SANM Options History — December 2008

In December 2008, SANM traded between $2.64 and $3.42. ATM implied volatility averaged 165.7%, placing in the 69.6% IV rank vs the trailing year. The 30-day expected move averaged 52.5%. IV traded below realized volatility by 61.0% (HV 20d: 226.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2008-12-02: Highest Volume — 18 contracts
  • 2008-12-09: Largest IV spike — 52.7% change
  • 2008-12-17: Highest IV Rank — 85.6%
  • 2008-12-17: Largest Expected Move — 55.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.97$2.64$3.42$2.82$2.82
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV165.7%103.7%194.4%174.5%155.0%
Expected Move52.5%50.0%55.7%50.0%55.7%
HV 20d226.6%104.4%270.1%269.8%104.4%
HV 60d192.8%190.8%195.1%194.3%191.8%
IV Rank69.6%35.0%85.6%74.5%63.6%
IV Percentile90.8%74.2%97.2%96.0%85.7%
Term Structure-40.0%-93.6%24.1%22.4%-93.6%
Bid-Ask Spread %35.055.7782.0915.536.87
Gamma HHI0.950.681.001.001.00
Net GEX79047700
Net DEX136.2K62.2K164.1K137.1K130.9K
Net VEX-118-789000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.004.290.770.00
Total Volume1.818018160
Total OI3,674.0913,6463,6843,6743,646

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$2.82$15.00174.5%50.0%269.8%74.5%0.0%0.0%22.4%0137.1K00.7715.53973,188486
2008-12-02$2.70$15.00181.1%51.9%269.9%78.2%0.0%0.0%24.1%0132.3K04.2920.423153,188490
2008-12-03$2.70$15.00180.5%0.0%267.9%77.9%0.0%0.0%0.0%0134.2K00.0059.77003,187497
2008-12-04$2.88$15.00188.8%0.0%269.4%82.5%0.0%0.0%0.0%38462.2K-7890.0018.67003,187497
2008-12-05$2.88$15.00191.5%0.0%269.4%84.0%0.0%0.0%0.0%0143.2K00.0016.72003,187497
2008-12-08$3.00$15.00119.2%0.0%269.8%43.6%0.0%0.0%0.0%0149.2K00.0017.46003,187497
2008-12-09$3.06$15.00182.0%52.2%268.3%78.7%0.0%0.0%-47.3%0152.1K00.0012.62203,187497
2008-12-10$3.30$15.00103.7%0.0%270.1%35.0%0.0%0.0%0.0%0164.1K00.0010.83203,184497
2008-12-11$3.18$15.00137.4%0.0%269.1%53.8%0.0%0.0%0.0%431116.9K-5930.0073.22003,182497
2008-12-12$3.42$15.00176.1%50.5%269.4%75.4%0.0%0.0%-54.8%477126.2K-6220.0062.01003,182497
2008-12-15$3.00$15.00132.5%0.0%258.5%51.1%0.0%0.0%0.0%0149.2K00.0081.57023,182497
2008-12-16$3.30$15.00191.3%54.9%260.6%83.9%0.0%0.0%-90.7%0164.1K00.0073.97003,182497
2008-12-17$3.30$15.00194.4%55.7%260.0%85.6%0.0%0.0%-93.6%451122.1K-5900.0082.09003,182497
2008-12-18$3.00$15.00162.6%0.0%242.5%67.8%0.0%0.0%0.0%0149.2K00.0075.21003,182497
2008-12-19$2.76$15.00182.9%0.0%218.2%79.2%0.0%0.0%0.0%0137.2K00.0078.93003,182497
2008-12-22$3.00$15.00153.6%0.0%205.8%62.8%0.0%0.0%0.0%0149.2K00.0015.96003,182497
2008-12-23$2.88$15.00171.8%0.0%166.8%73.0%0.0%0.0%0.0%0143.2K00.0020.35003,182497
2008-12-24$2.94$15.00152.3%0.0%166.9%62.1%0.0%0.0%0.0%0139.8K00.005.77003,182476
2008-12-26$2.88$15.00170.4%0.0%154.3%72.2%0.0%0.0%0.0%0137.0K00.007.27003,182476
2008-12-29$2.64$15.00167.1%0.0%149.3%70.3%0.0%0.0%0.0%0125.6K00.007.73003,182476
2008-12-30$2.82$15.00176.7%0.0%105.7%75.7%0.0%0.0%0.0%0130.9K00.008.09003,182464
2008-12-31$2.82$15.00155.0%0.0%104.4%63.6%0.0%0.0%0.0%0130.9K00.006.87003,182464