SANM Options History — August 2008

In August 2008, SANM traded between $10.38 and $14.10. ATM implied volatility averaged 63.9%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 8.5% (HV 20d: 72.4%). 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 7 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2008-08-28: Highest Volume — 103 contracts
  • 2008-08-05: Largest IV spike — 16.2% change
  • 2008-08-19: Highest IV Rank — 22.1%
  • 2008-08-19: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.51$10.38$14.10$10.38$14.10
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV63.9%54.7%70.7%56.9%58.0%
Expected Move18.3%15.7%20.3%16.3%16.6%
HV 20d72.4%52.9%93.4%93.4%60.9%
HV 60d69.2%65.9%73.4%65.9%73.4%
IV Rank17.3%10.8%22.1%12.3%13.1%
IV Percentile24.5%10.3%50.4%13.5%12.3%
Term Structure-2.0%-9.6%6.2%3.2%2.5%
VWIV65.9%56.5%73.0%67.9%58.0%
Bid-Ask Spread %19.9412.7630.0720.3626.72
Gamma HHI0.510.410.640.570.48
Net GEX5.4K3.2K8.6K3.2K6.2K
Net DEX-226.6K-579.5K19.8K19.8K-411.4K
Net VEX-6.8K-8.2K-5.2K-5.2K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.990.000.00
Total Volume19.714010314
Total OI3,616.0953,5443,6993,5443,640

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$10.38$15.0056.9%16.3%93.4%12.3%67.9%0.0%3.2%3.2K19.8K-5.2K0.0020.36102,994550
2008-08-04$10.68$15.0054.7%15.7%93.3%10.8%63.1%0.0%4.5%3.2K4.7K-5.2K0.9926.1213132,995550
2008-08-05$11.10$15.0063.6%18.2%92.8%17.0%66.7%0.0%-0.1%3.6K6.1K-5.5K0.0030.07503,007555
2008-08-06$11.76$15.0063.0%18.1%87.7%16.6%63.3%0.0%0.8%4.3K-93.6K-6.1K0.0017.41403,011555
2008-08-07$12.24$15.0069.0%19.8%86.3%20.8%69.1%0.0%-8.4%5.3K-177.9K-6.8K0.0016.92503,014555
2008-08-08$12.84$15.0067.9%19.5%86.2%20.1%73.0%0.0%-5.3%5.7K-262.7K-7.3K0.0020.024903,014555
2008-08-11$13.08$15.0066.8%19.2%77.4%19.3%72.7%0.0%-5.4%6.3K-325.7K-7.5K0.0014.674603,028555
2008-08-12$13.02$15.0064.7%18.6%77.3%17.8%66.0%0.0%-5.4%6.1K-270.8K-7.2K0.0120.611903,045555
2008-08-13$13.32$15.0062.9%18.0%73.1%16.5%69.7%0.0%3.0%5.7K-303.6K-7.3K0.0318.222613,038555
2008-08-14$13.38$15.0063.0%18.1%68.7%16.6%63.0%0.0%-2.7%6.0K-283.1K-7.4K0.0017.27013,057556
2008-08-15$13.32$15.0065.7%18.8%65.9%18.5%65.7%0.0%-6.3%6.4K-344.5K-7.7K0.0012.76303,057557
2008-08-18$12.90$15.0066.0%18.9%68.5%18.7%66.0%0.0%-2.1%5.9K-319.3K-7.3K0.0019.23603,058557
2008-08-19$11.88$15.0070.7%20.3%77.1%22.1%70.7%0.0%-9.6%5.0K-159.1K-6.4K0.0718.662423,052557
2008-08-20$12.24$15.0066.9%19.2%74.7%19.4%0.0%0.0%-3.7%5.1K-179.1K-6.6K0.0019.83003,066559
2008-08-21$12.54$15.0063.2%18.1%52.9%16.8%63.2%0.0%-5.4%5.4K-170.8K-6.7K0.0320.245523,066559
2008-08-22$12.00$15.0067.4%19.3%54.3%19.8%67.7%0.0%-6.5%5.3K-179.1K-6.5K0.2723.671853,120559
2008-08-25$12.36$15.0064.3%18.4%54.5%17.6%0.0%0.0%2.7%5.3K-250.0K-6.6K0.0019.32703,138555
2008-08-26$12.24$15.0066.4%19.0%54.1%19.0%66.5%0.0%6.2%5.2K-247.3K-6.6K0.0022.02203,141555
2008-08-27$13.14$15.0056.5%16.2%58.5%12.0%56.5%0.0%-1.2%6.1K-232.5K-6.9K0.0021.16003,144555
2008-08-28$14.10$15.0064.7%18.5%62.2%17.8%64.1%0.0%-3.2%8.6K-579.5K-8.2K0.0013.4110303,144555
2008-08-29$14.10$15.0058.0%16.6%60.9%13.1%58.0%0.0%2.5%6.2K-411.4K-7.5K0.0026.72403,085555