.7%
VWIV67.2%43.4%79.3%77.0%66.7%
Bid-Ask Spread %24.809.7833.4124.689.78
Gamma HHI0.400.330.540.330.43
Net GEX2.1K1.7K2.8K2.8K1.7K
Net DEX76.2K-21.3K176.7K-21.3K94.9K
Net VEX-4.5K-5.4K-3.4K-5.4K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.540.00140.000.002.18
Total Volume5.52402520
Total OI3,397.193,3643,4223,3973,364

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$9.24$15.0076.5%21.9%27.6%27.7%77.0%0.0%7.2%2.8K-21.3K-5.4K0.0024.68202,800597
2008-06-03$9.30$15.0072.7%20.9%27.6%25.1%0.0%0.0%4.2%2.6K3.3K-5.3K0.0025.55002,802597
2008-06-04$9.30$15.0076.7%22.0%26.6%27.8%0.0%0.0%2.9%2.8K-19.6K-5.4K0.0024.68002,802597
2008-06-05$9.42$15.0074.3%21.3%27.1%26.2%0.0%0.0%3.5%2.7K1.3K-5.2K0.0024.86002,802597
2008-06-06$9.30$15.0069.2%19.8%25.9%22.6%0.0%0.0%8.3%2.3K33.1K-4.9K0.0020.72002,802597
2008-06-09$8.82$15.0057.1%16.4%31.9%14.3%0.0%0.0%17.2%1.9K63.7K-4.4K0.0033.33202,802597
2008-06-10$9.12$15.0073.3%21.0%34.3%25.5%0.0%0.0%5.7%2.3K39.0K-4.8K0.0016.84002,800597
2008-06-11$9.06$15.0072.3%20.7%34.4%24.8%0.0%0.0%6.5%2.3K42.2K-4.8K0.0016.22202,800597
2008-06-12$9.00$15.0066.1%18.9%32.9%20.5%0.0%0.0%12.7%1.8K69.6K-4.3K0.0015.82002,799597
2008-06-13$9.30$15.0065.8%18.9%34.5%20.3%0.0%0.0%11.7%1.9K72.1K-4.6K0.0017.09002,799597
2008-06-16$9.42$15.0070.7%20.3%34.9%23.7%0.0%0.0%6.3%2.2K87.6K-4.6K0.9817.09882,799597
2008-06-17$9.42$15.0070.0%20.1%34.3%23.2%0.0%0.0%7.4%2.2K93.6K-4.7K0.0015.931002,799596
2008-06-18$9.24$15.0055.1%15.8%34.9%12.9%66.8%0.0%10.3%1.9K140.4K-4.2K0.0032.09002,799596
2008-06-19$9.24$15.0055.2%15.8%34.8%13.0%43.4%0.0%9.6%1.9K139.5K-4.2K0.0032.09052,799596
2008-06-20$9.30$15.0041.0%11.8%34.9%3.1%0.0%0.0%15.0%1.8K138.7K-4.2K0.0032.09002,799593
2008-06-23$9.12$15.0069.3%19.9%34.9%22.7%0.0%0.0%6.8%1.9K140.5K-4.2K0.0032.341202,799593
2008-06-24$9.00$15.0065.9%18.9%34.6%20.4%0.0%0.0%2.9%1.7K176.7K-3.8K0.0033.411302,799593
2008-06-25$8.94$15.0069.9%20.0%33.1%23.1%69.9%0.0%5.2%2.0K129.2K-4.2K0.0032.742502,805593
2008-06-26$8.16$15.0080.1%23.0%45.5%30.2%79.3%0.0%4.5%1.9K104.2K-3.9K140.0031.890232,829593
2008-06-27$7.50$15.0072.8%20.9%52.9%25.1%66.7%0.0%4.1%1.9K71.2K-3.8K2.1831.64242,829593
2008-06-30$7.68$15.0067.4%19.3%52.7%21.4%0.0%0.0%-1.7%1.7K94.9K-3.4K0.009.78002,831533