SANM Options History — April 2009

In April 2009, SANM traded between $1.98 and $3.36. ATM implied volatility averaged 141.9%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 40.7%. IV traded above realized volatility by 6.8% (HV 20d: 135.1%). Max pain ranged from $15.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Put/call ratio averaged 0.00.

Notable Days

  • 2009-04-20: Highest Volume — 9 contracts
  • 2009-04-07: Largest IV drop — 100.0% change
  • 2009-04-24: Highest IV Rank — 75.3%
  • 2009-04-24: Largest Expected Move — 50.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.69$1.98$3.36$1.98$3.36
Max Pain$17.14$15.00$30.00$15.00$15.00
ATM IV141.9%71.1%175.8%105.7%139.9%
Expected Move40.7%20.4%50.4%30.3%40.1%
HV 20d135.1%120.9%155.2%133.6%142.1%
HV 60d119.8%112.3%127.3%112.3%126.8%
IV Rank56.3%16.8%75.3%36.1%55.2%
IV Percentile72.4%28.7%91.1%52.6%70.3%
Bid-Ask Spread %111.6964.81192.00192.00112.31
Net GEX00000
Net DEX7.1K09.8K6.1K9.8K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.190900
Total OI571.667128679540671

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$1.98$15.000.0%0.0%133.6%0.0%0.0%0.0%0.0%06.1K00.00192.000050931
2009-04-02$2.16$30.000.0%0.0%121.9%0.0%0.0%0.0%0.0%0000.0064.81001280
2009-04-03$2.10$30.000.0%0.0%123.2%0.0%0.0%0.0%0.0%0000.0064.81001280
2009-04-06$2.10$15.00105.7%30.3%123.2%36.1%0.0%0.0%0.0%06.5K00.00107.210063731
2009-04-07$2.10$30.000.0%0.0%120.9%0.0%0.0%0.0%0.0%0000.0064.81001280
2009-04-08$2.58$15.00168.3%48.3%134.0%71.1%0.0%0.0%0.0%08.0K00.00107.211063731
2009-04-09$2.88$15.00149.8%42.9%127.0%60.7%0.0%0.0%0.0%08.9K00.00109.242063831
2009-04-13$2.70$15.00159.6%45.8%129.1%66.2%0.0%0.0%0.0%08.3K00.00109.248063931
2009-04-14$2.58$15.00165.9%47.6%131.8%69.7%0.0%0.0%0.0%08.0K00.00108.550064831
2009-04-15$2.64$15.000.0%0.0%131.5%0.0%0.0%0.0%0.0%08.1K00.00192.000052031
2009-04-16$2.88$15.0071.1%20.4%133.1%16.8%0.0%0.0%0.0%08.4K00.0085.713059329
2009-04-17$3.00$15.000.0%0.0%132.6%0.0%0.0%0.0%0.0%08.8K00.00192.000050529
2009-04-20$2.94$15.00149.7%42.9%132.9%60.7%0.0%0.0%0.0%08.6K00.00109.249063129
2009-04-21$2.88$15.00153.8%44.1%131.0%62.9%0.0%0.0%0.0%08.4K00.00109.240064029
2009-04-22$3.30$15.00140.1%40.2%136.8%55.3%0.0%0.0%0.0%09.6K00.00110.620064029
2009-04-23$2.76$15.0091.9%26.4%155.2%28.4%0.0%0.0%0.0%08.1K00.00109.240064029
2009-04-24$2.52$15.00175.8%50.4%155.1%75.3%0.0%0.0%0.0%07.3K00.00108.552064029
2009-04-27$2.64$15.00164.1%47.0%154.7%68.7%0.0%0.0%0.0%07.7K00.0069.290064229
2009-04-28$3.00$15.00152.9%43.8%143.7%62.5%0.0%0.0%0.0%08.8K00.00109.240064229
2009-04-29$3.30$15.00140.2%40.2%144.2%55.4%0.0%0.0%0.0%09.6K00.00110.180064229
2009-04-30$3.36$15.00139.9%40.1%142.1%55.2%0.0%0.0%0.0%09.8K00.00112.310064229