SANM Options History — July 2010

In July 2010, SANM traded between $12.57 and $15.86. ATM implied volatility averaged 66.3%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 6.1% (HV 20d: 72.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 4.98.

Notable Days

  • 2010-07-14: Highest Volume — 7,167 contracts
  • 2010-07-15: Largest IV spike — 31.5% change
  • 2010-07-06: Highest IV Rank — 48.7%
  • 2010-07-06: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.07$12.57$15.86$13.47$12.57
Max Pain$16.43$15.00$17.50$15.00$17.50
ATM IV66.3%53.3%74.1%70.5%65.1%
Expected Move19.4%18.0%21.2%20.2%18.7%
HV 20d72.4%57.4%100.2%63.0%94.5%
HV 60d71.1%65.0%81.2%65.0%77.2%
IV Rank41.3%29.2%48.7%45.3%40.2%
IV Percentile60.2%28.6%77.4%67.9%59.1%
Term Structure-3.4%-8.4%4.6%3.3%-4.3%
VWIV67.0%59.9%76.7%67.5%65.1%
Skew 25d10.4%0.4%19.1%5.5%8.2%
Skew 10d24.2%-12.8%44.3%-12.8%15.5%
Call IV 25d62.7%50.7%68.4%63.5%61.3%
Put IV 25d73.1%65.1%79.7%69.1%69.6%
Bid-Ask Spread %22.1913.0042.4213.2631.04
Gamma HHI0.400.200.670.350.67
Net GEX-145.1K-404.0K-90.4K-132.9K-132.5K
Net DEX5.6M18.9K11.7M6.1M8.1M
Net VEX-23.3K-31.7K-15.5K-21.2K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.980.0044.651.564.21
Total Volume1,070.714577,16782349
Total OI21,534.66717,79130,08121,52221,186

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$13.47$15.0070.5%20.2%63.0%45.3%67.5%5.5%3.3%-132.9K6.1M-21.2K1.5613.26325011,23210,290
2010-07-02$13.12$15.0067.8%19.4%57.8%42.8%61.1%0.4%4.6%-138.0K6.8M-18.8K0.2713.001574211,23410,258
2010-07-06$12.77$15.0074.1%21.2%57.4%48.7%71.8%11.0%-6.5%-134.6K7.4M-15.5K0.1922.58951811,23010,259
2010-07-07$13.64$15.0070.6%20.2%62.2%45.4%64.9%11.7%-2.5%-155.2K6.3M-17.3K37.8217.821764311,23110,274
2010-07-08$14.20$15.0058.6%18.0%63.7%34.1%61.1%11.6%-2.1%-157.4K5.2M-21.2K0.0218.594331011,21410,863
2010-07-09$14.42$15.0056.5%18.0%62.7%32.1%62.6%10.3%-2.1%-164.7K4.8M-20.1K0.0022.0757011,21710,853
2010-07-12$14.13$15.0065.2%18.3%61.7%40.3%64.1%9.1%-2.2%-165.3K5.5M-18.0K0.2124.151102311,33510,853
2010-07-13$15.60$15.0059.8%18.2%70.4%35.3%60.7%15.8%-2.5%-161.8K835.3K-21.6K0.7042.4244330911,35410,835
2010-07-14$15.74$15.0053.3%20.1%66.0%29.2%70.6%9.3%-4.9%-110.0K18.9K-22.6K44.6516.121577,01011,45410,902
2010-07-15$15.06$17.5070.2%20.1%67.8%45.0%70.2%12.5%-5.0%-404.0K6.4M-29.9K1.7429.949511,65411,43217,079
2010-07-16$14.17$17.5070.8%20.3%70.4%45.6%70.0%11.1%-4.8%-119.4K11.7M-28.3K0.8129.4720816911,22518,856
2010-07-19$14.43$17.5066.9%19.2%70.4%41.9%69.5%11.6%-2.0%-128.1K5.3M-27.5K0.1523.17475737,34210,449
2010-07-20$14.18$17.5070.8%20.3%70.4%45.6%75.4%10.7%-7.9%-120.8K5.3M-27.7K0.1325.478341087,64910,461
2010-07-21$13.76$17.5068.9%19.8%70.9%43.8%76.7%11.4%-3.8%-107.8K5.2M-27.3K3.7123.251023788,37610,518
2010-07-22$14.64$17.5068.0%19.5%73.6%42.9%73.9%10.5%-5.3%-118.8K4.3M-28.3K0.0420.96485178,44610,818
2010-07-23$15.16$17.5066.3%19.0%73.3%41.3%66.7%12.1%-5.3%-110.4K3.3M-29.1K0.0513.88253128,65010,820
2010-07-26$15.86$17.5070.8%20.3%75.0%45.6%68.3%19.1%-8.4%-90.4K1.5M-31.7K3.0514.994371,3348,82810,830
2010-07-27$13.18$17.5069.4%19.9%100.2%44.2%59.9%10.7%-6.3%-125.5K7.0M-22.2K3.8819.849153,5538,99511,175
2010-07-28$12.79$17.5065.0%18.6%94.5%40.2%65.1%10.7%-2.7%-133.8K7.8M-21.2K0.3419.693101069,34211,707
2010-07-29$12.61$17.5063.5%18.2%94.5%38.7%60.9%5.2%-1.5%-136.1K8.0M-20.0K0.9524.2480769,46911,687
2010-07-30$12.57$17.5065.1%18.7%94.5%40.2%65.1%8.2%-4.3%-132.5K8.1M-19.4K4.2131.04672829,52511,661