SANM Options History — June 2010

In June 2010, SANM traded between $13.23 and $15.92. ATM implied volatility averaged 65.3%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 4.2% (HV 20d: 69.5%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 10.48.

Notable Days

  • 2010-06-16: Highest Volume — 6,302 contracts
  • 2010-06-10: Largest IV drop — 23.1% change
  • 2010-06-07: Highest IV Rank — 50.4%
  • 2010-06-01: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.68$13.23$15.92$14.20$13.61
Max Pain$17.73$15.00$20.00$20.00$15.00
ATM IV65.3%55.1%87.6%77.8%73.9%
Expected Move18.4%15.8%22.3%22.3%21.2%
HV 20d69.5%58.9%85.1%85.1%63.1%
HV 60d61.6%58.8%65.0%58.8%65.0%
IV Rank35.9%29.1%50.4%42.9%48.5%
IV Percentile52.8%30.6%87.3%76.6%75.8%
Term Structure2.5%-5.9%7.9%-5.9%1.8%
VWIV62.2%51.3%80.1%75.3%67.2%
Skew 25d10.7%3.6%17.0%9.2%7.1%
Skew 10d20.9%-9.7%36.1%19.0%6.5%
Call IV 25d58.4%47.1%69.9%69.3%67.2%
Put IV 25d69.1%50.9%82.7%78.6%74.3%
Bid-Ask Spread %22.297.5849.1236.817.58
Gamma HHI0.360.210.600.260.34
Net GEX-182.5K-429.9K23.8K-197.2K-130.2K
Net DEX9.0M2.4M15.5M11.4M5.8M
Net VEX-28.9K-37.5K-22.2K-37.5K-22.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.480.02107.008.550.02
Total Volume981.955756,302315119
Total OI26,641.90920,77734,80827,98921,515

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$14.20$20.0077.8%22.3%85.1%42.9%75.3%9.2%-5.9%-197.2K11.4M-37.5K8.5536.813328210,94417,045
2010-06-02$14.65$20.0069.4%19.9%77.0%36.4%80.1%12.1%-3.8%-218.5K11.3M-36.2K0.0747.083222310,95217,041
2010-06-03$14.76$20.0065.0%18.6%74.8%32.9%65.1%12.2%-1.9%-223.1K11.0M-35.6K2.1149.1214230011,16216,956
2010-06-04$13.68$17.5075.5%21.4%77.5%41.1%60.6%12.5%-0.9%-195.0K12.9M-31.0K10.7228.791351,44711,22917,045
2010-06-07$13.23$17.5087.6%22.2%76.5%50.4%62.7%12.8%-2.9%-192.8K14.2M-26.5K107.0024.75151,60511,19117,368
2010-06-08$13.26$17.5084.3%21.7%69.7%47.9%75.0%13.8%-1.6%-194.9K15.5M-25.2K11.0029.93931,02311,16718,026
2010-06-09$13.37$17.5082.0%21.5%69.6%46.1%71.4%12.9%-3.0%-203.7K15.4M-24.7K0.2117.70621311,24618,021
2010-06-10$13.87$17.5063.1%18.1%69.5%31.5%63.7%10.7%4.7%-214.6K13.4M-25.1K10.0821.612626211,24717,034
2010-06-11$14.39$17.5060.5%17.3%71.3%30.7%61.3%17.0%4.9%-239.0K12.6M-26.1K7.4323.182820811,24717,155
2010-06-14$14.86$17.5062.0%17.8%67.6%35.2%57.6%9.4%2.5%-243.6K11.4M-26.5K2.0616.5925452211,23217,174
2010-06-15$15.92$17.5060.8%17.4%69.2%34.1%55.7%15.7%4.1%23.8K8.2M-27.2K0.3118.471344111,32017,410
2010-06-16$15.90$17.5059.9%17.2%68.9%33.3%61.9%15.3%3.6%-82.7K8.2M-28.5K29.8914.972046,09811,38217,416
2010-06-17$15.48$17.5055.8%16.0%68.9%29.7%54.5%11.0%7.9%-429.9K11.4M-33.5K0.9217.39716511,42323,377
2010-06-18$15.77$17.5055.1%15.8%67.1%29.1%55.0%11.8%6.1%-190.7K10.7M-31.3K2.2316.5632572411,42023,388
2010-06-21$15.50$17.5055.6%15.9%66.0%29.5%53.9%8.3%5.8%-167.1K3.2M-31.6K4.7917.3220497710,39511,703
2010-06-22$15.25$17.5056.7%16.2%66.4%30.4%54.3%9.8%5.8%-176.0K4.0M-31.0K0.1917.391783410,51511,823
2010-06-23$15.78$17.5055.6%16.0%67.3%29.5%55.6%3.6%6.4%-155.3K2.5M-29.5K15.0712.501001,50710,53411,678
2010-06-24$15.13$17.5057.9%16.6%69.3%31.5%51.3%5.1%4.9%-163.3K3.8M-29.6K9.3714.6810598410,54811,385
2010-06-25$15.25$17.5055.6%15.9%60.5%29.5%53.9%8.2%6.3%-137.6K2.7M-27.8K4.9219.663919210,62510,825
2010-06-28$15.26$17.5057.1%16.4%58.9%30.8%67.1%9.3%7.3%-114.4K2.4M-25.4K3.5420.053821,35210,61310,164
2010-06-29$13.81$17.5065.1%18.7%64.2%37.9%65.4%7.5%1.7%-168.6K5.9M-23.8K0.1618.2283713610,71111,470
2010-06-30$13.61$15.0073.9%21.2%63.1%48.5%67.2%7.1%1.8%-130.2K5.8M-22.2K0.027.58117211,22710,288