SANM Options History — October 2010

In October 2010, SANM traded between $11.65 and $13.27. ATM implied volatility averaged 57.8%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 6.1% (HV 20d: 51.7%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2010-10-28: Highest Volume — 2,148 contracts
  • 2010-10-14: Largest IV spike — 57.0% change
  • 2010-10-29: Highest IV Rank — 65.6%
  • 2010-10-08: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.61$11.65$13.27$12.01$13.19
Max Pain$11.52$11.00$12.00$11.00$12.00
ATM IV57.8%36.8%66.0%54.5%66.0%
Expected Move17.6%15.6%19.0%15.6%18.9%
HV 20d51.7%41.2%62.5%62.5%41.9%
HV 60d64.1%55.1%72.8%71.3%55.2%
IV Rank44.3%15.0%65.6%28.6%65.6%
IV Percentile48.2%1.6%77.0%29.8%77.0%
Term Structure-1.7%-7.1%11.3%11.3%-6.3%
VWIV61.0%54.3%66.9%57.8%65.1%
Skew 25d7.6%3.4%11.4%11.4%5.5%
Skew 10d21.1%5.2%42.0%34.3%5.2%
Call IV 25d56.9%46.1%61.8%46.1%60.8%
Put IV 25d64.5%57.5%69.8%57.5%66.3%
Bid-Ask Spread %34.5217.4957.2217.4940.76
Gamma HHI0.380.250.540.400.25
Net GEX137.3K104.9K172.9K155.4K104.9K
Net DEX-6.2M-8.6M-4.1M-5.0M-6.8M
Net VEX-31.3K-33.9K-29.9K-31.3K-33.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.018.290.790.25
Total Volume463.857102,148145814
Total OI22,355.52413,89329,44627,74917,661

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$12.01$11.0054.5%15.6%62.5%28.6%57.8%11.4%11.3%155.4K-5.0M-31.3K0.7917.49816418,2089,541
2010-10-04$11.65$11.0063.2%18.9%62.5%37.0%66.9%8.0%-0.8%158.1K-4.1M-30.0K1.0627.6217118218,2399,580
2010-10-05$12.45$11.0057.8%18.0%59.7%31.8%59.5%9.9%-2.0%154.5K-6.0M-30.7K0.0633.377654818,1389,707
2010-10-06$12.05$11.0058.4%18.3%60.7%32.4%64.6%6.8%-2.2%172.7K-5.4M-32.2K0.0029.8201018,8629,711
2010-10-07$12.36$11.0057.2%18.3%60.5%31.3%64.2%7.8%-4.1%170.3K-6.2M-32.1K0.9022.99595318,8629,716
2010-10-08$12.37$11.0054.0%19.0%60.2%28.2%62.1%7.9%-5.2%172.4K-6.3M-31.8K0.4924.85532618,8609,768
2010-10-11$12.46$11.0057.4%18.8%54.4%31.5%62.7%7.1%-7.1%171.2K-6.8M-30.6K0.1124.212622918,8779,764
2010-10-12$12.67$11.0049.7%17.6%54.5%24.1%60.8%8.0%-1.5%172.9K-7.3M-31.0K8.2227.736956719,0709,763
2010-10-13$13.11$11.0036.8%17.3%55.4%15.0%58.9%8.9%-0.9%117.8K-8.6M-30.6K0.5327.7541221719,07710,233
2010-10-14$12.60$11.0057.8%16.6%57.3%43.9%60.9%4.2%3.2%128.8K-7.0M-30.8K0.6357.2217310919,09410,275
2010-10-15$12.58$12.0058.5%16.8%57.1%53.7%58.4%7.2%1.3%142.3K-6.9M-30.7K0.5152.1027614219,10710,339
2010-10-18$12.65$12.0059.4%17.0%46.8%55.2%57.2%5.2%-1.9%105.1K-5.6M-29.9K0.3423.954381509,8404,053
2010-10-19$12.22$12.0063.7%18.3%48.5%61.9%60.4%7.2%-2.8%107.2K-4.8M-30.1K1.6054.0440064210,2604,154
2010-10-20$12.61$12.0058.8%16.9%48.0%54.2%57.5%8.5%-0.6%108.2K-5.5M-31.5K1.3556.1613918710,3734,659
2010-10-21$12.65$12.0060.5%17.3%45.9%56.9%59.6%8.1%-3.7%110.3K-5.5M-32.1K0.0120.7887110,4904,789
2010-10-22$12.79$12.0056.7%16.2%41.2%50.8%54.3%8.0%-0.2%118.1K-5.9M-32.1K0.0543.892301210,5654,789
2010-10-25$13.14$12.0058.3%16.7%41.9%53.4%62.4%6.3%-0.9%125.0K-6.7M-31.7K0.1717.663215410,7104,799
2010-10-26$12.97$12.0060.0%17.2%42.4%56.0%60.0%3.4%-1.9%127.5K-6.5M-31.7K0.7039.2016811710,8784,841
2010-10-27$13.11$12.0061.7%17.7%42.1%58.8%64.7%10.3%-3.5%130.1K-6.6M-31.7K8.2942.5575810,9544,936
2010-10-28$13.27$12.0063.1%18.1%41.9%61.0%63.6%9.0%-6.4%129.4K-7.2M-31.6K2.3140.786481,50010,9604,964
2010-10-29$13.19$12.0066.0%18.9%41.9%65.6%65.1%5.5%-6.3%104.9K-6.8M-33.9K0.2540.7665216211,3706,291