SANM Options History — July 2009

In July 2009, SANM traded between $2.22 and $3.66. ATM implied volatility averaged 102.6%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 29.4%. IV traded below realized volatility by 7.6% (HV 20d: 110.3%). 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

  • 2009-07-27: Highest Volume — 17 contracts
  • 2009-07-24: Largest IV spike — 22.6% change
  • 2009-07-08: Highest IV Rank — 43.2%
  • 2009-07-08: Largest Expected Move — 35.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.85$2.22$3.66$2.76$3.66
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV102.6%77.6%124.6%106.7%77.6%
Expected Move29.4%22.3%35.7%30.6%22.3%
HV 20d110.3%98.4%131.4%105.0%98.4%
HV 60d107.9%99.2%119.6%118.7%103.6%
IV Rank29.3%13.8%43.2%34.9%13.8%
IV Percentile39.8%17.9%57.7%43.5%17.9%
Bid-Ask Spread %135.05132.41144.43133.93143.24
Net GEX00000
Net DEX8.1K6.8K10.4K8.5K8.8K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.81801700
Total OI776745787782745

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$2.76$15.00106.7%30.6%105.0%34.9%0.0%0.0%0.0%08.5K00.00133.930075131
2009-07-02$2.58$15.00111.7%32.0%105.5%35.6%0.0%0.0%0.0%08.0K00.00133.410075131
2009-07-06$2.40$15.00118.1%33.9%106.8%39.4%0.0%0.0%0.0%07.4K00.00132.410075131
2009-07-07$2.22$15.00124.2%35.6%108.2%43.0%0.0%0.0%0.0%06.8K00.00132.410075131
2009-07-08$2.22$15.00124.6%35.7%108.2%43.2%0.0%0.0%0.0%06.8K00.00132.415075131
2009-07-09$2.34$15.00120.9%34.7%112.0%41.0%0.0%0.0%0.0%07.2K00.00132.410075631
2009-07-10$2.40$15.00119.3%34.2%113.2%39.0%0.0%0.0%0.0%07.4K00.00132.410075631
2009-07-13$2.40$15.00120.3%34.5%112.6%39.6%0.0%0.0%0.0%07.4K00.00132.410075631
2009-07-14$2.46$15.00118.8%34.0%113.1%38.7%0.0%0.0%0.0%07.6K00.00132.410075631
2009-07-15$2.70$15.00112.3%32.2%116.1%34.8%0.0%0.0%0.0%08.3K00.00133.930075631
2009-07-16$2.70$15.0090.5%25.9%115.0%21.6%0.0%0.0%0.0%08.3K00.00133.930075631
2009-07-17$2.76$15.0089.5%25.7%115.2%21.0%0.0%0.0%0.0%08.5K00.00133.930075631
2009-07-20$2.82$15.0089.1%25.5%110.9%20.8%0.0%0.0%0.0%08.7K00.00133.930075631
2009-07-21$2.82$15.0089.3%25.6%106.8%20.9%0.0%0.0%0.0%08.7K00.00134.960075631
2009-07-22$2.70$15.0092.0%26.4%106.7%22.5%0.0%0.0%0.0%08.3K00.00144.430075631
2009-07-23$3.36$15.0080.3%23.0%131.4%15.5%0.0%0.0%0.0%010.4K00.00143.240075631
2009-07-24$3.42$15.0098.5%28.2%129.9%26.5%0.0%0.0%0.0%08.3K00.00143.2410075624
2009-07-27$3.48$15.0098.2%28.2%103.4%26.3%0.0%0.0%0.0%08.4K00.000.0017072124
2009-07-28$3.54$15.0097.3%27.9%101.5%25.7%0.0%0.0%0.0%08.6K00.000.008072124
2009-07-29$3.42$15.0080.8%23.2%103.0%15.8%0.0%0.0%0.0%08.3K00.000.000072124
2009-07-30$3.54$15.0097.9%28.1%102.6%26.1%0.0%0.0%0.0%08.6K00.000.000072124
2009-07-31$3.66$15.0077.6%22.3%98.4%13.8%0.0%0.0%0.0%08.8K00.000.000072124