SANM Options History — November 2010

In November 2010, SANM traded between $10.45 and $12.98. ATM implied volatility averaged 51.4%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 12.0% (HV 20d: 39.4%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2010-11-02: Highest Volume — 2,609 contracts
  • 2010-11-02: Largest IV drop — 25.6% change
  • 2010-11-01: Highest IV Rank — 73.4%
  • 2010-11-01: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.54$10.45$12.98$12.98$10.45
Max Pain$12.67$12.00$13.00$12.00$12.00
ATM IV51.4%45.6%70.9%70.9%53.8%
Expected Move14.8%13.1%20.3%20.3%15.4%
HV 20d39.4%36.0%43.2%40.6%37.0%
HV 60d53.0%48.7%57.1%55.1%48.7%
IV Rank42.5%33.3%73.4%73.4%46.3%
IV Percentile27.8%13.5%88.5%88.5%36.5%
Term Structure2.1%-8.9%8.5%-8.9%0.0%
VWIV51.1%44.4%70.2%70.2%48.8%
Skew 25d4.9%1.2%12.8%4.2%5.2%
Skew 10d8.7%-16.4%29.5%20.4%7.3%
Call IV 25d49.0%38.8%67.8%67.8%41.4%
Put IV 25d53.9%46.6%72.0%72.0%46.6%
Bid-Ask Spread %25.2816.7464.2418.8516.74
Gamma HHI0.320.240.430.240.38
Net GEX87.3K49.5K196.2K112.3K64.8K
Net DEX-1.6M-6.3M1.3M-6.3M310.5K
Net VEX-27.6K-33.8K-19.2K-33.8K-19.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.034.110.684.11
Total Volume648.619222,6091,904716
Total OI19,337.61915,84221,50218,31216,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$12.98$12.0070.9%20.3%40.6%73.4%70.2%4.2%-8.9%112.3K-6.3M-33.8K0.6818.851,13576911,8906,422
2010-11-02$12.05$13.0052.7%15.1%43.2%44.6%52.2%6.2%0.6%79.3K-2.9M-32.6K1.2522.251,1621,44712,6327,145
2010-11-03$12.09$13.0050.5%14.5%41.6%41.0%50.0%3.5%3.2%71.9K-2.9M-32.5K0.5018.3721410812,6867,369
2010-11-04$12.53$12.0048.9%14.0%42.6%38.5%48.3%12.8%1.3%97.4K-4.6M-33.0K0.3321.082769012,7657,356
2010-11-05$12.49$13.0048.0%14.4%42.6%37.1%49.4%1.6%1.3%94.1K-4.5M-32.8K1.4721.7430945312,8577,377
2010-11-08$12.29$13.0047.4%14.9%42.9%36.1%0.0%7.5%0.5%85.3K-4.0M-31.8K2.0321.377615412,9857,424
2010-11-09$11.99$13.0049.6%14.0%43.2%39.5%50.4%4.6%2.6%59.7K-2.6M-30.7K0.0424.876042412,9537,578
2010-11-10$11.90$13.0050.4%14.7%41.0%40.9%51.1%3.9%2.4%62.4K-2.5M-31.3K0.0319.932,1965513,3547,580
2010-11-11$11.82$13.0052.7%15.1%38.9%44.5%53.0%8.2%0.9%50.3K-2.0M-30.6K0.1725.1880513313,4737,625
2010-11-12$11.50$13.0052.8%15.1%39.8%44.7%52.2%2.8%4.3%49.5K-941.8K-29.2K0.3723.691846813,5097,594
2010-11-15$11.23$13.0055.6%15.9%40.2%49.1%54.0%3.2%-0.2%53.0K27.1K-27.0K0.9931.85696813,4907,639
2010-11-16$10.90$13.0054.0%15.5%39.8%46.5%54.5%2.9%0.6%78.9K1.3M-24.9K1.4531.1918827313,4907,687
2010-11-17$10.96$13.0051.9%14.9%37.6%43.2%51.7%5.2%2.5%93.5K1.2M-24.7K0.2024.19741513,5217,713
2010-11-18$11.17$13.0050.0%14.3%38.5%40.2%49.7%2.8%5.4%118.0K608.8K-24.9K0.4218.7759524713,5637,706
2010-11-19$11.07$13.0049.3%14.1%38.0%39.1%44.4%1.2%4.0%196.2K820.5K-24.6K0.1823.331192213,8177,685
2010-11-22$11.10$13.0045.6%13.1%36.0%33.3%45.0%8.1%8.5%96.8K-1.3M-24.2K0.1964.243266310,8205,022
2010-11-23$10.95$12.0048.8%14.0%36.0%38.4%49.8%3.0%4.4%92.5K-964.8K-23.0K1.4035.2710815110,9755,077
2010-11-24$11.13$12.0047.1%13.5%36.5%35.6%47.2%7.2%4.5%100.2K-1.3M-23.8K0.0421.3297411,0145,224
2010-11-26$10.86$12.0048.7%14.0%36.1%38.2%48.6%3.3%3.7%89.8K-844.7K-23.1K0.5723.0814811,0705,228
2010-11-29$10.80$12.0051.1%14.6%36.1%41.9%52.3%6.4%2.5%87.3K-461.0K-21.3K1.0023.5610110111,0795,233
2010-11-30$10.45$12.0053.8%15.4%37.0%46.3%48.8%5.2%0.0%64.8K310.5K-19.2K4.1116.7414057611,1345,329