SANM Options History — May 2009

In May 2009, SANM traded between $3.36 and $4.14. ATM implied volatility averaged 104.2%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 29.9%. IV traded below realized volatility by 15.8% (HV 20d: 120.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 20 trading days. Put/call ratio averaged 0.14.

Notable Days

  • 2009-05-14: Highest Volume — 33 contracts
  • 2009-05-05: Largest IV spike — 48.6% change
  • 2009-05-13: Highest IV Rank — 61.8%
  • 2009-05-13: Largest Expected Move — 43.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.63$3.36$4.14$3.36$4.14
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV104.2%60.6%151.8%83.1%60.6%
Expected Move29.9%17.4%43.5%23.8%17.4%
HV 20d120.0%86.9%140.6%140.6%102.5%
HV 60d124.3%121.6%126.2%126.0%125.5%
IV Rank35.3%11.0%61.8%23.5%11.0%
IV Percentile46.6%4.9%76.8%37.4%4.9%
Bid-Ask Spread %130.74104.07146.47110.89118.75
Net GEX00000
Net DEX10.8K9.8K12.8K9.8K12.8K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.000.001.00
Total Volume403370
Total OI707.45671730671730

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$3.36$15.0083.1%23.8%140.6%23.5%0.0%0.0%0.0%09.8K00.00110.897064229
2009-05-04$3.42$15.0091.7%26.3%139.3%28.3%0.0%0.0%0.0%010.0K00.00110.895064929
2009-05-05$3.60$15.00136.2%39.1%139.3%53.2%0.0%0.0%0.0%010.5K00.00110.890065429
2009-05-06$3.78$15.00136.6%39.2%139.2%53.4%0.0%0.0%0.0%011.0K00.00112.310065429
2009-05-07$3.60$15.00137.2%39.3%125.0%53.7%0.0%0.0%0.0%010.5K00.00110.890065429
2009-05-08$3.48$15.00140.4%40.2%121.1%55.5%0.0%0.0%0.0%010.2K00.00110.8912065429
2009-05-11$3.84$15.00137.8%39.5%121.7%54.0%0.0%0.0%0.0%011.2K00.00144.920066029
2009-05-12$3.84$15.00132.3%37.9%119.6%51.0%0.0%0.0%0.0%011.2K00.00130.8812066029
2009-05-13$3.36$15.00151.8%43.5%131.4%61.8%0.0%0.0%0.0%09.8K00.00144.920067029
2009-05-14$3.54$15.00146.8%42.1%129.3%59.0%0.0%0.0%0.0%010.3K00.00104.0733067029
2009-05-15$3.36$15.0084.3%24.2%130.6%24.2%0.0%0.0%0.0%09.8K00.00143.247069929
2009-05-18$3.60$15.0080.8%23.2%132.1%22.2%0.0%0.0%0.0%010.5K00.00143.470069929
2009-05-19$3.60$15.0081.0%23.2%131.7%22.3%0.0%0.0%0.0%010.5K00.00144.920069929
2009-05-20$3.72$15.0079.3%22.7%123.5%21.4%0.0%0.0%0.0%010.8K01.00146.282269929
2009-05-21$3.66$15.0080.4%23.1%103.1%22.0%0.0%0.0%0.0%011.3K00.00144.920069931
2009-05-22$3.60$15.0081.5%23.4%96.2%22.6%0.0%0.0%0.0%011.1K00.00144.920069931
2009-05-26$3.84$15.0078.5%22.5%97.1%21.0%0.0%0.0%0.0%011.8K00.00145.390069931
2009-05-27$3.78$15.0079.6%22.8%88.7%21.5%0.0%0.0%0.0%011.7K00.00146.470069931
2009-05-28$3.54$15.0083.5%24.0%86.9%23.8%0.0%0.0%0.0%010.9K00.00144.920069931
2009-05-29$4.14$15.0060.6%17.4%102.5%11.0%0.0%0.0%0.0%012.8K00.00118.750069931