SANM Options History — June 2009

In June 2009, SANM traded between $2.40 and $4.20. ATM implied volatility averaged 80.2%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded below realized volatility by 12.0% (HV 20d: 92.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Put/call ratio averaged 0.00.

Notable Days

  • 2009-06-30: Highest Volume — 50 contracts
  • 2009-06-02: Largest IV spike — 121.5% change
  • 2009-06-02: Highest IV Rank — 52.6%
  • 2009-06-02: Largest Expected Move — 38.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.47$2.40$4.20$4.14$2.64
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV80.2%61.0%135.2%61.0%109.5%
Expected Move23.0%17.5%38.8%17.5%31.4%
HV 20d92.2%76.1%102.5%102.5%102.2%
HV 60d117.4%112.1%121.5%121.2%118.4%
IV Rank21.3%11.2%52.6%11.2%36.5%
IV Percentile26.9%5.3%64.6%5.3%45.1%
Bid-Ask Spread %140.15121.84146.71137.34133.41
Net GEX00000
Net DEX10.7K7.4K12.9K12.8K8.1K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume4.318050550
Total OI737.636723750730750

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$4.14$15.0061.0%17.5%102.5%11.2%0.0%0.0%0.0%012.8K00.00137.345069931
2009-06-02$4.20$15.00135.2%38.8%102.5%52.6%0.0%0.0%0.0%012.9K00.00144.921069931
2009-06-03$4.08$15.0076.5%21.9%102.2%19.8%0.0%0.0%0.0%012.6K00.00126.560069931
2009-06-04$4.14$15.0075.8%21.7%101.0%19.4%0.0%0.0%0.0%012.8K00.00144.920069931
2009-06-05$4.08$15.0076.8%22.0%99.3%20.0%0.0%0.0%0.0%012.6K00.00146.470069931
2009-06-08$4.02$15.0078.1%22.4%98.5%20.7%0.0%0.0%0.0%012.4K00.00146.4712069931
2009-06-09$4.02$15.0078.3%22.5%92.5%20.8%0.0%0.0%0.0%012.4K00.00146.470069231
2009-06-10$3.96$15.0064.3%18.4%92.7%13.0%0.0%0.0%0.0%012.2K00.00144.920069231
2009-06-11$3.96$15.0064.5%18.5%77.8%13.1%0.0%0.0%0.0%012.2K00.00146.710069231
2009-06-12$4.02$15.0063.9%18.3%76.1%12.8%0.0%0.0%0.0%012.4K00.00144.920069231
2009-06-15$3.78$15.0067.2%19.3%77.1%14.6%0.0%0.0%0.0%011.7K00.00121.8410069231
2009-06-16$3.42$15.0072.2%20.7%82.0%17.4%0.0%0.0%0.0%010.5K00.00144.9217070231
2009-06-17$3.24$15.0075.0%21.5%84.0%19.0%0.0%0.0%0.0%010.0K00.00143.240071931
2009-06-18$3.30$15.0074.3%21.3%83.3%18.6%0.0%0.0%0.0%010.2K00.00143.240071931
2009-06-19$3.00$15.0079.1%22.7%89.1%21.3%0.0%0.0%0.0%09.3K00.00143.240071931
2009-06-22$2.76$15.0084.0%24.1%92.8%24.0%0.0%0.0%0.0%08.5K00.00145.380071931
2009-06-23$2.88$15.0082.0%23.5%90.7%20.7%0.0%0.0%0.0%08.9K00.00139.240071931
2009-06-24$2.76$15.0084.4%24.2%91.2%22.1%0.0%0.0%0.0%08.5K00.00133.930071931
2009-06-25$2.94$15.0081.3%23.3%93.3%20.3%0.0%0.0%0.0%09.1K00.00133.930071931
2009-06-26$2.40$15.0092.2%26.4%95.8%26.5%0.0%0.0%0.0%07.4K00.00138.750071931
2009-06-29$2.58$15.0089.0%25.5%101.8%24.7%0.0%0.0%0.0%08.0K00.00132.410071931
2009-06-30$2.64$15.00109.5%31.4%102.2%36.5%0.0%0.0%0.0%08.1K00.00133.4150071931