SANM Options History — March 2010

In March 2010, SANM traded between $16.36 and $17.94. ATM implied volatility averaged 45.5%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 0.7% (HV 20d: 46.2%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.27.

Notable Days

  • 2010-03-03: Highest Volume — 5,489 contracts
  • 2010-03-08: Largest IV drop — 9.7% change
  • 2010-03-03: Highest IV Rank — 18.9%
  • 2010-03-03: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.16$16.36$17.94$17.40$16.50
Max Pain$10.87$10.00$15.00$15.00$10.00
ATM IV45.5%41.7%51.4%48.6%44.1%
Expected Move13.2%12.0%14.7%13.9%12.7%
HV 20d46.2%31.3%57.1%57.1%40.4%
HV 60d54.8%53.8%56.4%55.2%54.4%
IV Rank15.1%12.7%18.9%17.1%14.2%
IV Percentile5.5%2.0%12.6%6.9%6.1%
Term Structure8.7%-0.7%14.8%1.4%11.2%
VWIV47.1%38.1%60.0%50.1%44.3%
Skew 25d5.2%-1.8%23.5%8.6%1.8%
Skew 10d10.5%-8.0%33.9%17.9%9.1%
Call IV 25d44.4%35.6%50.3%49.9%42.7%
Put IV 25d49.6%41.9%63.5%58.5%44.5%
Bid-Ask Spread %17.0210.4432.0829.2810.47
Gamma HHI0.330.250.470.440.29
Net GEX8.5K-136.9K178.6K-80.2K145.3K
Net DEX-11.0M-16.3M-8.3M-10.0M-8.3M
Net VEX-33.6K-38.2K-21.3K-21.3K-32.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.0013.360.130.13
Total Volume843.913305,4891,256204
Total OI28,162.17421,40933,87627,01222,258

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$17.40$15.0048.6%13.9%57.1%17.1%50.1%8.6%1.4%-80.2K-10.0M-21.3K0.1329.281,1071498,71618,296
2010-03-02$17.47$15.0050.8%14.6%55.5%18.5%60.0%11.7%-0.7%-63.1K-10.5M-24.2K0.0521.35899479,38718,370
2010-03-03$17.00$15.0051.4%14.7%57.0%18.9%59.7%23.5%-0.3%-82.0K-9.8M-29.3K1.3512.062,3323,15710,16318,402
2010-03-04$17.22$15.0050.2%14.4%55.7%18.2%50.9%19.9%0.7%-136.9K-10.0M-35.7K0.3316.622538311,58820,488
2010-03-05$17.49$10.0049.4%14.4%49.9%17.7%50.0%4.0%6.3%-70.2K-11.3M-33.2K0.0411.214171711,63918,512
2010-03-08$17.25$10.0044.6%13.5%48.1%14.5%47.6%2.0%7.9%-85.8K-11.0M-31.0K13.3611.394560111,73418,521
2010-03-09$17.32$10.0045.2%14.2%48.0%14.9%50.0%-1.8%7.4%-102.7K-11.1M-31.7K0.0131.312,4741811,65318,802
2010-03-10$17.56$10.0047.4%14.1%47.1%16.3%49.4%2.7%7.2%-69.5K-12.6M-37.6K0.1619.444937913,18318,811
2010-03-11$17.44$10.0048.4%13.9%47.6%17.0%48.4%-0.5%8.3%-81.0K-12.5M-38.2K0.1912.591623113,39218,884
2010-03-12$17.66$10.0048.2%13.8%47.0%16.8%48.3%0.8%8.8%-55.3K-13.6M-37.1K0.2113.84861813,50718,885
2010-03-15$17.29$10.0044.2%12.7%48.2%14.2%44.4%2.6%9.4%-83.3K-12.3M-34.8K0.0217.401,4203113,56318,871
2010-03-16$17.53$10.0042.9%12.3%41.7%13.4%43.0%3.2%11.4%-65.1K-14.3M-37.2K0.1312.451872514,72518,853
2010-03-17$17.94$10.0044.2%12.7%40.5%14.3%44.2%1.6%9.6%-35.3K-16.0M-37.1K0.1018.175515714,87518,878
2010-03-18$17.86$10.0042.1%12.1%31.3%12.9%38.1%-0.4%11.2%-109.1K-16.3M-36.6K1.2112.86668014,94018,867
2010-03-19$16.57$10.0041.8%12.0%42.0%12.7%41.8%4.6%11.4%178.6K-10.5M-32.7K8.1732.082401,96014,92918,947
2010-03-22$16.83$10.0041.9%12.0%42.3%12.8%41.7%8.6%14.8%145.5K-9.6M-34.6K1.9815.7429157612,4049,005
2010-03-23$17.49$10.0041.7%12.0%42.3%12.7%42.3%5.5%13.1%149.0K-10.9M-37.9K0.0721.474773212,4999,575
2010-03-24$16.68$10.0044.4%12.7%46.1%14.4%46.1%1.0%10.7%138.4K-8.9M-35.0K0.1615.622714312,8659,607
2010-03-25$16.36$10.0045.1%12.9%46.6%14.9%44.2%7.3%9.9%132.6K-8.4M-35.1K0.3210.441414512,9309,615
2010-03-26$16.54$10.0043.7%12.5%45.5%14.0%48.3%6.3%13.3%136.9K-8.5M-33.5K0.0013.3630012,5559,639
2010-03-29$16.64$10.0042.7%12.2%41.5%13.3%46.7%6.6%14.0%144.6K-8.7M-32.9K0.9515.93837912,5419,639
2010-03-30$16.57$10.0043.7%12.5%41.4%13.9%43.4%-0.4%12.6%145.2K-8.5M-32.5K0.2316.34431012,6069,611
2010-03-31$16.50$10.0044.1%12.7%40.4%14.2%44.3%1.8%11.2%145.3K-8.3M-32.4K0.1310.471802412,6479,611