SANM Options History — November 2008

In November 2008, SANM traded between $1.62 and $4.62. ATM implied volatility averaged 144.8%, placing in the 57.9% IV rank vs the trailing year. The 30-day expected move averaged 41.8%. IV traded below realized volatility by 13.5% (HV 20d: 158.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.34.

Notable Days

  • 2008-11-19: Highest Volume — 74 contracts
  • 2008-11-24: Largest IV spike — 134.5% change
  • 2008-11-20: Highest IV Rank — 90.8%
  • 2008-11-19: Largest Expected Move — 53.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.41$1.62$4.62$4.32$3.84
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV144.8%68.5%203.6%132.2%165.4%
Expected Move41.8%33.2%53.7%37.9%47.4%
HV 20d158.2%106.5%254.9%169.8%254.9%
HV 60d149.7%132.3%186.1%132.3%186.1%
IV Rank57.9%15.4%90.8%50.9%69.4%
IV Percentile88.9%28.6%98.8%90.9%94.8%
Term Structure9.1%-114.4%59.1%-1.1%-3.8%
Bid-Ask Spread %12.135.6835.669.0414.47
Gamma HHI0.880.671.001.001.00
Net GEX190078500
Net DEX140.5K75.1K230.7K227.5K186.7K
Net VEX-345-1.3K000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.0018.750.000.00
Total Volume6.26307404
Total OI3,728.8423,6753,7653,7583,675

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$4.32$15.00132.2%37.9%169.8%50.9%0.0%0.0%-1.1%0227.5K00.009.04003,231527
2008-11-04$4.62$15.00126.3%36.2%120.1%47.6%0.0%0.0%20.3%785119.0K-1.3K0.008.15003,231527
2008-11-05$4.32$15.00133.9%38.4%118.6%51.9%0.0%0.0%55.4%59075.1K-1.2K0.009.51003,231527
2008-11-06$4.26$15.00144.5%41.4%118.2%57.8%0.0%0.0%1.8%0224.4K00.009.39703,231527
2008-11-07$4.38$15.00124.1%35.6%118.9%46.4%0.0%0.0%23.2%0230.7K00.008.53003,238527
2008-11-10$3.96$15.00115.8%33.2%118.2%41.8%0.0%0.0%16.5%0204.6K00.008.83203,226517
2008-11-11$3.90$15.00118.2%33.9%118.3%43.1%0.0%0.0%30.9%642108.5K-1.0K0.007.46003,229517
2008-11-12$3.60$15.00153.4%44.0%106.5%62.7%0.0%0.0%56.3%52477.0K-1.1K0.0010.73003,229517
2008-11-13$3.84$15.00145.3%41.7%107.4%58.2%0.0%0.0%41.6%60797.8K-1.1K0.009.91003,229517
2008-11-14$3.00$15.00144.0%41.3%131.9%57.5%0.0%0.0%21.5%45979.0K-8500.0010.431703,229517
2008-11-17$2.94$15.00164.0%47.0%128.2%68.6%0.0%0.0%11.0%0151.9K00.007.49003,229517
2008-11-18$2.82$15.00154.4%44.3%127.9%63.3%0.0%0.0%-2.2%0145.7K00.007.10003,229517
2008-11-19$2.16$15.00187.3%53.7%152.7%81.7%0.0%0.0%-114.4%0111.6K00.005.687403,229517
2008-11-20$1.62$15.00203.6%0.0%176.0%90.8%0.0%0.0%0.0%083.7K018.7510.551123,190517
2008-11-21$2.04$15.0068.5%0.0%202.2%15.4%0.0%0.0%0.0%099.1K00.0012.45003,190486
2008-11-24$2.88$15.00160.6%46.1%242.9%66.8%0.0%0.0%-103.5%0140.0K00.0035.66003,190486
2008-11-25$2.88$15.00162.2%46.5%242.4%67.6%0.0%0.0%59.1%0140.0K00.0024.29003,190486
2008-11-26$3.42$15.00146.6%42.0%251.2%58.9%0.0%0.0%42.9%0166.3K00.0020.86203,190486
2008-11-28$3.84$15.00165.4%47.4%254.9%69.4%0.0%0.0%-3.8%0186.7K00.0014.47403,189486