SANM Options History — August 2012

In August 2012, SANM traded between $8.05 and $9.18. ATM implied volatility averaged 34.9%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 15.5% (HV 20d: 50.4%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.81.

Notable Days

  • 2012-08-03: Highest Volume — 312 contracts
  • 2012-08-16: Largest IV spike — 69.4% change
  • 2012-08-30: Highest IV Rank — 23.7%
  • 2012-08-08: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.74$8.05$9.18$8.05$8.64
Max Pain$7.70$7.00$8.00$8.00$8.00
ATM IV34.9%22.2%41.1%37.0%40.1%
Expected Move11.2%9.3%13.2%10.6%11.5%
HV 20d50.4%35.6%59.8%58.1%36.9%
HV 60d50.6%49.0%52.1%51.9%49.3%
IV Rank13.8%0.0%23.7%11.6%22.3%
IV Percentile13.1%0.0%30.6%11.9%28.6%
Term Structure2.9%-2.5%23.6%-1.9%1.5%
VWIV38.9%23.5%50.2%23.5%38.3%
Skew 25d11.4%-8.6%28.8%-3.9%5.9%
Skew 10d14.1%-3.2%29.2%-3.2%10.6%
Call IV 25d29.4%21.2%37.2%33.4%37.2%
Put IV 25d40.8%24.9%50.1%29.5%43.1%
Bid-Ask Spread %72.7539.40102.5895.1946.12
Gamma HHI0.700.560.800.640.67
Net GEX41.2K17.7K58.8K18.9K45.3K
Net DEX-1.1M-1.6M-487.4K-487.4K-961.0K
Net VEX-5.9K-6.2K-5.5K-5.9K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.003.000.083.00
Total Volume57.0430312270
Total OI4,676.6094,3315,1544,5394,485

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$8.05$8.0037.0%10.6%58.1%11.6%23.5%-3.9%-1.9%18.9K-487.4K-5.9K0.0895.192523,1781,361
2012-08-02$8.15$8.0039.7%11.4%58.3%15.3%0.0%5.2%5.9%17.7K-515.7K-6.0K0.0099.39003,1791,363
2012-08-03$8.54$8.0032.6%9.3%59.8%5.6%50.2%28.8%23.6%24.5K-808.8K-6.1K0.7544.631781343,1791,363
2012-08-06$8.48$7.0029.1%13.2%59.1%0.9%0.0%16.7%-2.1%24.1K-901.0K-6.1K0.0059.550113,3441,478
2012-08-07$8.41$7.0037.1%12.7%58.7%11.8%0.0%5.1%3.9%21.8K-739.0K-6.1K0.0049.2511203,3441,467
2012-08-08$8.33$7.0035.3%13.2%58.9%9.3%0.0%16.0%-2.5%21.3K-698.3K-6.0K0.0044.39003,3511,467
2012-08-09$8.76$7.0028.8%12.0%59.1%0.6%43.0%17.6%1.6%32.2K-1.0M-6.0K0.0039.4028303,3511,467
2012-08-10$8.78$7.0022.2%10.6%58.8%0.0%38.6%17.2%0.6%51.2K-1.2M-6.2K0.6383.9716103,5701,467
2012-08-13$8.70$7.0029.7%10.9%56.0%9.5%37.2%16.1%1.3%46.8K-1.2M-6.0K1.7170.437123,5781,465
2012-08-14$8.91$7.0028.9%11.0%56.0%8.4%41.9%17.8%2.5%58.8K-1.4M-6.1K2.0081.6435703,5851,476
2012-08-15$8.80$8.0023.9%10.8%56.4%2.2%38.5%10.7%1.2%54.9K-1.3M-6.0K0.0086.401203,6131,541
2012-08-16$8.99$8.0040.5%11.6%56.5%22.9%40.5%19.9%4.2%54.7K-1.4M-6.1K0.0094.621803,6011,541
2012-08-17$9.18$8.0037.9%10.9%54.9%19.7%38.3%18.9%2.0%58.8K-1.6M-5.9K0.2997.2370203,5631,541
2012-08-20$9.03$8.0039.2%11.2%53.6%21.3%39.1%17.6%1.4%43.2K-1.3M-5.9K2.00102.585103,3211,010
2012-08-21$9.00$8.0037.6%10.8%42.2%19.3%37.5%3.8%5.7%43.7K-1.3M-5.8K1.3190.5552683,3261,020
2012-08-22$8.95$8.0035.9%10.3%40.4%17.1%0.0%12.1%3.4%46.2K-1.2M-5.8K0.6996.3516113,3621,024
2012-08-23$8.81$8.0038.5%11.0%40.2%20.3%38.4%-4.0%1.6%44.5K-1.1M-5.8K0.0871.771213,3781,018
2012-08-24$8.78$8.0035.4%10.1%38.6%16.5%0.0%8.4%5.5%44.4K-1.1M-5.8K0.00100.460103,3721,017
2012-08-27$9.11$8.0038.3%11.0%40.0%20.2%38.3%23.4%2.5%48.9K-1.4M-5.6K0.4481.6832143,3721,027
2012-08-28$8.85$8.0037.1%10.6%41.5%18.7%0.0%-1.4%1.4%48.4K-1.2M-5.6K0.0049.905403,4041,030
2012-08-29$9.09$8.0037.5%10.8%35.6%19.2%0.0%19.9%5.4%49.7K-1.4M-5.7K1.6744.27353,4501,030
2012-08-30$8.66$8.0041.1%11.8%40.4%23.7%0.0%-8.6%-1.2%46.4K-1.1M-5.5K3.0043.57133,4531,030
2012-08-31$8.64$8.0040.1%11.5%36.9%22.3%0.0%5.9%1.5%45.3K-961.0K-5.5K0.0046.12003,4541,031