SANM Options History — November 2011

In November 2011, SANM traded between $7.06 and $9.07. ATM implied volatility averaged 70.9%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 5.8% (HV 20d: 76.7%). 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 11 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2011-11-18: Highest Volume — 1,172 contracts
  • 2011-11-09: Largest IV spike — 39.7% change
  • 2011-11-01: Highest IV Rank — 97.2%
  • 2011-11-01: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.21$7.06$9.07$8.05$8.47
Max Pain$7.71$7.00$8.00$7.00$8.00
ATM IV70.9%53.7%100.1%100.1%62.3%
Expected Move20.5%15.7%28.7%28.7%17.9%
HV 20d76.7%67.5%84.0%80.9%84.0%
HV 60d81.2%77.8%84.9%84.4%82.4%
IV Rank56.5%32.6%97.2%97.2%44.6%
IV Percentile78.8%66.7%99.6%99.6%68.3%
Term Structure-1.2%-20.6%12.8%-20.6%1.5%
VWIV70.2%56.7%91.9%91.9%62.0%
Skew 25d13.7%2.0%31.4%2.0%11.5%
Skew 10d27.6%8.8%54.4%45.7%26.0%
Call IV 25d62.3%43.7%85.9%85.9%53.3%
Put IV 25d76.0%64.8%88.0%88.0%64.8%
Bid-Ask Spread %44.6221.76102.1641.7055.68
Gamma HHI0.280.200.460.300.31
Net GEX38.9K8.0K94.0K51.0K23.1K
Net DEX-555.0K-1.8M786.0K-931.0K206.2K
Net VEX-8.2K-10.5K-5.1K-10.5K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.012.220.240.07
Total Volume240.952141,172373161
Total OI10,758.6677,83612,66711,4668,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$8.05$7.00100.1%28.7%80.9%97.2%91.9%2.0%-20.6%51.0K-931.0K-10.5K0.2441.70300738,3573,109
2011-11-02$8.43$7.0074.8%21.4%73.6%62.0%57.6%7.2%-14.9%58.4K-1.0M-9.9K0.0949.431,048978,4223,182
2011-11-03$8.53$7.0054.9%15.7%73.0%34.2%0.0%15.5%12.8%56.8K-1.2M-9.5K2.22102.1618408,4623,279
2011-11-04$8.24$7.0066.7%19.8%72.9%50.7%80.7%16.4%0.0%47.1K-738.9K-9.1K0.0064.190148,4663,279
2011-11-07$8.28$7.0070.0%20.6%67.5%55.2%70.0%13.4%-3.4%46.6K-676.1K-8.8K0.8337.5353448,4663,293
2011-11-08$9.07$7.0053.7%17.0%73.8%32.6%56.8%28.0%2.3%94.0K-1.8M-10.3K0.5044.00127638,5043,293
2011-11-09$8.21$8.0075.0%21.9%82.0%62.2%76.7%8.1%-4.2%44.1K-758.5K-8.9K0.0341.95920308,5263,334
2011-11-10$8.48$8.0074.5%21.4%82.8%61.5%73.5%9.0%-6.5%59.6K-1.1M-9.5K0.4139.8539169,2133,317
2011-11-11$8.76$8.0065.7%18.8%82.1%49.3%65.9%12.0%-0.4%78.1K-1.5M-10.0K0.0139.0210619,2403,307
2011-11-14$8.47$8.0074.8%21.4%81.5%61.9%72.0%9.7%2.2%41.2K-1.1M-8.7K0.4237.901259,2383,308
2011-11-15$8.70$8.0066.0%18.9%77.5%49.8%69.7%12.2%0.2%57.2K-1.3M-8.8K1.1229.8217199,2363,313
2011-11-16$8.46$8.0072.5%20.8%74.6%58.8%64.7%9.9%6.2%28.8K-1.1M-8.1K0.1241.474159,2363,330
2011-11-17$8.62$8.0066.6%19.1%73.5%50.6%66.5%6.2%1.4%40.2K-1.2M-8.4K0.0583.5413879,2363,330
2011-11-18$8.40$8.0074.0%21.2%72.1%60.9%56.7%15.2%-2.0%20.5K-993.9K-7.9K0.0246.481,154189,3303,337
2011-11-21$8.03$8.0067.4%19.3%73.2%51.7%66.8%13.1%6.0%16.6K290.2K-7.4K0.0537.3010455,0702,766
2011-11-22$7.77$8.0069.0%19.8%73.5%53.9%70.5%12.0%1.7%14.4K469.6K-6.7K0.1735.4189155,1672,771
2011-11-23$7.26$8.0077.1%22.1%76.6%65.2%76.6%9.6%-0.2%9.8K738.3K-5.6K0.5121.9663325,2212,786
2011-11-25$7.06$8.0083.3%23.9%74.4%73.8%80.8%23.0%-9.2%8.0K786.0K-5.1K0.0021.760455,2232,766
2011-11-28$7.61$8.0071.5%20.5%80.3%57.4%72.5%22.3%-1.7%10.5K680.6K-5.7K0.3429.4547165,2232,811
2011-11-29$7.60$8.0068.6%19.7%80.3%53.3%71.2%31.4%3.1%10.8K666.7K-5.6K0.0836.497265,2532,810
2011-11-30$8.47$8.0062.3%17.9%84.0%44.6%62.0%11.5%1.5%23.1K206.2K-6.8K0.0755.68151105,3062,816