SANM Options History — April 2010

In April 2010, SANM traded between $16.58 and $19.22. ATM implied volatility averaged 46.3%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 9.9% (HV 20d: 36.4%). Max pain ranged from $10.00 to $20.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.34.

Notable Days

  • 2010-04-26: Highest Volume — 11,761 contracts
  • 2010-04-15: Largest IV spike — 134.9% change
  • 2010-04-19: Highest IV Rank — 24.4%
  • 2010-04-19: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.91$16.58$19.22$16.58$17.79
Max Pain$17.50$10.00$20.00$10.00$17.50
ATM IV46.3%24.7%59.8%38.2%48.7%
Expected Move15.4%11.0%17.2%11.0%13.9%
HV 20d36.4%24.9%44.5%40.1%39.6%
HV 60d51.5%43.5%54.6%54.3%45.8%
IV Rank15.6%1.6%24.4%10.4%17.2%
IV Percentile16.2%0.4%39.0%1.2%19.4%
Term Structure-0.1%-4.4%16.7%16.7%4.0%
VWIV53.9%37.3%59.8%37.3%46.0%
Skew 25d5.3%-5.9%13.8%0.7%-5.9%
Skew 10d8.8%-5.3%19.8%4.2%-5.3%
Call IV 25d48.4%37.6%57.8%38.3%46.7%
Put IV 25d53.7%39.0%62.5%39.0%40.7%
Bid-Ask Spread %19.4911.9543.0711.9543.07
Gamma HHI0.300.240.430.310.31
Net GEX150.7K-119.3K279.5K150.2K-33.7K
Net DEX-7.6M-14.9M4.5M-8.2M4.5M
Net VEX-43.2K-74.6K-29.8K-31.1K-74.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.0413.360.256.29
Total Volume1,857.14312411,7611542,587
Total OI21,293.95213,06530,44522,17930,445

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$16.58$10.0038.2%11.0%40.1%10.4%37.3%0.7%16.7%150.2K-8.2M-31.1K0.2511.951233112,5469,633
2010-04-05$17.12$17.5041.9%15.8%41.5%12.8%55.4%12.1%-0.9%168.5K-9.6M-32.3K0.0614.522341312,4699,630
2010-04-06$16.95$17.5040.5%15.8%41.4%11.8%55.2%13.4%-1.2%171.2K-9.2M-31.8K0.7012.691117812,5819,642
2010-04-07$16.71$17.5042.6%16.1%41.6%13.2%57.0%9.8%-1.3%159.6K-8.5M-30.1K2.3517.24378712,6619,714
2010-04-08$16.69$17.5040.2%15.9%41.2%11.6%59.8%13.8%-0.1%161.6K-8.5M-30.0K8.1113.031814612,6619,714
2010-04-09$16.59$17.5033.8%15.9%41.2%7.4%55.5%8.1%-0.9%151.0K-7.9M-29.8K0.1617.332584212,6609,893
2010-04-12$16.99$17.5038.0%16.5%41.9%10.2%58.0%1.5%-1.6%194.1K-8.8M-30.7K5.0813.7311759412,5339,901
2010-04-13$17.48$17.5033.2%16.5%42.6%7.1%57.0%2.2%-3.7%275.6K-9.9M-34.0K0.1815.852,38542112,58410,480
2010-04-14$18.17$17.5024.7%16.7%44.5%1.6%58.2%3.1%-3.9%221.6K-14.7M-40.1K0.1214.961,00911814,46310,730
2010-04-15$18.32$17.5058.0%16.6%43.8%23.3%58.4%4.3%-4.4%216.0K-14.9M-40.4K0.5535.5194751914,44510,745
2010-04-16$18.17$17.5058.1%16.6%43.9%23.3%57.8%4.2%-3.7%252.6K-14.8M-41.4K1.6726.2622938314,67910,506
2010-04-19$18.01$17.5059.8%17.2%33.9%24.4%59.5%4.7%-4.2%165.0K-5.5M-40.8K0.9418.711771679,6803,385
2010-04-20$18.50$17.5057.8%16.6%34.6%23.1%57.1%3.6%-3.3%180.3K-6.3M-41.7K0.3420.423921339,7353,480
2010-04-21$18.70$17.5058.4%16.7%32.4%23.5%56.7%7.0%-4.3%187.5K-6.6M-43.0K0.3915.144221639,8533,613
2010-04-22$18.66$17.5056.1%16.1%26.4%22.0%55.6%5.1%-3.1%192.1K-6.7M-43.4K0.0621.213,91923510,0633,740
2010-04-23$18.97$17.5053.7%15.4%24.9%20.4%54.4%2.1%-1.5%279.5K-9.8M-47.4K0.0418.748303212,1003,853
2010-04-26$19.22$17.5055.8%16.0%25.0%21.8%57.2%5.3%-1.2%254.9K-10.0M-46.4K6.8322.901,50210,25911,7083,881
2010-04-27$18.94$20.0043.4%12.5%26.2%13.8%44.5%7.8%4.7%-48.4K-2.6M-63.4K0.6320.131,8651,16612,57812,062
2010-04-28$18.44$20.0046.5%13.3%28.5%15.7%44.6%-1.6%5.3%-15.4K-916.2K-63.4K13.3619.631652,20513,14011,914
2010-04-29$19.02$20.0042.9%12.3%29.7%13.4%46.6%10.5%7.0%-119.3K-1.5M-71.3K1.0416.272,3912,49013,16313,910
2010-04-30$17.79$17.5048.7%13.9%39.6%17.2%46.0%-5.9%4.0%-33.7K4.5M-74.6K6.2943.073552,23215,08515,360