SANM Options History — December 2009

In December 2009, SANM traded between $8.11 and $11.39. ATM implied volatility averaged 54.4%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 4.4% (HV 20d: 50.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.18.

Notable Days

  • 2009-12-22: Highest Volume — 1,907 contracts
  • 2009-12-24: Largest IV drop — 21.4% change
  • 2009-12-01: Highest IV Rank — 26.9%
  • 2009-12-01: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.88$8.11$11.39$8.11$11.03
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV54.4%37.5%71.0%71.0%46.4%
Expected Move15.7%10.7%20.4%20.4%13.3%
HV 20d50.0%35.1%96.7%96.7%45.9%
HV 60d83.8%70.9%117.2%117.2%71.3%
IV Rank17.9%8.8%26.9%26.9%14.0%
IV Percentile3.8%0.4%18.7%18.7%1.6%
Term Structure8.2%0.6%26.5%3.7%15.2%
VWIV52.8%29.0%71.6%65.9%71.6%
Skew 25d-0.9%-15.2%8.5%-5.4%-3.0%
Skew 10d3.0%-24.6%75.1%-16.3%0.7%
Call IV 25d58.4%46.6%72.2%72.2%50.9%
Put IV 25d57.5%44.8%70.7%66.8%47.9%
Bid-Ask Spread %30.3212.9053.9424.1131.33
Gamma HHI0.660.500.900.500.90
Net GEX132.6K113.6K152.1K123.7K117.7K
Net DEX-10.2M-13.9M-5.8M-5.8M-13.1M
Net VEX-21.9K-23.2K-20.2K-22.8K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.760.020.00
Total Volume286.13601,9070321
Total OI15,360.59114,56716,40914,56716,229

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$8.11$7.5071.0%20.4%96.7%26.9%0.0%-5.4%3.7%123.7K-5.8M-22.8K0.0024.110014,328239
2009-12-02$8.40$7.5067.6%19.4%96.2%25.0%65.9%6.5%6.2%133.9K-6.3M-22.7K0.0222.81204514,328239
2009-12-03$8.71$7.5057.8%16.6%95.9%19.6%69.5%4.9%25.9%140.7K-7.1M-23.2K0.0032.64379014,472244
2009-12-04$9.21$7.5059.6%17.1%47.4%20.6%60.7%3.9%5.2%145.5K-8.2M-22.9K0.0025.83237014,594244
2009-12-07$9.50$7.5061.8%17.6%46.4%21.8%62.0%0.6%3.7%134.2K-9.1M-22.9K0.1229.022413014,633244
2009-12-08$9.52$7.5059.3%17.6%46.1%20.4%57.1%2.3%3.9%136.0K-9.3M-23.0K0.0238.28166414,737274
2009-12-09$9.51$7.5052.4%17.3%43.4%16.6%60.5%4.5%3.9%141.5K-9.2M-23.0K0.1331.2638514,765278
2009-12-10$9.37$7.5059.4%17.0%41.0%20.4%0.0%2.8%2.6%145.3K-8.9M-22.9K0.1228.8243514,790283
2009-12-11$9.49$7.5057.4%16.4%40.6%19.3%0.0%1.1%3.1%150.4K-9.2M-22.4K1.7637.53173014,825288
2009-12-14$9.62$7.5060.5%17.3%40.6%21.0%61.4%8.5%4.1%144.9K-9.6M-22.1K0.0038.14159014,834313
2009-12-15$9.83$7.5056.1%16.1%38.4%18.6%42.5%-12.6%5.4%150.2K-10.2M-21.7K0.0023.0536014,957313
2009-12-16$9.82$7.5057.2%16.4%38.5%19.2%56.7%-12.0%3.5%152.1K-10.2M-22.0K0.1623.541262014,951313
2009-12-17$9.44$7.5055.5%15.9%41.7%18.3%46.2%-15.2%6.1%141.6K-9.4M-21.4K0.1612.901161915,006323
2009-12-18$9.49$7.5055.4%15.9%35.1%18.2%55.3%6.7%8.3%133.5K-9.5M-21.5K0.0216.221,0392315,055332
2009-12-21$9.85$7.5049.4%14.1%36.3%15.7%49.6%-14.5%7.0%126.5K-10.1M-20.9K0.0224.97269514,649286
2009-12-22$10.79$7.5047.6%13.7%46.7%14.7%47.5%-1.3%8.4%122.7K-12.3M-20.5K0.5933.431,19870914,783291
2009-12-23$10.81$7.5047.6%13.7%46.5%14.7%47.5%-1.7%9.5%116.0K-12.6M-22.0K0.0124.76578415,340972
2009-12-24$11.02$7.5037.5%10.7%46.0%8.8%45.4%-5.6%26.5%118.2K-13.2M-21.5K0.0531.29115615,433976
2009-12-28$11.22$7.5042.1%12.1%43.6%11.5%34.8%1.9%22.2%114.4K-13.5M-21.1K0.3235.79311015,290980
2009-12-29$11.34$7.5050.3%14.4%43.1%16.3%29.0%2.4%0.6%113.6K-13.8M-21.1K0.0047.3083015,295990
2009-12-30$11.39$7.5044.8%12.8%43.1%13.0%40.0%5.7%5.8%114.5K-13.9M-20.2K0.2653.9419515,227990
2009-12-31$11.03$7.5046.4%13.3%45.9%14.0%71.6%-3.0%15.2%117.7K-13.1M-20.5K0.0031.33321015,234995