SANM Options History — August 2010

In August 2010, SANM traded between $9.04 and $12.91. ATM implied volatility averaged 62.9%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 11.0% (HV 20d: 73.9%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.39.

Notable Days

  • 2010-08-12: Highest Volume — 5,748 contracts
  • 2010-08-11: Largest IV spike — 18.0% change
  • 2010-08-11: Highest IV Rank — 49.7%
  • 2010-08-25: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.82$9.04$12.91$12.91$9.04
Max Pain$13.41$12.50$17.50$17.50$12.50
ATM IV62.9%58.8%75.1%63.4%59.4%
Expected Move17.7%15.7%20.6%18.2%17.0%
HV 20d73.9%41.9%94.8%94.7%41.9%
HV 60d72.9%68.2%77.0%77.0%68.2%
IV Rank38.2%34.3%49.7%38.6%34.9%
IV Percentile57.3%46.4%86.1%55.6%48.8%
Term Structure0.6%-5.5%5.8%-5.5%5.8%
VWIV60.2%50.9%65.5%62.2%61.1%
Skew 25d7.3%-10.3%20.1%-2.9%11.0%
Skew 10d15.2%-16.7%36.2%-6.0%15.1%
Call IV 25d58.0%41.6%64.3%60.2%57.6%
Put IV 25d65.4%54.0%74.6%57.3%68.6%
Bid-Ask Spread %21.4211.9128.8911.9122.86
Gamma HHI0.610.260.860.670.63
Net GEX-74.9K-180.0K-26.7K-150.8K-34.2K
Net DEX7.6M2.2M11.2M7.9M2.8M
Net VEX-12.9K-19.7K-8.2K-19.7K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.0617.271.090.48
Total Volume548.5445,748257163
Total OI21,85816,54427,69021,40517,543

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$12.91$17.5063.4%18.2%94.7%38.6%62.2%-2.9%-5.5%-150.8K7.9M-19.7K1.0911.911231349,51911,886
2010-08-03$12.53$17.5063.1%18.1%94.8%38.4%63.1%7.8%-4.6%-149.7K8.6M-18.0K1.1528.891061229,56411,917
2010-08-04$12.60$17.5061.1%17.5%91.5%36.5%61.1%-8.1%-3.4%-156.3K8.4M-17.8K0.6821.4675519,61611,935
2010-08-05$12.57$17.5059.6%17.1%90.0%35.1%59.4%-10.3%-2.6%-161.9K8.6M-17.3K0.1020.577279,65811,961
2010-08-06$12.27$12.5059.3%15.8%89.9%34.8%50.9%10.7%1.8%-159.0K9.1M-16.0K0.4320.96129559,68711,965
2010-08-09$12.45$12.5059.5%15.7%90.1%34.9%0.0%10.5%1.5%-180.0K9.0M-14.9K0.3825.273651399,76312,005
2010-08-10$11.90$12.5063.7%16.1%81.9%38.9%63.1%20.1%1.7%-148.7K9.8M-13.4K0.2417.88122299,93712,049
2010-08-11$10.95$12.5075.1%19.3%85.0%49.7%59.7%10.2%0.5%-78.7K11.1M-8.9K0.1517.741,6012439,94212,054
2010-08-12$10.49$12.5066.7%19.1%85.0%41.8%65.5%9.0%-0.6%-30.9K11.0M-8.2K2.9213.811,4664,28210,38712,046
2010-08-13$10.30$12.5064.1%18.4%83.4%39.3%65.1%5.4%1.5%-41.3K11.0M-12.9K0.1022.961091111,06516,233
2010-08-16$10.47$12.5064.3%18.4%83.4%39.5%52.1%12.0%1.2%-29.4K11.1M-12.5K17.2718.021525911,17416,236
2010-08-17$10.67$12.5059.9%17.2%84.3%35.3%63.3%8.0%1.4%-35.5K11.2M-12.4K0.2124.341082311,18916,461
2010-08-18$10.69$12.5058.8%16.9%84.2%34.3%55.5%8.8%2.1%-27.9K11.2M-12.2K0.2124.27481011,21116,454
2010-08-19$10.39$12.5061.7%17.7%79.6%37.0%62.0%6.6%1.2%-37.4K11.1M-12.1K0.5216.21291511,21516,454
2010-08-20$10.27$12.5059.6%17.1%77.2%35.0%53.5%8.0%2.3%-50.8K11.1M-11.5K1.5628.0910416211,23216,458
2010-08-23$10.13$12.5061.5%17.6%73.4%36.9%57.9%12.5%-0.0%-26.7K2.2M-11.0K0.0625.99398249,1047,440
2010-08-24$9.61$12.5062.0%17.8%43.5%37.3%62.3%5.9%4.6%-30.0K2.4M-11.1K0.1019.16536559,1567,448
2010-08-25$9.48$12.5071.7%20.6%43.1%46.4%0.0%13.0%-3.6%-28.5K2.5M-10.9K0.0821.61126109,5147,503
2010-08-26$9.38$12.5065.5%18.8%43.2%40.6%64.3%7.2%0.9%-29.1K2.5M-10.9K1.8124.371382509,5587,513
2010-08-27$9.54$12.5059.0%16.9%44.5%34.5%0.0%6.9%3.5%-30.5K2.5M-11.4K0.1921.15134259,6077,757
2010-08-30$9.33$12.5065.3%18.7%41.9%40.5%61.9%9.3%3.0%-31.0K2.5M-10.9K0.8523.67105899,6887,772
2010-08-31$9.04$12.5059.4%17.0%41.9%34.9%61.1%11.0%5.8%-34.2K2.8M-10.5K0.4822.86110539,7597,784