SANM Options History — June 2011

In June 2011, SANM traded between $9.26 and $10.33. ATM implied volatility averaged 45.8%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 11.6% (HV 20d: 34.2%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.69.

Notable Days

  • 2011-06-21: Highest Volume — 2,236 contracts
  • 2011-06-15: Largest IV spike — 21.0% change
  • 2011-06-17: Highest IV Rank — 52.6%
  • 2011-06-17: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.78$9.26$10.33$10.25$10.33
Max Pain$11.00$11.00$11.00$11.00$11.00
ATM IV45.8%39.9%53.8%50.9%39.9%
Expected Move13.2%11.4%15.4%14.6%11.4%
HV 20d34.2%30.0%38.6%36.6%38.0%
HV 60d44.3%34.8%59.1%59.1%37.3%
IV Rank32.8%21.5%52.6%36.0%21.5%
IV Percentile25.8%3.2%59.1%46.0%3.2%
Term Structure4.2%-9.6%11.0%-9.6%9.6%
VWIV44.1%28.3%59.9%47.0%37.9%
Skew 25d7.3%-4.7%24.6%-4.7%-1.3%
Skew 10d10.5%-12.8%33.8%-2.2%1.1%
Call IV 25d39.6%27.6%46.5%41.8%38.0%
Put IV 25d46.9%36.6%60.4%37.1%36.6%
Bid-Ask Spread %36.0312.7588.6327.8125.83
Gamma HHI0.290.250.340.270.26
Net GEX-9.8K-47.4K20.0K20.0K-5.3K
Net DEX1.7M765.5K2.9M765.5K1.6M
Net VEX-8.5K-10.2K-6.5K-9.2K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.690.0031.004.040.22
Total Volume288.455112,236504112
Total OI9,819.2278,42511,1898,72711,189

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$10.25$11.0050.9%14.6%36.6%36.0%47.0%-4.7%-9.6%20.0K765.5K-9.2K4.0427.811004045,5383,189
2011-06-02$10.25$11.0046.2%13.2%36.1%27.8%45.8%1.8%-1.3%12.4K900.9K-9.9K0.5088.6332165,6383,589
2011-06-03$10.00$11.0044.0%14.1%35.6%23.9%44.7%13.9%0.9%6.6K1.1M-9.3K0.5271.9821115,6383,598
2011-06-06$10.14$11.0045.7%13.2%36.4%27.0%46.4%6.3%4.5%4.9K1.2M-9.0K0.1327.42135175,6393,607
2011-06-07$10.15$11.0042.0%12.5%36.5%21.8%43.5%2.6%5.6%5.9K1.1M-9.0K0.0527.3511055,7383,616
2011-06-08$9.93$11.0045.4%12.6%32.8%29.3%59.9%4.0%6.8%2.9K1.3M-8.5K0.1522.963355,8163,621
2011-06-09$9.80$11.0045.4%13.0%32.7%33.8%41.7%5.7%5.9%2.5K1.3M-8.3K1.2430.2876945,8223,621
2011-06-10$9.64$11.0042.2%12.1%30.0%26.8%0.0%9.7%6.9%-5.8K1.7M-7.6K1.9530.631162265,8493,686
2011-06-13$9.56$11.0043.7%12.5%30.0%30.1%41.6%6.6%6.4%-8.6K1.8M-7.7K0.9631.2454525,9583,782
2011-06-14$9.85$11.0044.5%12.8%30.2%31.8%45.1%2.4%5.7%-7.0K1.5M-8.4K0.5929.6563375,9693,729
2011-06-15$9.50$11.0053.8%15.4%31.6%52.5%51.1%0.7%-2.7%-6.5K1.8M-7.6K0.0027.351105,9793,736
2011-06-16$9.43$11.0049.5%14.2%31.5%43.0%36.4%14.8%2.8%-6.8K1.9M-7.0K2.1435.79741585,9453,733
2011-06-17$9.30$11.0053.8%15.4%30.7%52.6%50.2%1.4%-5.4%-6.0K2.0M-6.8K31.0032.992625,8973,749
2011-06-20$9.36$11.0050.6%14.5%31.0%45.5%46.0%10.2%5.1%-7.4K1.7M-6.5K0.4029.00158635,1113,314
2011-06-21$9.80$11.0042.4%12.2%35.7%27.1%48.7%5.7%7.2%-4.6K1.4M-7.5K17.0317.961242,1125,2193,349
2011-06-22$9.57$11.0043.5%12.5%36.1%29.5%42.7%9.9%6.3%-39.0K2.5M-9.2K0.8967.4885765,3195,348
2011-06-23$9.47$11.0050.3%14.4%35.2%44.8%45.5%6.5%3.5%-43.7K2.8M-8.5K2.7721.57782165,3545,381
2011-06-24$9.26$11.0049.0%14.1%33.0%41.9%41.5%0.0%5.6%-47.4K2.9M-8.0K15.6938.79589105,3695,421
2011-06-27$9.66$11.0042.2%12.1%37.5%26.6%41.5%24.6%11.0%-34.3K2.5M-9.5K0.0031.997605,4235,493
2011-06-28$9.86$11.0042.0%12.0%38.6%26.2%28.3%19.2%7.6%-30.0K2.3M-9.4K0.2812.75173495,4695,493
2011-06-29$10.07$11.0040.4%11.6%36.8%22.6%40.4%20.1%9.7%-19.3K2.0M-9.7K0.6363.2487555,5915,498
2011-06-30$10.33$11.0039.9%11.4%38.0%21.5%37.9%-1.3%9.6%-5.3K1.6M-10.2K0.2225.8392205,6515,538