SANM Options History — July 2013

In July 2013, SANM traded between $14.56 and $16.48. ATM implied volatility averaged 40.5%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 7.1% (HV 20d: 33.4%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2013-07-22: Highest Volume — 1,443 contracts
  • 2013-07-11: Largest IV spike — 54.2% change
  • 2013-07-22: Highest IV Rank — 81.1%
  • 2013-07-22: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.40$14.56$16.48$14.56$16.48
Max Pain$13.64$10.00$15.00$10.00$15.00
ATM IV40.5%30.8%57.1%32.5%36.1%
Expected Move12.5%8.9%16.4%9.3%10.4%
HV 20d33.4%31.1%38.0%35.0%32.4%
HV 60d40.0%32.2%47.6%47.6%32.2%
IV Rank43.3%21.2%81.1%25.1%33.5%
IV Percentile48.3%5.2%97.6%9.1%35.3%
Term Structure-2.1%-12.3%18.2%14.9%-0.3%
VWIV44.3%31.7%58.9%36.2%36.9%
Skew 25d6.4%3.5%14.0%4.9%9.7%
Skew 10d14.9%-0.3%29.8%-0.3%15.6%
Call IV 25d39.7%23.8%52.2%28.2%26.3%
Put IV 25d46.1%33.0%57.2%33.0%36.1%
Bid-Ask Spread %23.028.3687.1412.5718.95
Gamma HHI0.370.280.580.280.39
Net GEX54.1K28.1K76.0K46.4K61.8K
Net DEX-4.2M-6.1M-1.5M-4.2M-3.5M
Net VEX-14.0K-15.2K-13.0K-14.1K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.001.540.200.06
Total Volume228.59171,44355222
Total OI7,410.7274,5878,6317,9166,120

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$14.56$10.0032.5%9.3%35.0%25.1%36.2%4.9%14.9%46.4K-4.2M-14.1K0.2012.574694,9582,958
2013-07-02$14.75$10.0031.3%9.0%35.1%22.3%0.0%14.0%14.8%46.4K-4.4M-14.0K0.0010.53704,9772,967
2013-07-03$14.75$10.0031.0%8.9%34.2%21.7%31.7%11.6%18.2%47.2K-4.5M-13.9K0.568.3695534,9842,967
2013-07-05$14.97$14.0030.8%13.6%33.5%21.2%48.6%4.8%-5.4%49.4K-4.8M-13.8K1.5417.5328435,0573,004
2013-07-08$14.90$14.0032.1%13.8%33.6%24.2%48.4%6.2%-5.6%51.3K-4.7M-13.6K0.1913.30226445,0853,021
2013-07-09$14.91$14.0033.5%14.0%33.5%27.4%49.6%5.7%-5.5%56.6K-4.8M-14.0K1.3113.3667885,2643,056
2013-07-10$14.84$14.0032.3%14.0%33.4%24.7%0.0%4.8%-5.9%57.0K-4.7M-14.1K0.0015.459005,3053,132
2013-07-11$15.02$14.0049.9%14.3%32.6%64.5%48.7%4.3%-6.4%55.8K-5.0M-14.0K0.1611.683255,3193,132
2013-07-12$15.14$14.0048.9%14.0%31.7%62.2%58.9%4.4%-5.2%55.2K-5.3M-13.9K0.0013.472605,3433,134
2013-07-15$15.72$14.0048.9%14.0%32.2%62.4%49.0%7.9%-7.7%42.9K-6.1M-13.1K0.0016.227105,3513,134
2013-07-16$14.93$14.0050.9%14.6%38.0%66.9%51.4%3.5%-7.6%62.0K-5.0M-13.5K0.3422.71191645,3723,134
2013-07-17$14.76$14.0050.3%14.4%36.4%65.5%50.1%6.0%-7.2%63.2K-4.6M-13.4K0.2017.84115235,3883,170
2013-07-18$15.03$14.0052.4%15.0%34.2%70.3%53.0%5.3%-9.5%76.0K-5.1M-13.3K1.1826.77951125,3923,178
2013-07-19$15.20$14.0052.1%14.9%31.9%69.7%56.8%5.7%-9.5%70.1K-5.5M-13.3K0.2054.821535,4013,230
2013-07-22$15.26$14.0057.1%16.4%31.1%81.1%55.9%5.0%-12.3%28.1K-1.5M-13.0K1.0014.987237202,6761,911
2013-07-23$16.04$14.0037.3%10.7%33.2%36.0%37.1%4.7%-1.6%35.3K-2.5M-15.2K0.4056.417012773,2242,574
2013-07-24$16.08$14.0035.7%10.2%32.5%32.4%35.0%4.9%-0.5%54.0K-2.9M-14.9K0.3210.39229733,5112,447
2013-07-25$16.44$14.0036.4%10.4%32.9%34.0%33.6%3.6%-0.6%57.5K-3.2M-14.8K0.0087.146003,5712,498
2013-07-26$16.45$15.0036.3%10.4%32.1%33.9%36.5%9.5%-1.0%59.6K-3.3M-14.4K0.7326.1392673,5672,498
2013-07-29$16.20$15.0037.1%10.6%32.6%35.8%33.1%4.8%-0.8%57.1K-3.0M-14.4K0.1523.42125193,5392,455
2013-07-30$16.32$15.0038.2%11.0%32.4%38.3%36.2%10.5%-1.9%57.7K-3.2M-14.4K0.2514.42138353,5632,469
2013-07-31$16.48$15.0036.1%10.4%32.4%33.5%36.9%9.7%-0.3%61.8K-3.5M-14.0K0.0618.95210123,6262,494