SANM Options History — October 2008

In October 2008, SANM traded between $3.84 and $8.34. ATM implied volatility averaged 160.7%, placing in the 70.4% IV rank vs the trailing year. The 30-day expected move averaged 46.1%. IV traded above realized volatility by 0.3% (HV 20d: 160.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.07.

Notable Days

  • 2008-10-07: Highest Volume — 138 contracts
  • 2008-10-09: Largest IV spike — 41.6% change
  • 2008-10-09: Highest IV Rank — 100.0%
  • 2008-10-09: Largest Expected Move — 63.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.63$3.84$8.34$7.98$4.50
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV160.7%111.0%220.2%111.0%140.5%
Expected Move46.1%31.8%63.1%31.8%40.3%
HV 20d160.4%123.2%175.3%133.0%169.8%
HV 60d125.2%106.6%132.9%107.5%132.9%
IV Rank70.4%45.7%100.0%50.1%55.5%
IV Percentile96.8%90.9%100.0%94.0%92.1%
Term Structure-44.2%-106.2%45.4%-24.6%10.0%
VWIV132.1%131.2%133.0%131.2%133.0%
Bid-Ask Spread %47.078.3279.4861.4711.65
Gamma HHI0.690.650.770.660.73
Net GEX9355931.6K1.4K759
Net DEX149.8K90.0K248.9K218.6K125.1K
Net VEX-1.5K-2.1K-1.1K-2.1K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.670.000.00
Total Volume15.91301381078
Total OI3,770.3043,7353,8173,7413,759

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$7.98$15.00111.0%31.8%133.0%50.1%131.2%0.0%-24.6%1.4K218.6K-2.1K0.0061.471003,181560
2008-10-02$8.10$15.00115.0%33.0%127.2%52.9%0.0%0.0%-27.0%1.5K242.7K-2.1K0.0062.90103,181560
2008-10-03$8.34$15.00111.4%31.9%124.4%50.3%0.0%0.0%-30.8%1.6K248.9K-2.1K0.0077.06003,182560
2008-10-06$8.10$15.00119.0%34.1%123.2%55.8%133.0%0.0%-29.4%1.5K245.2K-2.1K0.0079.483703,182560
2008-10-07$5.64$15.00161.8%46.4%171.4%86.4%0.0%0.0%-85.5%983221.4K-1.2K0.2348.70112263,175560
2008-10-08$6.00$15.00155.5%44.6%173.0%81.9%0.0%0.0%-63.8%1.0K204.9K-1.5K0.0076.66303,246569
2008-10-09$6.06$15.00220.2%63.1%171.2%100.0%0.0%0.0%-76.0%785177.7K-1.4K0.0079.452003,248569
2008-10-10$6.12$15.00167.5%48.0%172.0%70.6%0.0%0.0%-57.3%1.1K168.6K-1.7K0.2076.53823,246569
2008-10-13$6.54$15.00136.5%39.1%174.9%53.3%0.0%0.0%-32.9%1.1K151.3K-1.9K0.0638.063923,250567
2008-10-14$6.36$15.00149.7%42.9%174.7%60.7%0.0%0.0%-47.3%1.1K158.9K-1.8K0.0044.29203,213566
2008-10-15$5.34$15.00171.8%49.2%175.3%73.0%0.0%0.0%-53.3%779114.6K-1.6K0.0075.45103,215566
2008-10-16$5.64$15.00164.8%47.2%174.7%69.1%0.0%0.0%-58.1%906136.0K-1.7K0.0073.74003,215566
2008-10-17$5.10$15.00208.1%59.7%171.9%93.3%0.0%0.0%-50.7%68493.3K-1.5K0.0042.65103,215560
2008-10-20$5.40$15.00162.9%46.7%166.7%68.1%0.0%0.0%-54.5%806136.5K-1.5K0.0066.15003,215560
2008-10-21$5.10$15.00177.7%51.0%166.2%76.3%0.0%0.0%-105.7%99695.5K-1.4K0.6736.26223,215560
2008-10-22$4.74$15.00200.1%57.4%166.6%88.8%0.0%0.0%-77.7%667100.3K-1.3K0.0037.04003,216560
2008-10-23$4.38$15.00207.0%59.3%167.4%92.6%0.0%0.0%-106.2%710110.5K-1.3K0.0037.00003,216560
2008-10-24$4.20$15.00200.2%57.4%160.0%88.8%0.0%0.0%-59.9%637103.4K-1.2K0.0013.81003,216560
2008-10-27$3.96$15.00203.0%58.2%155.7%90.4%0.0%0.0%-68.4%59391.5K-1.1K0.009.18203,216527
2008-10-28$4.08$15.00122.9%35.2%157.3%45.7%0.0%0.0%45.4%641106.3K-1.1K0.008.321103,218527
2008-10-29$3.90$15.00144.6%41.4%157.3%57.8%0.0%0.0%27.5%59590.0K-1.1K0.0014.78703,225527
2008-10-30$3.84$15.00144.8%41.5%156.3%57.9%0.0%0.0%10.8%613105.0K-1.1K0.0011.92003,232527
2008-10-31$4.50$15.00140.5%40.3%169.8%55.5%0.0%0.0%10.0%759125.1K-1.2K0.0011.657803,232527