SANM Options History — January 2009

In January 2009, SANM traded between $1.92 and $3.00. ATM implied volatility averaged 135.8%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 37.0%. IV traded above realized volatility by 32.9% (HV 20d: 102.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 20 trading days. Put/call ratio averaged 0.00.

Notable Days

  • 2009-01-15: Highest Volume — 10 contracts
  • 2009-01-20: Largest IV spike — 30.3% change
  • 2009-01-12: Highest IV Rank — 77.0%
  • 2009-01-12: Largest Expected Move — 51.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.42$1.92$3.00$3.00$1.98
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV135.8%104.2%178.9%149.8%116.6%
Expected Move37.0%29.9%51.3%51.3%33.4%
HV 20d102.9%88.0%111.0%106.5%104.8%
HV 60d176.7%174.1%178.7%178.5%175.5%
IV Rank52.9%35.3%77.0%60.7%42.2%
IV Percentile78.9%69.0%93.3%84.1%72.2%
Bid-Ask Spread %46.618.2292.0711.6757.54
Gamma HHI1.001.001.001.001.00
Net GEX00000
Net DEX48.4K6.6K139.3K139.3K6.8K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.301000
Total OI2,206.556483,6463,646648

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$3.00$15.00149.8%0.0%106.5%60.7%0.0%0.0%0.0%0139.3K00.0011.67003,182464
2009-01-05$2.76$15.00142.2%0.0%108.5%56.5%0.0%0.0%0.0%0128.1K00.0034.29003,182464
2009-01-06$2.88$15.00151.3%0.0%109.7%61.5%0.0%0.0%0.0%0133.7K00.008.22003,182464
2009-01-07$2.82$15.00178.6%0.0%108.8%76.8%0.0%0.0%0.0%0130.9K00.0044.73003,182464
2009-01-08$3.00$15.00128.4%0.0%111.0%48.8%0.0%0.0%0.0%065.0K00.009.87003,182217
2009-01-09$2.88$15.00157.9%0.0%108.0%65.2%0.0%0.0%0.0%059.0K00.0048.16003,182205
2009-01-12$2.70$15.00178.9%51.3%109.5%77.0%0.0%0.0%0.0%055.3K00.0084.42003,182205
2009-01-13$2.52$15.00177.7%50.9%107.1%76.3%0.0%0.0%0.0%051.6K00.0084.04003,182205
2009-01-14$2.28$15.00174.8%50.1%103.1%74.7%0.0%0.0%0.0%046.7K00.0059.71003,182205
2009-01-15$2.28$15.00130.7%37.5%95.0%50.1%0.0%0.0%0.0%046.7K00.0092.071003,182205
2009-01-16$2.28$15.00113.9%32.7%95.0%40.7%0.0%0.0%0.0%046.7K00.0067.41003,176205
2009-01-20$2.34$15.00148.4%42.5%91.7%59.9%0.0%0.0%0.0%08.0K00.0072.113061434
2009-01-21$2.28$15.00104.2%29.9%88.0%35.3%0.0%0.0%0.0%07.8K00.0085.600061434
2009-01-22$1.92$15.00105.0%30.1%98.3%35.7%0.0%0.0%0.0%06.6K00.009.858061434
2009-01-23$1.98$15.00115.3%33.1%99.8%41.5%0.0%0.0%0.0%06.8K00.0012.535061434
2009-01-26$2.10$15.00115.3%33.1%102.7%41.5%0.0%0.0%0.0%07.2K00.009.390061434
2009-01-27$2.04$15.00105.8%30.3%102.7%36.2%0.0%0.0%0.0%07.0K00.0058.100061434
2009-01-28$2.22$15.00105.4%30.2%105.3%36.0%0.0%0.0%0.0%07.6K00.0025.720061434
2009-01-29$2.16$15.00115.7%33.2%101.7%41.7%0.0%0.0%0.0%07.4K00.0056.680061434
2009-01-30$1.98$15.00116.6%33.4%104.8%42.2%0.0%0.0%0.0%06.8K00.0057.540061434