SANM Options History — August 2011

In August 2011, SANM traded between $6.81 and $11.29. ATM implied volatility averaged 73.4%, placing in the 68.5% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded below realized volatility by 27.6% (HV 20d: 101.0%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 2.82.

Notable Days

  • 2011-08-31: Highest Volume — 1,529 contracts
  • 2011-08-08: Largest IV spike — 38.6% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-25: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.45$6.81$11.29$11.29$7.73
Max Pain$10.35$10.00$12.00$12.00$10.00
ATM IV73.4%41.7%97.5%41.7%70.5%
Expected Move20.3%11.9%24.3%11.9%20.2%
HV 20d101.0%80.6%117.9%80.6%101.2%
HV 60d69.3%54.8%78.9%54.8%78.8%
IV Rank68.5%25.5%100.0%25.5%59.9%
IV Percentile90.5%10.7%100.0%10.7%93.7%
Term Structure-0.7%-5.9%7.1%-0.3%-2.5%
VWIV69.7%41.4%82.9%41.4%71.2%
Skew 25d7.0%-18.8%30.1%-3.2%30.1%
Skew 10d20.6%-24.1%56.3%-3.3%18.6%
Call IV 25d63.6%29.7%82.1%39.2%46.9%
Put IV 25d70.6%29.8%90.5%36.0%76.9%
Bid-Ask Spread %54.5726.9992.0926.9971.52
Gamma HHI0.380.170.710.620.32
Net GEX-35.9K-152.0K-1.8K-152.0K-2.0K
Net DEX3.7M141.5K6.1M141.5K2.0M
Net VEX-11.8K-20.5K-6.8K-17.2K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.820.0011.464.479.54
Total Volume378.87131,5294321,529
Total OI13,574.4359,51716,80113,03710,378

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$11.29$12.0041.7%11.9%80.6%25.5%41.4%-3.2%-0.3%-152.0K141.5K-17.2K4.4726.99793535,4837,554
2011-08-02$10.67$12.0053.3%15.3%82.1%51.4%53.9%-18.8%-5.9%-113.5K1.3M-17.4K11.4646.851051,2035,5137,802
2011-08-03$10.98$12.0051.4%14.7%82.3%47.2%61.1%25.2%1.7%-139.5K1.5M-20.5K0.5235.512041075,5738,891
2011-08-04$9.96$12.0060.1%17.2%89.5%66.5%58.0%-10.8%1.5%-90.7K3.4M-18.5K2.7646.71581605,6478,991
2011-08-05$9.69$10.0067.3%18.5%89.6%82.7%64.2%1.0%-0.5%-59.8K4.2M-17.7K5.5759.81935185,6629,082
2011-08-08$8.49$10.0093.3%21.5%100.6%100.0%76.3%-12.5%-0.1%-21.5K5.3M-13.4K1.0063.831701705,7479,473
2011-08-09$8.49$10.0096.9%21.4%100.4%100.0%74.1%1.1%-1.3%-10.8K5.8M-11.9K6.3569.30915785,8229,549
2011-08-10$7.86$10.0097.5%22.9%103.3%100.0%82.9%-4.4%-5.6%-11.9K5.5M-11.4K2.1352.1330645,8839,770
2011-08-11$8.69$10.0074.9%21.5%110.0%66.4%73.2%18.5%-1.0%-21.6K5.4M-13.8K10.7645.871041,1195,8989,752
2011-08-12$8.32$10.0079.4%22.8%110.9%73.1%0.0%11.8%-1.0%-34.4K6.0M-12.4K5.0059.39201005,94710,738
2011-08-15$8.77$10.0075.4%21.6%112.4%67.1%65.3%14.4%-5.4%-28.9K5.9M-13.0K0.1151.828095,96710,790
2011-08-16$8.60$10.0071.1%20.4%110.9%60.7%70.9%9.4%0.4%-33.8K5.9M-12.4K0.8836.1934306,01410,787
2011-08-17$8.55$10.0063.2%18.1%110.9%49.1%62.8%5.6%2.2%-33.1K5.9M-11.5K0.1330.23199256,03010,555
2011-08-18$7.60$10.0077.1%22.1%117.3%69.7%76.0%-1.1%1.6%-39.4K6.1M-9.6K0.0083.871706,19210,351
2011-08-19$7.23$10.0081.4%23.3%117.9%76.1%82.5%-2.1%-5.8%-8.4K6.1M-8.2K0.3662.95193706,20010,351
2011-08-22$7.12$10.0074.6%21.4%117.6%66.0%73.9%-9.9%-1.4%-5.4K2.0M-7.6K0.0255.048724,9944,523
2011-08-23$7.60$10.0075.0%21.5%94.2%66.6%76.6%22.0%-4.8%-5.3K2.1M-8.1K0.4834.263281595,0484,524
2011-08-24$7.34$10.0078.8%22.6%94.2%72.1%73.6%12.6%4.8%-2.3K2.0M-8.0K0.8034.1781655,3414,564
2011-08-25$6.81$10.0084.8%24.3%94.8%81.0%82.9%6.5%-3.0%-3.0K2.0M-7.1K1.6941.82711205,3984,620
2011-08-26$7.16$10.0080.9%23.2%97.9%75.3%70.1%17.1%7.1%-4.3K2.2M-6.8K0.3272.5293305,4664,718
2011-08-29$7.64$10.0072.3%20.7%102.8%62.4%73.3%24.6%-0.8%-2.6K2.1M-8.1K0.3592.09113405,5214,738
2011-08-30$7.70$10.0068.2%19.5%102.2%56.4%0.0%24.7%4.1%-1.8K1.9M-8.6K0.1882.191125,5934,772
2011-08-31$7.73$10.0070.5%20.2%101.2%59.9%71.2%30.1%-2.5%-2.0K2.0M-8.4K9.5471.521451,3845,6044,774