SANM Options History — January 2013

In January 2013, SANM traded between $9.20 and $11.82. ATM implied volatility averaged 47.6%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 0.9% (HV 20d: 48.5%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2013-01-15: Highest Volume — 4,341 contracts
  • 2013-01-10: Largest IV drop — 26.1% change
  • 2013-01-09: Highest IV Rank — 83.4%
  • 2013-01-28: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.08$9.20$11.82$11.27$9.52
Max Pain$10.62$9.00$11.00$9.00$11.00
ATM IV47.6%38.8%58.3%50.8%38.8%
Expected Move13.1%11.1%16.4%14.6%11.1%
HV 20d48.5%38.2%95.8%41.9%93.1%
HV 60d49.5%45.5%61.5%48.5%61.5%
IV Rank58.6%38.5%83.4%66.1%38.5%
IV Percentile70.7%34.9%96.4%83.3%34.9%
Term Structure-3.3%-11.6%0.7%-8.6%0.7%
VWIV46.7%37.9%57.8%49.5%37.9%
Skew 25d7.5%-9.3%20.1%11.3%4.2%
Skew 10d19.1%-6.9%31.6%20.9%9.5%
Call IV 25d42.0%29.6%56.5%43.9%37.1%
Put IV 25d49.5%37.3%64.1%55.2%41.2%
Bid-Ask Spread %20.1110.8333.7515.8417.98
Gamma HHI0.310.190.580.280.20
Net GEX58.9K15.7K119.1K53.2K21.4K
Net DEX-2.7M-6.5M455.2K-2.8M123.2K
Net VEX-5.8K-8.1K-3.7K-4.2K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.001.860.090.11
Total Volume922.238444,341259706
Total OI6,205.7624,00711,4194,4796,746

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$11.27$9.0050.8%14.6%41.9%66.1%49.5%11.3%-8.6%53.2K-2.8M-4.2K0.0915.84237223,506973
2013-01-03$11.22$9.0050.0%14.3%41.7%64.3%49.9%8.8%-6.4%58.7K-2.8M-4.6K0.1813.9455103,719980
2013-01-04$11.44$11.0050.2%12.4%39.9%64.7%0.0%6.0%-0.8%59.2K-3.0M-4.4K0.0016.834403,750990
2013-01-07$11.28$11.0053.9%12.7%40.5%73.3%44.6%8.3%-0.9%60.8K-2.9M-4.3K1.3813.95791093,794990
2013-01-08$10.84$11.0053.8%12.5%43.6%73.0%44.5%7.1%-1.3%62.6K-2.4M-4.5K0.5312.02133703,8671,099
2013-01-09$10.84$10.0058.3%12.7%43.5%83.4%0.0%7.2%-1.2%62.6K-2.4M-4.6K0.0012.3436903,9341,139
2013-01-10$10.89$10.0043.0%12.3%42.6%48.2%43.2%9.0%-1.7%68.8K-2.6M-5.1K0.1111.75200224,2191,139
2013-01-11$11.15$10.0044.9%12.9%42.7%52.4%45.2%9.5%-2.6%73.7K-3.1M-4.8K0.6815.821,3309104,3281,161
2013-01-14$10.99$10.0046.5%13.3%43.1%56.1%46.4%8.8%-4.1%95.4K-3.0M-5.4K0.6410.832,2641,4595,3772,004
2013-01-15$11.13$11.0046.7%13.4%42.9%56.6%49.6%12.7%-3.2%91.5K-4.0M-8.1K1.8618.791,5202,8217,0133,373
2013-01-16$11.50$11.0047.0%13.5%39.8%57.3%46.2%20.1%-2.8%119.1K-5.7M-7.8K0.2826.783571017,5003,775
2013-01-17$11.69$11.0043.4%12.4%40.0%49.0%46.4%8.4%-1.3%103.3K-6.5M-7.0K0.0128.8345037,5863,833
2013-01-18$11.54$11.0042.0%12.1%39.9%45.9%46.3%4.9%0.1%65.2K-6.2M-7.1K0.3328.28129437,5723,834
2013-01-22$11.65$11.0045.1%12.9%39.7%53.0%46.6%9.1%-3.2%35.4K-1.8M-6.6K0.3117.64217672,8481,159
2013-01-23$11.70$11.0045.2%13.0%38.2%53.3%45.7%5.0%-3.1%40.4K-1.9M-6.8K0.0617.327952,9911,164
2013-01-24$11.82$11.0045.8%13.1%38.2%54.5%48.4%7.4%-4.3%42.5K-2.1M-6.7K1.8233.75571043,0431,164
2013-01-25$11.73$11.0049.7%14.2%38.4%63.6%51.6%6.8%-6.2%42.0K-1.9M-6.8K0.5829.083341953,0811,226
2013-01-28$11.75$11.0057.1%16.4%38.4%80.7%57.8%7.6%-11.6%44.3K-2.0M-6.9K0.4025.698773533,2141,267
2013-01-29$9.20$11.0042.2%12.1%95.8%46.3%43.1%-9.3%-0.1%15.7K455.2K-3.7K0.7831.911,5341,2033,4711,270
2013-01-30$9.61$11.0044.4%12.7%93.5%51.3%44.0%4.2%-6.4%20.0K135.4K-6.3K1.1122.984264734,1442,078
2013-01-31$9.52$11.0038.8%11.1%93.1%38.5%37.9%4.2%0.7%21.4K123.2K-6.9K0.1117.98637694,4442,302