SANM Options History — May 2011

In May 2011, SANM traded between $10.33 and $12.13. ATM implied volatility averaged 46.1%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 7.6% (HV 20d: 38.5%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2011-05-18: Highest Volume — 676 contracts
  • 2011-05-25: Largest IV drop — 14.6% change
  • 2011-05-04: Highest IV Rank — 36.1%
  • 2011-05-04: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.29$10.33$12.13$11.99$10.69
Max Pain$10.86$10.00$11.00$11.00$11.00
ATM IV46.1%38.9%51.0%45.8%40.7%
Expected Move13.3%11.2%14.6%13.1%11.7%
HV 20d38.5%34.5%41.6%36.4%34.5%
HV 60d61.3%59.5%62.7%62.7%59.5%
IV Rank27.7%15.2%36.1%27.1%18.3%
IV Percentile23.9%1.2%44.0%20.2%4.0%
Term Structure0.1%-10.2%4.6%-1.3%0.9%
VWIV45.5%37.9%52.9%44.4%40.3%
Skew 25d5.8%-2.2%15.0%2.9%13.0%
Skew 10d7.6%-4.9%28.5%-1.3%15.4%
Call IV 25d42.2%28.2%50.3%43.9%30.6%
Put IV 25d48.0%39.2%52.1%46.9%43.6%
Bid-Ask Spread %46.5724.8974.2635.1157.64
Gamma HHI0.310.210.420.320.26
Net GEX83.5K14.9K145.1K95.4K29.4K
Net DEX-956.5K-2.6M712.2K-2.2M326.8K
Net VEX-11.4K-13.2K-8.8K-13.2K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.002.750.020.67
Total Volume247.7627167631495
Total OI9,447.0957,27810,4829,3678,644

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$11.99$11.0045.8%13.1%36.4%27.1%44.4%2.9%-1.3%95.4K-2.2M-13.2K0.0235.1130775,9893,378
2011-05-03$11.78$11.0046.5%13.3%37.3%28.4%46.1%-2.2%1.3%95.0K-1.8M-13.1K0.4443.8894416,1373,375
2011-05-04$11.49$11.0051.0%14.6%38.6%36.1%45.4%14.2%-7.6%91.8K-1.4M-12.9K0.5171.6798506,2043,389
2011-05-05$11.69$11.0046.4%13.3%38.9%28.2%44.3%13.8%0.7%101.3K-1.7M-13.2K0.1139.34179196,2613,399
2011-05-06$11.60$10.0045.7%12.9%38.8%27.0%0.0%5.7%1.8%109.6K-1.7M-13.0K0.0439.68246116,4233,382
2011-05-09$11.56$10.0045.8%13.2%38.6%27.2%43.2%2.5%0.3%114.5K-1.5M-12.3K2.6041.0420526,5063,377
2011-05-10$12.01$10.0046.5%14.4%40.6%28.4%48.7%5.3%-0.5%129.3K-2.4M-12.7K1.5048.20721086,5133,429
2011-05-11$11.82$11.0045.3%13.3%40.0%26.3%45.7%5.9%1.2%131.2K-2.1M-12.6K0.0037.7954616,5593,537
2011-05-12$12.13$11.0047.2%13.5%40.0%29.7%0.0%3.0%2.3%138.7K-2.6M-12.6K0.0229.3016036,5513,536
2011-05-13$12.01$11.0046.5%13.3%37.8%28.3%47.8%3.4%0.2%145.1K-2.6M-12.9K0.0224.8912126,6943,533
2011-05-16$11.45$11.0050.3%14.4%41.4%35.0%52.9%2.3%-0.2%117.4K-1.4M-11.8K0.7754.4666516,7123,533
2011-05-17$11.21$11.0048.3%13.8%41.6%31.5%48.3%3.6%0.6%114.6K-656.5K-10.6K0.4430.78161716,7283,579
2011-05-18$11.19$11.0047.2%13.5%40.8%29.6%47.7%3.9%2.1%115.4K-648.6K-10.3K0.0142.1167066,8333,550
2011-05-19$10.88$11.0046.9%13.4%40.0%29.0%48.3%-0.7%0.6%64.7K-185.0K-10.2K1.3838.341091506,8063,515
2011-05-20$10.73$11.0046.5%13.3%39.8%28.3%46.4%3.4%0.2%55.7K219.4K-9.6K0.2274.2658136,8423,640
2011-05-23$10.51$11.0048.5%13.9%39.6%31.9%48.5%6.2%-0.9%22.5K433.9K-8.8K2.7544.251764844,7542,524
2011-05-24$10.33$11.0050.6%14.5%35.1%35.5%44.3%1.9%-10.2%15.0K712.2K-8.9K0.6847.001851264,8772,941
2011-05-25$10.52$11.0043.2%12.4%36.1%22.6%43.7%14.2%1.8%14.9K649.3K-9.4K0.1548.80201315,0073,056
2011-05-26$10.85$11.0040.8%11.7%36.4%18.4%41.2%15.0%4.6%25.8K249.5K-10.1K0.5264.61127665,1653,087
2011-05-27$10.75$11.0038.9%11.2%35.9%15.2%37.9%3.7%4.3%26.0K320.2K-10.2K0.0764.85205155,2823,142
2011-05-31$10.69$11.0040.7%11.7%34.5%18.3%40.3%13.0%0.9%29.4K326.8K-10.1K0.6757.6457385,4873,157