SANM Options History — May 2012

In May 2012, SANM traded between $7.10 and $8.83. ATM implied volatility averaged 50.9%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 3.2% (HV 20d: 54.1%). Max pain ranged from $8.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 8.77.

Notable Days

  • 2012-05-14: Highest Volume — 3,020 contracts
  • 2012-05-09: Largest IV spike — 40.1% change
  • 2012-05-17: Highest IV Rank — 45.5%
  • 2012-05-17: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.70$7.10$8.83$8.83$7.11
Max Pain$8.68$8.00$11.00$11.00$8.00
ATM IV50.9%40.3%62.0%40.3%49.7%
Expected Move14.5%11.6%17.8%11.6%14.3%
HV 20d54.1%37.1%65.1%64.9%37.3%
HV 60d45.1%43.8%46.7%43.8%45.8%
IV Rank30.5%16.2%45.5%16.2%28.9%
IV Percentile50.9%21.8%68.7%21.8%47.2%
Term Structure-1.6%-6.8%4.7%4.7%0.5%
VWIV47.4%30.7%58.9%40.3%30.7%
Skew 25d5.6%-12.7%18.9%13.8%14.3%
Skew 10d7.4%-14.2%24.8%24.8%12.3%
Call IV 25d45.2%30.9%57.1%30.9%35.2%
Put IV 25d50.8%33.3%67.1%44.7%49.6%
Bid-Ask Spread %50.6024.94106.3930.2551.01
Gamma HHI0.410.290.570.290.57
Net GEX31.1K20.0K45.6K21.4K26.8K
Net DEX591.2K117.3K974.6K371.4K576.5K
Net VEX-4.7K-6.6K-3.1K-6.6K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.770.00156.000.101.11
Total Volume247.95503,02020119
Total OI7,441.0916,3578,6796,3577,554

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$8.83$11.0040.3%11.6%64.9%16.2%40.3%13.8%4.7%21.4K371.4K-6.6K0.1030.25183184,0722,285
2012-05-02$8.61$11.0045.5%13.0%64.9%23.2%45.4%7.5%-0.2%23.5K476.3K-6.4K0.0639.137754,2222,303
2012-05-03$8.64$10.0044.6%12.8%65.0%21.9%55.8%10.7%-2.1%25.8K523.5K-6.3K0.0962.22353324,2662,297
2012-05-04$8.47$9.0042.2%13.8%65.0%18.7%41.5%-0.5%-1.1%31.7K510.5K-6.3K0.0030.9925014,5322,308
2012-05-07$8.28$9.0052.4%15.3%65.1%32.5%49.1%13.2%-6.8%33.1K572.5K-5.7K156.0037.3523124,7822,257
2012-05-08$8.34$9.0043.9%13.3%62.4%20.9%44.5%11.1%1.6%34.6K654.7K-5.7K0.0824.947464,7822,296
2012-05-09$7.97$9.0061.4%13.6%62.7%44.7%31.9%-12.7%0.8%27.9K808.0K-4.8K0.4984.342111034,7782,201
2012-05-10$7.73$9.0047.7%13.7%59.7%26.1%46.8%1.8%-4.7%21.6K974.6K-4.4K0.0133.4811414,9722,300
2012-05-11$7.72$9.0049.3%14.1%59.8%28.3%0.0%18.9%-4.0%21.8K945.6K-4.5K0.0034.98505,0692,301
2012-05-14$7.59$9.0053.5%15.4%58.7%34.1%52.8%1.5%-4.3%20.0K959.4K-4.3K0.0079.543,02005,0642,301
2012-05-15$7.38$8.0050.5%14.5%55.8%29.9%51.3%-6.7%2.8%38.9K718.2K-4.8K0.1761.79128226,2432,301
2012-05-16$7.13$8.0050.7%14.5%56.0%30.3%58.9%1.6%0.8%32.5K833.3K-4.2K0.7942.3738306,3482,321
2012-05-17$7.33$8.0062.0%17.8%58.6%45.5%0.0%10.5%-5.4%36.7K724.5K-4.7K0.0045.3601386,3402,339
2012-05-18$7.25$8.0057.8%16.6%58.6%39.9%56.1%4.9%-0.5%35.3K751.5K-4.5K0.0039.87406,3402,297
2012-05-21$7.59$8.0050.1%14.4%62.7%29.4%51.6%10.3%-1.3%45.6K117.3K-4.6K0.2234.6445105,7581,595
2012-05-22$7.29$8.0049.8%14.3%41.0%29.0%48.4%-0.5%-1.4%38.3K339.9K-4.0K0.6044.7547285,7961,605
2012-05-23$7.38$8.0055.9%16.0%41.5%37.3%53.7%6.0%-0.8%39.4K295.7K-4.2K2.8638.0814405,8071,621
2012-05-24$7.19$8.0052.8%15.1%39.3%33.0%0.0%-3.0%-2.9%33.8K419.6K-3.8K0.0072.58055,8211,651
2012-05-25$7.22$8.0051.8%14.9%37.4%31.7%0.0%1.1%-0.8%34.3K427.0K-3.8K0.2581.0881205,8211,656
2012-05-29$7.27$8.0054.6%15.7%37.1%35.5%0.0%5.1%-5.8%34.4K465.6K-3.6K0.0038.06005,8871,676
2012-05-30$7.10$8.0053.0%15.2%37.4%33.4%30.7%13.8%-4.7%27.0K540.2K-3.2K3.75106.394155,8871,652
2012-05-31$7.11$8.0049.7%14.3%37.3%28.9%0.0%14.3%0.5%26.8K576.5K-3.1K1.1151.019105,8871,667