SANM Options History — March 2012

In March 2012, SANM traded between $10.84 and $11.70. ATM implied volatility averaged 35.0%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 5.0% (HV 20d: 30.0%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2012-03-26: Highest Volume — 1,384 contracts
  • 2012-03-13: Largest IV drop — 20.5% change
  • 2012-03-20: Highest IV Rank — 13.4%
  • 2012-03-07: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.30$10.84$11.70$11.70$11.45
Max Pain$10.18$10.00$12.00$12.00$10.00
ATM IV35.0%28.4%38.3%36.3%34.5%
Expected Move10.7%9.3%12.6%10.4%9.9%
HV 20d30.0%24.8%32.3%28.4%28.7%
HV 60d36.0%33.5%39.2%37.6%33.5%
IV Rank7.1%0.0%13.4%5.4%8.2%
IV Percentile4.1%0.0%10.3%2.4%4.4%
Term Structure8.0%2.8%12.3%2.8%7.5%
VWIV36.0%29.4%43.7%34.7%31.3%
Skew 25d4.5%-7.3%21.8%-6.0%4.8%
Skew 10d7.1%-8.7%25.6%5.2%5.9%
Call IV 25d31.6%18.1%41.8%30.0%29.7%
Put IV 25d36.1%24.1%44.8%24.1%34.5%
Bid-Ask Spread %39.8421.5964.4038.3531.09
Gamma HHI0.280.220.350.220.29
Net GEX48.9K35.9K62.6K53.1K61.7K
Net DEX-2.3M-3.3M-1.6M-2.6M-3.3M
Net VEX-6.8K-7.8K-5.5K-7.3K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.007.004.500.13
Total Volume159.521,3845534
Total OI6,328.2275,4586,9436,2146,943

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$11.70$12.0036.3%10.4%28.4%5.4%0.0%-6.0%2.8%53.1K-2.6M-7.3K4.5038.3510454,0362,178
2012-03-02$11.60$12.0032.4%9.3%28.6%0.0%34.7%4.3%7.1%52.7K-2.4M-7.3K0.9733.1973714,0462,223
2012-03-05$11.41$10.0034.2%11.7%24.8%2.5%39.6%3.4%8.2%49.3K-2.2M-7.3K0.1938.172144,0752,294
2012-03-06$10.84$10.0036.7%11.8%30.1%6.2%41.0%-1.9%12.3%41.2K-1.6M-7.2K2.1352.3030644,0802,298
2012-03-07$11.00$10.0037.9%12.6%30.9%7.8%43.7%8.7%5.5%39.3K-1.6M-7.6K0.3435.7641144,1052,347
2012-03-08$11.03$10.0036.0%12.0%30.5%5.2%39.0%7.9%6.1%40.6K-1.7M-7.3K0.0064.403304,1092,357
2012-03-09$11.13$10.0031.4%11.6%30.8%0.0%37.6%7.6%7.9%41.3K-1.8M-7.0K0.4042.11524,0892,357
2012-03-12$11.08$10.0035.8%11.5%30.7%6.1%0.0%5.3%7.7%39.0K-1.7M-6.8K1.0026.66224,0942,357
2012-03-13$11.45$10.0028.4%11.5%32.1%0.0%39.6%14.6%7.3%49.8K-2.2M-6.6K7.0033.46201404,0932,357
2012-03-14$11.44$10.0032.7%11.0%32.1%5.8%38.1%13.8%8.9%43.1K-2.2M-6.3K0.9129.6911104,1132,376
2012-03-15$11.58$10.0036.3%10.4%32.3%10.7%38.0%14.7%9.7%53.8K-2.4M-6.1K0.6048.13534,1242,386
2012-03-16$11.52$10.0034.0%9.7%30.8%7.6%35.0%-1.6%11.3%44.3K-2.3M-5.9K0.0061.57304,1242,389
2012-03-19$11.59$10.0035.3%10.1%30.9%9.3%35.3%6.3%7.1%35.9K-2.4M-5.5K0.0550.86265133,4222,036
2012-03-20$11.34$10.0038.3%11.0%31.4%13.4%34.9%-0.1%5.9%47.6K-2.3M-6.1K2.3021.5910233,6592,039
2012-03-21$11.38$10.0036.4%10.4%30.7%10.9%36.4%1.8%7.5%48.1K-2.3M-5.9K0.3535.4475263,6682,062
2012-03-22$11.07$10.0035.5%10.2%29.8%9.6%35.8%-7.3%9.0%49.2K-2.0M-6.0K0.0542.33213103,6782,088
2012-03-23$11.07$10.0034.2%9.8%29.8%7.8%29.4%-3.8%9.7%50.2K-2.0M-5.9K0.1541.53648983,7362,098
2012-03-26$11.18$10.0037.5%10.7%30.2%12.3%33.6%21.8%6.4%52.0K-2.3M-6.6K0.0256.211,363214,0022,167
2012-03-27$11.17$10.0035.1%10.1%29.5%9.0%30.7%-1.6%7.9%61.9K-2.8M-7.8K0.0733.752824,6812,187
2012-03-28$11.24$10.0035.3%10.1%28.2%9.4%35.3%0.3%9.0%62.6K-2.9M-7.7K0.0030.69024,6842,189
2012-03-29$11.44$10.0035.3%10.1%28.8%9.3%30.6%5.4%11.2%59.6K-3.2M-7.3K0.0129.086814,6842,191
2012-03-30$11.45$10.0034.5%9.9%28.7%8.2%31.3%4.8%7.5%61.7K-3.3M-7.4K0.1331.093044,7522,191