SANM Options History — May 2013

In May 2013, SANM traded between $12.01 and $14.09. ATM implied volatility averaged 34.4%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 19.2% (HV 20d: 53.6%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2013-05-10: Highest Volume — 508 contracts
  • 2013-05-14: Largest IV drop — 44.5% change
  • 2013-05-13: Highest IV Rank — 43.8%
  • 2013-05-28: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.31$12.01$14.09$12.01$13.58
Max Pain$12.18$11.00$13.00$11.00$13.00
ATM IV34.4%22.6%40.8%36.1%34.9%
Expected Move10.1%9.4%11.3%10.4%10.0%
HV 20d53.6%31.2%69.5%68.4%31.7%
HV 60d45.4%44.5%46.6%45.2%46.3%
IV Rank29.4%2.6%43.8%33.3%30.6%
IV Percentile20.5%0.8%51.6%24.6%21.8%
Term Structure0.3%-2.2%2.5%-0.9%1.8%
VWIV35.1%26.4%39.8%36.1%39.8%
Skew 25d5.4%0.4%14.8%3.9%14.8%
Skew 10d10.8%-5.5%25.3%3.1%25.3%
Call IV 25d31.0%23.2%34.5%23.2%26.4%
Put IV 25d36.4%27.1%42.0%27.1%41.2%
Bid-Ask Spread %23.9011.9470.2611.9415.51
Gamma HHI0.250.180.390.390.23
Net GEX42.5K-23.6K64.2K-23.6K48.8K
Net DEX-3.9M-5.5M-2.4M-2.4M-3.4M
Net VEX-6.8K-9.7K-5.8K-9.7K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.002.960.530.06
Total Volume133.091350818417
Total OI8,035.5915,6599,9248,8106,372

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$12.01$11.0036.1%10.4%68.4%33.3%36.1%3.9%-0.9%-23.6K-2.4M-9.7K0.5311.94120644,0644,746
2013-05-02$12.44$11.0037.5%10.7%69.2%36.4%33.7%2.8%-2.2%10.7K-3.2M-8.6K0.0023.333304,1654,794
2013-05-03$12.83$11.0034.0%9.8%69.5%28.5%0.0%9.2%-0.3%35.6K-3.8M-7.3K0.0018.205004,1974,794
2013-05-06$12.97$11.0034.4%9.6%69.5%29.5%34.0%5.0%1.7%50.7K-4.1M-6.5K0.2818.30153434,2124,794
2013-05-07$13.00$11.0033.3%10.1%69.3%26.9%36.7%6.9%-1.0%48.0K-4.0M-6.7K1.4116.2734484,2094,837
2013-05-08$12.95$12.0032.0%9.8%68.1%23.8%33.2%5.7%0.7%51.7K-4.0M-6.7K0.0015.5727004,2334,885
2013-05-09$12.92$12.0033.6%10.0%68.0%27.6%0.0%3.8%-0.8%57.9K-4.1M-7.3K0.0016.872004,4564,885
2013-05-10$13.36$12.0030.4%9.7%68.7%20.2%33.8%2.8%2.5%64.2K-4.7M-6.0K1.5713.531983104,4664,885
2013-05-13$13.43$12.0040.8%9.9%60.8%43.8%0.0%1.0%1.8%49.5K-4.7M-6.7K0.1824.17196354,5435,194
2013-05-14$13.70$12.0022.6%10.2%60.7%2.6%36.5%2.4%1.5%48.0K-5.1M-6.0K0.0026.794304,6755,224
2013-05-15$13.84$12.0032.2%10.3%57.8%24.4%36.3%0.5%1.3%49.5K-5.3M-6.2K0.0026.473404,7005,224
2013-05-16$13.89$12.0033.8%9.7%56.6%27.9%32.9%1.8%-0.3%52.5K-5.3M-6.0K0.4232.4969294,6305,193
2013-05-17$14.09$12.0034.0%9.7%56.4%28.4%34.1%5.5%0.7%58.0K-5.5M-5.9K1.2424.1371884,6625,220
2013-05-20$13.79$13.0033.3%9.5%57.8%26.7%32.6%0.4%0.2%40.7K-3.7M-5.8K0.1928.67222423,5482,111
2013-05-21$13.97$13.0034.0%9.8%31.2%28.5%0.0%0.9%-0.4%47.4K-3.9M-5.8K0.0027.69303,7632,148
2013-05-22$13.64$13.0032.8%9.4%32.1%25.7%31.9%0.4%1.7%45.4K-3.6M-6.3K2.7120.35421143,7632,148
2013-05-23$13.00$13.0037.0%10.6%37.1%35.3%38.3%4.5%-0.8%38.3K-2.8M-7.5K2.9624.07722133,7622,231
2013-05-24$13.19$13.0037.0%10.6%37.4%35.1%37.7%9.9%-0.7%35.3K-2.9M-7.4K0.5830.0319113,7242,422
2013-05-28$13.46$13.0039.5%11.3%37.5%40.9%26.4%13.2%-1.9%38.6K-3.2M-7.0K0.0416.88229103,7422,421
2013-05-29$13.24$13.0038.4%11.0%38.1%38.4%38.5%9.4%0.4%40.8K-3.0M-7.3K0.0070.26703,9372,431
2013-05-30$13.56$13.0035.7%10.2%33.5%32.2%39.8%14.3%1.0%47.6K-3.4M-6.9K0.7324.311183,9422,431
2013-05-31$13.58$13.0034.9%10.0%31.7%30.6%39.8%14.8%1.8%48.8K-3.4M-6.8K0.0615.511613,9492,423