SANM Options History — March 2011

In March 2011, SANM traded between $10.22 and $15.89. ATM implied volatility averaged 50.9%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 17.5% (HV 20d: 68.4%). Max pain ranged from $12.00 to $16.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.70.

Notable Days

  • 2011-03-17: Highest Volume — 3,330 contracts
  • 2011-03-07: Largest IV spike — 15.2% change
  • 2011-03-18: Highest IV Rank — 61.6%
  • 2011-03-18: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.77$10.22$15.89$15.01$11.21
Max Pain$13.57$12.00$16.00$16.00$12.00
ATM IV50.9%41.9%63.4%47.0%46.4%
Expected Move14.7%12.1%18.2%13.5%13.3%
HV 20d68.4%46.4%91.5%48.4%88.1%
HV 60d60.3%49.2%71.2%49.2%70.0%
IV Rank41.7%27.4%61.6%35.5%34.6%
IV Percentile39.4%9.5%80.2%29.8%22.2%
Term Structure2.5%-3.6%7.9%1.3%7.2%
VWIV50.9%45.5%61.3%47.2%45.5%
Skew 25d4.7%-0.2%15.0%-0.2%6.8%
Skew 10d8.0%-13.8%25.6%-6.4%15.7%
Call IV 25d49.2%34.2%60.7%49.0%43.0%
Put IV 25d53.8%44.0%65.3%48.8%49.7%
Bid-Ask Spread %36.4017.1660.0259.0518.80
Gamma HHI0.210.120.300.240.25
Net GEX22.9K-17.7K55.2K39.0K48.8K
Net DEX-32.1K-3.7M3.1M-2.1M285.9K
Net VEX-13.2K-16.2K-8.8K-16.2K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.0113.411.060.25
Total Volume629.217823,33099170
Total OI10,318.6099,00514,1459,02814,145

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$15.01$16.0047.0%13.5%48.4%35.5%47.2%-0.2%1.3%39.0K-2.1M-16.2K1.0659.0548515,0084,020
2011-03-02$15.25$16.0047.5%13.6%46.4%36.2%47.6%8.1%0.5%43.3K-2.5M-15.5K5.3458.69382035,0244,025
2011-03-03$15.89$16.0042.1%12.1%48.7%27.6%45.9%0.8%5.3%53.2K-3.7M-15.5K0.8131.581901545,0424,111
2011-03-04$15.82$14.0041.9%13.5%48.2%27.4%47.0%4.7%-0.1%55.2K-3.5M-15.4K0.0820.38196155,0044,001
2011-03-07$14.97$14.0048.3%14.1%50.5%37.5%49.4%1.1%-1.3%45.3K-2.3M-14.8K0.7338.63110805,1204,016
2011-03-08$15.12$14.0048.9%14.0%50.7%38.5%49.2%5.9%1.6%44.4K-2.3M-15.2K0.3432.1761215,0924,092
2011-03-09$14.60$14.0047.3%14.0%51.9%36.0%49.6%3.0%1.6%37.5K-1.5M-14.4K0.3433.08259875,1224,094
2011-03-10$14.16$14.0050.2%14.4%49.6%40.5%49.0%3.3%3.5%31.8K-734.9K-14.1K8.9740.33746645,1464,159
2011-03-11$14.12$13.0051.7%14.8%48.8%42.9%49.8%4.2%0.0%35.6K-954.3K-13.9K0.2224.88190415,1584,008
2011-03-14$14.28$14.0050.4%14.5%48.7%40.9%50.4%2.6%1.6%38.8K-1.1M-13.5K13.4137.26273625,2034,017
2011-03-15$14.01$14.0052.9%15.2%48.8%44.9%52.5%4.2%0.8%20.0K-593.6K-13.8K0.6743.942051385,2144,312
2011-03-16$13.40$14.0056.9%16.3%50.6%51.2%58.7%3.8%-2.4%7.0K281.1K-13.9K1.1031.852803075,3044,443
2011-03-17$10.65$14.0062.6%17.9%91.5%60.2%61.3%0.8%-3.6%-13.2K2.7M-8.8K1.5048.841,3341,9965,3614,516
2011-03-18$10.50$14.0063.4%18.2%89.5%61.6%61.1%7.1%-2.2%-16.7K3.1M-9.5K0.3837.027202735,9375,273
2011-03-21$10.22$13.0059.9%17.2%89.3%56.0%59.5%3.7%2.1%-17.7K2.5M-8.9K0.5933.525653325,0404,456
2011-03-22$10.29$13.0056.4%16.2%88.7%50.4%53.8%3.4%5.5%-15.2K2.4M-9.5K0.4842.012691285,4114,631
2011-03-23$10.55$13.0052.0%14.9%89.6%43.3%51.3%5.0%5.7%-15.1K2.2M-10.1K0.2317.16274635,5494,703
2011-03-24$10.61$12.0052.3%15.0%88.7%43.9%48.6%8.8%5.3%-12.8K2.1M-10.6K0.0129.451,189125,7004,702
2011-03-25$10.88$12.0047.6%13.6%89.9%36.4%47.8%6.6%7.9%12.2K1.6M-12.0K0.0559.681,202616,7804,693
2011-03-28$10.62$12.0050.1%14.4%88.8%40.4%48.5%3.3%3.0%30.3K1.4M-12.9K0.9760.024844707,8404,708
2011-03-29$10.68$12.0049.0%14.0%88.9%38.6%50.6%15.0%5.7%34.1K1.3M-14.1K1.1618.251661938,3225,091
2011-03-30$10.96$12.0046.2%13.2%89.5%34.2%46.3%5.5%7.8%40.0K838.8K-15.0K0.4520.675302408,4705,265
2011-03-31$11.21$12.0046.4%13.3%88.1%34.6%45.5%6.8%7.2%48.8K285.9K-16.1K0.2518.80136348,7795,366