SANM Options History — December 2011

In December 2011, SANM traded between $8.55 and $9.54. ATM implied volatility averaged 51.9%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 13.6% (HV 20d: 65.5%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2011-12-09: Highest Volume — 1,111 contracts
  • 2011-12-15: Largest IV spike — 36.0% change
  • 2011-12-08: Highest IV Rank — 42.5%
  • 2011-12-08: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.99$8.55$9.54$8.57$9.31
Max Pain$9.81$8.00$10.00$8.00$10.00
ATM IV51.9%35.4%60.8%57.7%49.3%
Expected Move15.9%14.1%18.3%16.5%14.1%
HV 20d65.5%39.6%82.5%82.5%40.2%
HV 60d76.4%66.9%80.3%80.3%66.9%
IV Rank28.5%4.2%42.5%38.2%24.1%
IV Percentile51.2%0.8%67.9%66.7%43.7%
Term Structure8.1%2.2%12.6%5.2%10.1%
VWIV55.3%44.5%65.8%50.4%53.3%
Skew 25d11.0%2.4%17.9%8.1%8.0%
Skew 10d21.1%-3.1%47.5%6.0%21.9%
Call IV 25d49.5%36.4%59.7%49.9%44.2%
Put IV 25d60.4%50.9%72.2%57.9%52.1%
Bid-Ask Spread %44.3816.1576.7116.1531.68
Gamma HHI0.380.280.880.290.34
Net GEX34.5K15.9K148.1K28.2K22.9K
Net DEX-274.0K-820.7K257.3K-9.9K-482.1K
Net VEX-8.0K-8.9K-7.0K-7.2K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.002.801.400.00
Total Volume176.81161,11111522
Total OI8,937.5718,24210,1738,2428,929

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$8.57$8.0057.7%16.5%82.5%38.2%50.4%8.1%5.2%28.2K-9.9K-7.2K1.4016.1548675,4312,811
2011-12-02$8.64$8.0053.7%15.4%82.5%32.7%0.0%17.9%7.9%30.2K-102.4K-7.4K0.1621.9663105,4722,869
2011-12-05$8.90$10.0057.1%17.9%82.0%37.3%60.5%12.0%3.9%36.2K-314.1K-7.5K0.2648.0478205,5012,868
2011-12-06$8.90$10.0056.1%18.1%82.0%35.9%63.6%11.7%2.2%39.0K-372.2K-7.6K0.0046.953305,5682,878
2011-12-07$8.90$10.0056.4%17.4%75.2%36.4%65.8%11.5%5.9%38.9K-366.9K-7.5K0.6643.421511005,5982,878
2011-12-08$8.66$10.0060.8%18.3%66.5%42.5%62.9%12.4%4.1%35.8K-115.3K-7.0K2.0542.2322455,7412,943
2011-12-09$9.08$10.0048.8%17.1%67.6%25.8%60.7%13.6%6.2%49.8K-487.4K-7.6K0.9148.765815305,7532,961
2011-12-12$8.76$10.0047.8%16.3%68.0%22.0%61.9%9.5%9.2%35.8K-22.2K-8.5K2.7363.2622606,2983,491
2011-12-13$8.64$10.0035.4%16.5%67.1%4.2%60.0%11.1%10.3%29.1K181.5K-8.1K1.6749.926106,2853,538
2011-12-14$8.55$10.0042.0%16.3%66.5%13.6%59.0%8.2%10.4%20.6K251.6K-7.9K0.0740.82342256,2873,537
2011-12-15$8.82$10.0057.1%16.4%66.6%35.3%57.1%2.4%8.3%47.5K11.3K-8.2K0.0446.01473186,3773,542
2011-12-16$8.95$10.0055.6%15.9%66.5%33.1%55.3%7.2%10.5%148.1K-293.8K-8.5K0.1445.24221306,6233,550
2011-12-19$8.67$10.0052.8%15.1%66.8%29.2%52.5%4.0%10.2%15.9K257.3K-7.6K0.1954.02141275,1443,329
2011-12-20$9.15$10.0051.1%14.7%66.9%26.8%49.0%9.3%11.6%19.2K-242.5K-8.4K0.2337.44158365,2393,346
2011-12-21$9.13$10.0049.5%14.2%65.4%24.4%50.2%10.2%12.6%20.2K-283.8K-8.5K1.4448.2536525,3443,382
2011-12-22$9.42$10.0051.0%14.6%59.3%26.6%49.3%15.0%9.9%21.4K-705.0K-8.9K0.0276.715115,3643,402
2011-12-23$9.45$10.0049.1%14.1%57.4%23.9%44.5%14.0%10.7%21.9K-647.9K-8.6K2.8050.3510285,4113,401
2011-12-27$9.54$10.0050.6%14.5%52.8%25.9%47.7%16.1%7.3%21.4K-820.7K-8.4K0.5148.9057295,4183,429
2011-12-28$9.34$10.0053.8%15.4%53.9%30.6%47.2%13.8%7.6%21.7K-518.2K-8.1K0.0439.805725,4163,452
2011-12-29$9.45$10.0053.3%15.3%39.6%29.9%53.3%14.4%6.9%21.8K-671.3K-8.2K0.0932.114745,4313,452
2011-12-30$9.31$10.0049.3%14.1%40.2%24.1%0.0%8.0%10.1%22.9K-482.1K-7.8K0.0031.682205,4753,454