SANM Options History — May 2010

In May 2010, SANM traded between $13.69 and $18.02. ATM implied volatility averaged 67.8%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 2.5% (HV 20d: 70.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 8.03.

Notable Days

  • 2010-05-13: Highest Volume — 4,526 contracts
  • 2010-05-06: Largest IV spike — 26.5% change
  • 2010-05-20: Highest IV Rank — 41.0%
  • 2010-05-20: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.58$13.69$18.02$18.02$15.25
Max Pain$19.75$17.50$20.00$20.00$20.00
ATM IV67.8%50.4%85.3%50.4%68.9%
Expected Move19.6%14.4%24.5%14.4%19.8%
HV 20d70.3%38.4%84.5%38.4%82.5%
HV 60d53.0%44.1%57.2%44.1%57.2%
IV Rank30.9%18.3%41.0%18.3%36.0%
IV Percentile56.2%23.8%83.3%23.8%59.1%
Term Structure0.6%-4.8%5.5%5.5%-2.2%
VWIV60.6%43.9%85.4%49.2%65.0%
Skew 25d9.6%-7.9%20.4%-6.0%9.8%
Skew 10d20.8%-6.0%51.2%-5.3%18.6%
Call IV 25d62.9%46.2%77.6%49.6%62.4%
Put IV 25d72.5%43.6%87.5%43.6%72.2%
Bid-Ask Spread %26.2216.5881.8116.7630.92
Gamma HHI0.300.220.380.380.25
Net GEX-84.0K-247.6K95.0K-147.8K-217.9K
Net DEX13.8M5.9M19.5M5.9M9.8M
Net VEX-55.6K-76.3K-39.8K-76.3K-43.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.030.1454.4954.490.78
Total Volume1,827.952624,5262,164612
Total OI34,175.8525,57439,20731,52227,926

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$18.02$20.0050.4%14.4%38.4%18.3%49.2%-6.0%5.5%-147.8K5.9M-76.3K54.4916.76392,12514,29417,228
2010-05-04$16.06$20.0057.1%16.4%56.7%22.7%55.4%1.6%4.2%-123.0K16.2M-62.0K0.1416.581,54721514,29619,275
2010-05-05$16.83$17.5056.6%16.2%59.2%22.4%57.3%5.7%3.7%-97.8K12.7M-71.7K1.0628.741,1181,18315,43119,359
2010-05-06$16.06$17.5071.7%20.5%61.5%32.1%68.0%13.1%-4.8%-84.0K16.9M-65.1K0.3281.812,87991415,81820,344
2010-05-07$15.27$20.0070.9%20.0%63.9%31.6%70.9%-7.9%0.4%-27.3K16.5M-62.8K1.1726.971,0741,25517,46920,742
2010-05-10$16.51$20.0061.0%18.4%69.6%25.2%64.0%15.9%0.9%10.6K13.9M-69.7K0.3027.222016117,62820,617
2010-05-11$16.71$20.0057.6%18.2%69.0%23.0%64.3%17.0%1.6%53.7K10.9M-68.3K0.3920.3228211117,65519,073
2010-05-12$17.35$20.0054.7%17.2%68.9%21.1%55.8%19.4%3.4%51.3K8.0M-72.6K3.4521.0618262717,77919,184
2010-05-13$16.93$20.0062.0%17.8%69.2%25.8%63.1%20.4%3.0%95.0K9.8M-68.0K3.0421.271,1203,40617,80818,782
2010-05-14$15.65$20.0072.4%20.8%74.1%32.6%58.5%5.5%-0.6%-5.8K17.0M-60.0K23.8923.311523,63217,93321,274
2010-05-17$14.82$20.0074.0%21.2%76.0%33.7%47.8%8.8%-1.9%-24.2K19.5M-49.3K0.4828.571,71882417,93321,274
2010-05-18$14.62$20.0073.8%21.2%74.7%33.6%43.9%9.4%-1.0%-97.2K18.9M-46.6K4.2017.4511749116,70920,805
2010-05-19$14.23$20.0074.2%21.3%74.4%33.8%46.2%9.8%0.6%-99.0K19.2M-42.3K12.2119.70851,03816,68320,426
2010-05-20$13.69$20.0085.3%24.5%74.8%41.0%54.7%9.1%-0.4%-108.3K19.2M-41.1K17.4820.844680416,63920,596
2010-05-21$14.33$20.0077.8%22.3%77.1%36.2%85.4%13.8%-0.6%-135.3K19.2M-42.2K3.0021.308762,62916,67420,241
2010-05-24$14.46$20.0076.9%22.0%77.0%38.5%54.4%11.5%-1.3%-151.6K10.8M-41.5K3.0819.3923773110,45915,115
2010-05-25$14.46$20.0073.7%21.1%77.1%39.3%60.0%11.5%1.5%-165.4K11.3M-42.3K3.0527.4525978910,56515,727
2010-05-26$14.44$20.0069.0%19.8%77.1%36.1%82.4%10.6%1.9%-157.5K11.1M-39.8K27.2326.76972,64110,72415,146
2010-05-27$15.85$20.0068.4%19.6%84.5%35.6%65.4%14.0%-1.9%-247.6K8.5M-45.9K0.9528.0622721510,78817,098
2010-05-28$15.25$20.0068.9%19.8%82.5%36.0%65.0%9.8%-2.2%-217.9K9.8M-43.7K0.7830.9234426810,91317,013