SANM Options History — October 2011

In October 2011, SANM traded between $6.11 and $8.88. ATM implied volatility averaged 78.3%, placing in the 67.0% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded below realized volatility by 9.2% (HV 20d: 87.5%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2011-10-27: Highest Volume — 3,843 contracts
  • 2011-10-07: Largest IV spike — 19.4% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-04: Largest Expected Move — 29.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.03$6.11$8.88$6.11$8.81
Max Pain$7.19$7.00$8.00$8.00$7.00
ATM IV78.3%68.5%102.2%99.3%75.0%
Expected Move22.7%19.6%29.3%28.5%21.5%
HV 20d87.5%76.0%92.0%79.2%76.0%
HV 60d91.4%86.7%96.3%88.3%86.7%
IV Rank67.0%53.3%100.0%100.0%62.3%
IV Percentile88.6%80.6%100.0%100.0%85.3%
Term Structure-1.0%-8.0%16.7%9.6%-8.0%
VWIV80.7%65.6%117.9%97.8%74.3%
Skew 25d15.8%-24.6%34.4%-24.6%11.4%
Skew 10d49.2%-22.7%62.2%-22.7%54.0%
Call IV 25d70.6%57.7%101.8%99.7%72.6%
Put IV 25d86.3%75.1%100.0%75.1%84.0%
Bid-Ask Spread %39.8724.2466.9559.5044.01
Gamma HHI0.360.190.530.390.39
Net GEX49.6K9.6K72.2K9.6K71.6K
Net DEX-516.7K-1.8M1.6M1.6M-1.7M
Net VEX-9.9K-12.1K-5.0K-5.0K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.006.670.090.11
Total Volume782.143763,8431,396207
Total OI12,258.0488,97614,21811,26111,303

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$6.11$8.0099.3%28.5%79.2%100.0%97.8%-24.6%9.6%9.6K1.6M-5.0K0.0959.501,2791177,0674,194
2011-10-04$6.65$8.00102.2%29.3%85.4%100.0%98.8%-1.8%4.9%22.2K1.3M-6.5K0.0359.401,341348,2534,189
2011-10-05$7.41$8.0089.5%25.7%87.9%82.4%88.0%34.4%6.8%47.6K41.9K-9.9K0.0264.0032889,2334,165
2011-10-06$7.64$8.0073.5%21.1%88.0%60.2%117.9%27.9%16.7%56.0K-279.7K-10.5K0.2146.90204429,3844,169
2011-10-07$7.37$7.0087.8%25.6%87.2%80.1%87.9%14.7%-7.7%54.2K-23.7K-10.1K0.3866.957202779,5714,179
2011-10-10$7.98$7.0075.6%23.5%91.2%63.1%87.9%18.5%-2.9%66.2K-788.1K-11.0K0.0633.031,240769,7744,444
2011-10-11$7.80$7.0070.6%22.9%85.4%56.1%79.0%18.2%-2.1%49.5K-252.5K-10.6K0.7829.432221739,1274,484
2011-10-12$8.10$7.0072.2%22.1%86.4%58.4%73.7%20.7%-2.3%55.5K-715.5K-10.8K0.0635.11447279,0984,410
2011-10-13$8.11$7.0073.3%21.0%86.4%59.9%82.6%16.2%0.3%59.5K-695.1K-10.5K0.0934.511,0611009,1734,386
2011-10-14$8.47$7.0073.1%21.0%87.6%59.6%72.8%19.6%-0.1%46.6K-823.9K-10.5K0.0829.7710698,5144,436
2011-10-17$8.11$7.0078.9%22.6%89.1%67.6%73.2%18.3%-6.3%58.3K-422.9K-9.6K0.3124.2458188,5984,433
2011-10-18$8.74$7.0068.5%19.6%87.9%53.3%82.9%19.1%-2.5%38.8K-1.3M-10.3K0.0531.581,634898,6264,448
2011-10-19$8.20$7.0079.3%22.7%91.2%68.2%81.8%18.7%-5.4%51.6K-392.7K-9.6K0.7524.5564488,4914,494
2011-10-20$7.91$7.0076.9%22.0%90.8%64.9%75.8%18.3%-1.9%72.2K115.1K-9.1K6.6726.05392608,3874,514
2011-10-21$8.32$7.0077.8%22.3%92.0%66.2%66.5%18.2%-3.4%64.9K-824.4K-9.4K0.0325.931,467448,4124,607
2011-10-24$8.53$7.0070.6%20.2%91.9%56.1%74.4%17.5%-0.3%33.0K-837.6K-9.6K0.1743.97389675,9962,980
2011-10-25$8.31$7.0077.3%22.2%91.4%65.5%71.5%23.1%-4.4%35.0K-815.4K-10.1K0.0241.4912236,3703,041
2011-10-26$8.43$7.0079.5%22.8%88.5%68.5%74.6%10.9%-5.6%36.1K-884.0K-10.3K0.2936.4677226,4793,044
2011-10-27$8.81$7.0071.1%20.4%89.1%56.8%65.6%18.8%-4.3%44.2K-1.4M-11.0K0.0136.093,818256,6953,066
2011-10-28$8.88$7.0071.1%20.4%84.7%56.8%67.3%12.8%-1.0%69.9K-1.8M-12.1K0.0044.2716308,0963,089
2011-10-31$8.81$7.0075.0%21.5%76.0%62.3%74.3%11.4%-8.0%71.6K-1.7M-11.5K0.1144.01187208,2143,089