SANM Options History — January 2011

In January 2011, SANM traded between $12.13 and $15.48. ATM implied volatility averaged 46.1%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 3.4% (HV 20d: 49.5%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2011-01-14: Highest Volume — 6,197 contracts
  • 2011-01-13: Largest IV spike — 31.8% change
  • 2011-01-24: Highest IV Rank — 51.0%
  • 2011-01-24: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.69$12.13$15.48$12.17$15.03
Max Pain$12.18$11.00$13.00$11.00$13.00
ATM IV46.1%39.3%56.8%46.1%43.8%
Expected Move13.6%11.3%16.3%13.2%12.6%
HV 20d49.5%35.1%63.9%35.1%63.6%
HV 60d42.1%36.3%48.0%37.0%46.0%
IV Rank34.0%23.2%51.0%34.0%30.4%
IV Percentile20.6%3.2%52.0%16.7%14.7%
Term Structure1.6%-4.7%9.7%5.7%-0.1%
VWIV47.0%37.5%56.7%44.5%40.7%
Skew 25d8.4%0.9%20.4%8.5%7.1%
Skew 10d16.4%1.0%32.3%11.4%6.7%
Call IV 25d41.8%29.4%52.8%37.4%38.7%
Put IV 25d50.1%41.4%60.3%45.9%45.9%
Bid-Ask Spread %31.4316.0045.6520.1918.37
Gamma HHI0.440.230.680.550.28
Net GEX300.0K106.8K574.9K313.1K188.1K
Net DEX-9.3M-20.7M-4.5M-5.3M-7.3M
Net VEX-19.5K-21.5K-17.8K-21.1K-19.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.020.810.050.05
Total Volume1,161.951276,197980232
Total OI18,240.658,97423,16820,39011,740

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$12.17$11.0046.1%13.2%35.1%34.0%44.5%8.5%5.7%313.1K-5.3M-21.1K0.0520.199344614,3975,993
2011-01-04$12.13$12.5039.4%11.3%35.2%23.3%37.5%7.3%9.7%355.6K-4.8M-20.6K0.8125.90705714,1605,992
2011-01-05$12.59$12.5042.6%12.2%37.1%28.5%44.2%18.7%7.9%417.7K-7.0M-20.9K0.6225.3619011814,1705,995
2011-01-06$12.32$12.5039.3%11.3%38.1%23.2%37.5%15.6%8.6%421.1K-6.1M-20.9K0.5145.371075514,1645,985
2011-01-07$12.22$12.0039.6%13.8%37.7%23.7%46.9%4.0%1.3%403.0K-5.2M-20.3K0.0232.60160314,1975,993
2011-01-10$12.27$12.0051.0%14.4%37.4%41.8%48.5%5.0%-0.2%370.0K-5.4M-19.0K0.5727.941106314,2195,996
2011-01-11$12.37$12.0042.9%14.4%35.4%28.9%48.8%6.2%-0.1%458.7K-6.0M-19.0K0.1828.2356410114,3076,037
2011-01-12$12.72$12.0039.4%14.1%35.7%23.3%51.5%8.4%0.6%574.9K-8.2M-19.3K0.2229.832274914,7536,088
2011-01-13$13.34$12.0051.8%14.9%38.4%43.2%51.0%7.1%-1.8%462.1K-11.9M-18.3K0.1837.552,66248214,8606,093
2011-01-14$15.10$12.0049.0%14.1%55.7%38.7%50.6%20.4%2.5%220.6K-20.7M-18.1K0.1435.325,42277516,7726,396
2011-01-18$15.05$12.0053.5%15.3%56.0%45.8%54.0%7.8%-2.4%192.1K-18.0M-17.8K0.1534.096329615,3547,067
2011-01-19$14.46$12.0052.5%15.1%59.1%44.2%52.3%7.1%0.6%246.9K-16.1M-18.6K0.5630.1837221015,5467,082
2011-01-20$13.88$12.0053.3%15.3%59.3%45.4%55.2%9.1%-4.7%277.3K-14.0M-18.2K0.0542.881,1035115,5187,100
2011-01-21$13.62$12.0053.2%15.3%59.7%45.3%53.7%4.3%1.0%206.9K-13.1M-18.0K0.2745.651794815,4107,085
2011-01-24$14.07$12.0056.8%16.3%59.9%51.0%56.7%7.5%-4.3%106.8K-4.5M-17.8K0.1541.272,4283626,4562,518
2011-01-25$14.77$12.0042.2%12.1%61.4%27.9%42.7%4.0%2.4%188.2K-7.2M-20.4K0.3042.611,6614928,3332,861
2011-01-26$15.34$12.0042.7%12.2%61.1%28.6%41.4%14.1%1.1%187.5K-8.5M-20.6K0.0528.282,0451088,7103,131
2011-01-27$15.48$13.0041.3%11.8%61.0%26.3%40.0%4.4%1.8%216.2K-9.4M-21.5K0.1321.06308399,3563,193
2011-01-28$14.87$13.0041.7%12.0%63.9%27.1%42.0%0.9%2.9%192.9K-7.3M-20.1K0.3416.005071718,5673,219
2011-01-31$15.03$13.0043.8%12.6%63.6%30.4%40.7%7.1%-0.1%188.1K-7.3M-19.5K0.0518.37220128,3903,350