SANM Options History — April 2013

In April 2013, SANM traded between $10.43 and $12.63. ATM implied volatility averaged 42.0%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 0.4% (HV 20d: 42.4%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.73.

Notable Days

  • 2013-04-17: Highest Volume — 2,999 contracts
  • 2013-04-23: Largest IV drop — 39.8% change
  • 2013-04-22: Highest IV Rank — 92.2%
  • 2013-04-22: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.42$10.43$12.63$11.11$12.62
Max Pain$10.82$10.00$11.00$10.00$11.00
ATM IV42.0%34.0%62.0%38.2%35.0%
Expected Move12.5%9.7%17.8%10.9%10.0%
HV 20d42.4%26.8%66.8%29.9%66.0%
HV 60d57.3%44.1%68.0%58.4%44.1%
IV Rank46.6%28.3%92.2%38.0%30.8%
IV Percentile46.3%11.9%98.8%35.3%17.1%
Term Structure-2.9%-15.2%11.5%7.0%-1.7%
VWIV43.9%26.3%61.9%26.3%36.3%
Skew 25d5.0%-4.4%11.2%-4.4%8.2%
Skew 10d11.1%-14.8%37.4%-3.3%7.8%
Call IV 25d38.7%23.9%54.3%34.2%29.9%
Put IV 25d43.7%23.6%63.9%29.8%38.1%
Bid-Ask Spread %20.4911.2239.0211.9616.77
Gamma HHI0.320.260.470.290.27
Net GEX16.6K-34.5K75.6K74.4K12.9K
Net DEX-2.2M-3.3M230.5K-2.7M-3.3M
Net VEX-8.6K-10.1K-7.4K-7.4K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.730.0033.970.010.56
Total Volume562.136212,9991,01342
Total OI7,624.7736,3279,1706,3278,801

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$11.11$10.0038.2%10.9%29.9%38.0%26.3%-4.4%7.0%74.4K-2.7M-7.4K0.0111.961,002114,4821,845
2013-04-02$11.04$10.0036.9%10.6%30.1%35.1%37.0%5.1%6.7%72.2K-2.6M-8.0K0.6313.7296604,5031,855
2013-04-03$10.82$10.0036.2%10.4%29.4%33.5%27.3%-4.2%8.6%75.6K-2.1M-8.2K0.1116.33536594,5691,915
2013-04-04$10.92$10.0034.0%9.7%28.4%28.3%0.0%1.4%11.5%69.5K-2.2M-8.5K0.0011.222304,5741,966
2013-04-05$10.83$11.0038.5%12.9%26.9%38.7%48.4%6.3%-5.2%70.0K-2.1M-8.6K0.0019.7201,0624,5971,966
2013-04-08$10.97$11.0039.3%13.6%26.8%40.4%47.6%10.9%-5.7%17.4K-1.9M-9.0K1.7516.7056984,5972,828
2013-04-09$11.20$11.0037.5%13.8%27.9%36.4%48.5%8.4%-5.4%9.4K-2.4M-8.9K5.7024.27201144,6192,913
2013-04-10$11.70$11.0034.9%13.0%30.9%30.4%45.4%10.5%-5.2%26.2K-3.3M-8.2K0.2818.80181514,6142,896
2013-04-11$11.61$11.0045.6%13.1%30.7%54.8%48.4%5.9%-5.0%20.3K-3.2M-8.3K0.0028.054904,6182,941
2013-04-12$11.70$11.0046.5%13.3%29.4%56.8%46.4%8.9%-6.0%21.8K-3.3M-8.1K0.9432.1932304,6232,941
2013-04-15$10.81$11.0051.4%14.7%39.9%68.0%51.2%1.5%-8.3%3.5K-1.5M-8.2K7.4039.0210744,6152,940
2013-04-16$11.07$11.0047.9%13.7%39.0%60.0%47.2%4.0%-4.5%-24.5K-2.1M-8.0K0.0125.646814,6252,978
2013-04-17$10.64$11.0051.4%14.7%40.9%67.9%51.7%6.4%-8.0%-1.2K-1.0M-7.7K0.0021.1702,9994,6252,977
2013-04-18$10.43$11.0054.7%15.7%40.8%75.6%52.5%3.0%-10.1%-3.6K230.5K-9.5K0.1122.053544,5974,557
2013-04-19$10.69$11.0053.3%15.3%41.8%72.3%53.5%6.1%-9.2%-34.5K-210.7K-9.8K0.6419.124652984,6154,555
2013-04-22$10.83$11.0062.0%17.8%42.0%92.2%61.9%9.6%-15.2%-18.6K-110.5K-10.1K0.9025.389398473,2153,274
2013-04-23$12.49$11.0037.3%10.7%66.4%36.1%43.2%7.3%-3.0%4.4K-3.3M-8.4K0.9322.696235773,9883,963
2013-04-24$12.30$11.0034.9%10.0%66.8%30.5%34.4%3.3%-0.6%1.7K-2.9M-8.8K33.9717.12341,1553,8193,884
2013-04-25$12.42$11.0038.6%11.1%66.8%39.0%38.7%1.0%-3.1%-19.4K-2.8M-10.1K0.5315.042241193,8464,984
2013-04-26$12.40$11.0035.8%10.3%66.8%32.6%0.0%0.1%-0.4%-13.3K-2.8M-9.1K0.0016.302103,7814,725
2013-04-29$12.63$11.0034.2%9.8%66.1%28.9%32.5%11.2%-0.9%432-3.2M-8.0K0.1117.57316363,7944,725
2013-04-30$12.62$11.0035.0%10.0%66.0%30.8%36.3%8.2%-1.7%12.9K-3.3M-8.4K0.5616.7727154,0574,744