SANM Options History — September 2010

In September 2010, SANM traded between $9.68 and $12.19. ATM implied volatility averaged 59.1%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 4.8% (HV 20d: 63.9%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-09-15: Highest Volume — 6,437 contracts
  • 2010-09-07: Largest IV spike — 14.4% change
  • 2010-09-09: Highest IV Rank — 37.0%
  • 2010-09-15: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.09$9.68$12.19$9.68$12.08
Max Pain$11.71$11.00$12.50$12.50$11.00
ATM IV59.1%53.3%62.8%59.3%57.3%
Expected Move17.0%15.6%18.0%17.0%16.4%
HV 20d63.9%51.2%70.7%51.2%65.1%
HV 60d72.4%69.9%74.6%69.9%71.9%
IV Rank33.8%28.9%37.0%34.8%31.4%
IV Percentile48.8%28.6%62.3%48.0%40.9%
Term Structure2.9%-0.9%9.3%4.3%6.1%
VWIV58.7%45.0%66.0%45.0%57.6%
Skew 25d9.9%3.4%23.2%13.4%15.7%
Skew 10d18.0%-11.7%37.3%7.3%37.3%
Call IV 25d53.1%38.7%61.6%43.1%45.0%
Put IV 25d63.0%56.5%67.7%56.5%60.7%
Bid-Ask Spread %16.8812.3826.0519.5316.82
Gamma HHI0.370.280.530.530.41
Net GEX76.7K-26.6K153.1K-26.6K151.7K
Net DEX-1.7M-5.5M2.3M2.3M-5.1M
Net VEX-25.0K-43.0K-10.5K-10.7K-31.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.023.930.060.47
Total Volume1,324.095566,437252693
Total OI24,297.61917,56431,44617,56427,498

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$9.68$12.5059.3%17.0%51.2%34.8%45.0%13.4%4.3%-26.6K2.3M-10.7K0.0619.53237159,8337,731
2010-09-02$10.30$12.5054.3%15.6%57.7%30.1%55.5%6.9%4.9%-14.9K1.9M-10.8K0.3526.0554199,9377,736
2010-09-03$10.74$12.5053.3%16.5%60.2%29.1%58.6%7.7%0.8%-6.2K1.5M-11.1K0.4018.77145589,9777,750
2010-09-07$10.01$12.5061.0%17.9%63.7%36.4%61.7%8.5%-0.9%-11.2K1.9M-10.6K0.3315.58421410,0557,786
2010-09-08$10.40$12.5060.7%17.7%64.6%36.1%60.9%4.5%0.2%-2.5K1.6M-10.5K0.0316.162,6997910,0797,798
2010-09-09$10.26$12.5061.7%17.7%58.1%37.0%58.2%5.0%0.1%20.2K780.7K-16.4K0.0416.303131112,6307,876
2010-09-10$10.16$12.5061.2%17.5%56.3%36.5%66.0%7.2%1.3%21.6K847.9K-16.7K3.9314.533021,18812,9117,887
2010-09-13$10.99$12.5059.8%17.1%62.6%35.2%58.0%6.2%0.0%18.1K-519-18.4K0.4617.78783613,2128,942
2010-09-14$11.05$12.5058.5%16.8%62.4%34.1%58.7%9.1%0.8%25.0K-231.6K-18.6K0.0215.511,3062813,2368,947
2010-09-15$11.16$12.5062.8%18.0%62.2%36.7%62.3%9.3%-0.6%61.3K-1.1M-21.1K0.3615.474,7171,72014,4168,967
2010-09-16$10.98$11.0061.7%17.7%62.5%35.6%62.3%4.4%0.7%119.8K-2.5M-32.7K0.9815.231,8621,83018,39610,419
2010-09-17$10.87$11.0060.9%17.5%61.7%34.8%58.7%3.5%1.0%127.1K-2.2M-38.5K0.6914.4384258219,54911,897
2010-09-20$11.95$11.0059.9%17.2%69.6%33.9%60.5%3.4%1.4%133.2K-5.3M-43.0K0.3220.8361719519,49910,880
2010-09-21$11.84$11.0056.5%16.2%69.4%30.6%59.9%18.3%4.4%146.9K-5.0M-41.8K0.6223.223,3342,05919,52210,759
2010-09-22$11.47$11.0061.3%17.6%67.4%35.2%62.0%3.5%4.8%143.1K-3.7M-33.9K2.2916.0919644818,3179,431
2010-09-23$11.10$11.0062.0%17.8%68.5%35.9%62.6%6.8%1.3%121.4K-2.7M-31.4K1.0715.2519620917,8119,383
2010-09-24$11.80$11.0054.7%15.7%70.7%28.9%54.2%19.4%9.3%135.2K-4.1M-32.1K0.1814.172775017,7419,424
2010-09-27$11.91$11.0059.7%17.1%70.7%33.7%49.1%16.5%6.6%141.7K-4.7M-31.8K0.3116.8853216517,8249,414
2010-09-28$11.94$11.0057.2%16.4%69.6%31.3%58.6%15.7%8.3%152.6K-4.7M-31.6K0.4213.48773218,0309,336
2010-09-29$12.19$11.0057.7%16.5%67.7%31.7%61.6%23.2%6.5%153.1K-5.5M-31.6K1.7612.3819935018,0719,343
2010-09-30$12.08$11.0057.3%16.4%65.1%31.4%57.6%15.7%6.1%151.7K-5.1M-31.2K0.4716.8247022318,0099,489