SANM Options History — December 2010

In December 2010, SANM traded between $10.95 and $11.81. ATM implied volatility averaged 44.6%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 11.3% (HV 20d: 33.3%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2010-12-20: Highest Volume — 1,077 contracts
  • 2010-12-13: Largest IV spike — 60.2% change
  • 2010-12-14: Highest IV Rank — 40.2%
  • 2010-12-08: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.33$10.95$11.81$11.00$11.48
Max Pain$11.68$11.00$12.50$12.00$11.00
ATM IV44.6%30.2%50.0%49.0%42.3%
Expected Move13.1%11.7%14.1%14.0%12.1%
HV 20d33.3%28.7%37.1%35.2%28.7%
HV 60d41.4%35.3%47.6%47.6%35.3%
IV Rank31.7%8.8%40.2%38.6%28.0%
IV Percentile13.8%0.4%29.8%22.6%8.3%
Term Structure6.5%1.3%12.3%1.3%9.4%
VWIV45.2%39.3%52.0%49.2%52.0%
Skew 25d3.6%-2.4%9.5%2.8%2.5%
Skew 10d7.8%-17.8%21.5%9.9%15.2%
Call IV 25d42.4%26.1%48.5%45.0%43.0%
Put IV 25d46.0%35.5%52.2%47.8%45.5%
Bid-Ask Spread %24.0913.1437.4226.9026.98
Gamma HHI0.460.370.570.410.53
Net GEX160.4K93.2K230.8K93.2K215.0K
Net DEX-1.9M-3.7M-609.2K-609.2K-2.3M
Net VEX-21.7K-23.2K-19.1K-22.4K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.005.030.290.70
Total Volume369.818351,077242112
Total OI18,661.517,05620,30317,05620,303

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$11.00$12.0049.0%14.0%35.2%38.6%49.2%2.8%1.3%93.2K-609.2K-22.4K0.2926.901875511,2265,830
2010-12-02$11.17$12.0046.9%13.4%35.8%35.2%40.2%9.4%3.2%109.5K-1.2M-23.2K1.3716.0710814811,4015,885
2010-12-03$11.23$12.0042.0%12.0%32.8%27.5%42.0%9.5%7.3%120.6K-1.3M-22.6K0.4016.83722911,4525,785
2010-12-06$11.27$12.5046.6%14.0%33.0%34.9%48.5%2.6%6.4%124.3K-1.5M-22.2K0.2326.521453311,4745,810
2010-12-07$11.41$12.5046.7%14.1%33.3%35.0%50.3%3.2%5.7%141.9K-1.8M-22.7K0.4321.3141017811,5535,843
2010-12-08$11.36$12.5046.4%14.1%32.4%34.6%47.9%4.2%5.6%145.2K-1.8M-23.2K0.1525.131652511,8715,982
2010-12-09$11.18$12.5044.6%13.6%32.7%31.6%50.2%1.9%7.0%129.1K-1.2M-21.6K0.2626.591493911,8815,895
2010-12-10$11.38$12.5030.2%13.7%33.4%8.8%45.9%3.1%7.3%154.9K-2.0M-22.9K0.1724.1577813311,9765,925
2010-12-13$11.06$12.5048.4%13.9%33.6%37.7%48.1%5.5%5.3%128.3K-1.4M-21.9K0.0813.146485412,6936,015
2010-12-14$10.95$12.5050.0%13.2%32.7%40.2%41.3%4.0%8.9%120.7K-850.4K-20.9K0.0721.733482313,3316,058
2010-12-15$11.11$11.0046.2%13.2%31.3%34.2%46.1%5.4%6.9%143.4K-1.3M-21.5K1.3419.938211013,5506,070
2010-12-16$11.10$11.0046.8%13.4%31.3%35.2%46.8%1.6%7.8%141.6K-1.5M-21.4K0.2428.47902213,5956,180
2010-12-17$11.13$11.0046.5%13.3%30.6%34.7%46.4%1.9%7.5%135.1K-1.6M-21.1K5.0314.723115613,6336,161
2010-12-20$11.12$12.5044.6%12.8%30.4%31.7%43.2%3.3%7.6%137.1K-1.6M-20.7K0.7716.3160846912,5765,400
2010-12-21$11.81$11.0040.6%11.7%37.1%25.3%41.2%6.8%12.3%230.8K-3.7M-22.8K0.2318.7664414613,0415,552
2010-12-22$11.68$11.0041.4%11.9%37.0%26.5%40.9%-0.2%4.9%218.2K-3.1M-22.0K0.8237.4219215813,4135,652
2010-12-23$11.55$11.0041.5%11.9%37.0%26.7%39.3%-2.4%5.4%206.1K-2.8M-21.6K0.2922.232497113,4615,784
2010-12-27$11.65$11.0047.0%13.5%35.7%35.5%43.9%8.0%3.7%218.8K-3.1M-21.2K0.5135.1123912213,6415,798
2010-12-28$11.45$11.0046.2%13.3%36.3%34.2%42.5%3.3%5.9%203.3K-2.7M-21.1K1.2030.729311213,6865,876
2010-12-29$11.53$11.0043.4%12.4%33.8%29.7%0.0%0.7%6.8%204.7K-2.6M-20.5K0.0030.7235013,6825,952
2010-12-30$11.54$11.0044.5%12.8%29.0%31.5%42.4%2.4%6.9%206.4K-2.5M-20.0K0.0230.146521613,7115,950
2010-12-31$11.48$11.0042.3%12.1%28.7%28.0%52.0%2.5%9.4%215.0K-2.3M-19.1K0.7026.98664614,3355,968