SANM Options History — August 2013

In August 2013, SANM traded between $16.19 and $16.80. ATM implied volatility averaged 33.1%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 8.7% (HV 20d: 24.5%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.88.

Notable Days

  • 2013-08-08: Highest Volume — 1,077 contracts
  • 2013-08-15: Largest IV spike — 42.2% change
  • 2013-08-28: Highest IV Rank — 36.4%
  • 2013-08-28: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.44$16.19$16.80$16.55$16.27
Max Pain$15.91$15.00$16.00$15.00$16.00
ATM IV33.1%25.0%37.4%30.6%36.5%
Expected Move10.0%8.8%10.7%8.8%10.5%
HV 20d24.5%16.4%33.1%32.3%20.9%
HV 60d30.6%29.0%32.3%32.2%29.2%
IV Rank26.7%8.1%36.4%20.9%34.4%
IV Percentile22.2%2.0%51.2%5.2%42.1%
Term Structure1.9%0.5%3.9%3.9%1.7%
VWIV34.9%32.7%37.1%32.7%34.8%
Skew 25d4.1%1.5%7.9%7.9%2.1%
Skew 10d9.6%-4.6%20.7%20.6%-1.8%
Call IV 25d33.4%25.7%36.3%25.7%35.1%
Put IV 25d37.4%33.5%39.7%33.5%37.1%
Bid-Ask Spread %23.4412.8582.0013.1019.72
Gamma HHI0.310.250.390.390.28
Net GEX95.5K70.1K148.5K70.1K84.9K
Net DEX-3.5M-4.9M-2.6M-3.6M-2.6M
Net VEX-14.9K-15.9K-13.9K-14.0K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.880.0051.500.041.82
Total Volume157.636111,07735762
Total OI6,926.9556,0687,8126,2196,792

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$16.55$15.0030.6%8.8%32.3%20.9%32.7%7.9%3.9%70.1K-3.6M-14.0K0.0413.10344133,7132,506
2013-08-02$16.55$15.0031.5%9.0%32.2%22.9%0.0%7.4%1.7%74.7K-3.9M-15.0K9.6012.855484,0142,517
2013-08-05$16.41$16.0033.2%9.8%32.4%26.8%34.5%4.1%2.8%76.2K-3.8M-14.6K51.5021.8521034,0192,555
2013-08-06$16.54$16.0031.9%9.7%32.3%24.0%0.0%4.0%1.4%72.5K-3.9M-14.6K0.4819.4427134,0202,618
2013-08-07$16.37$16.0033.2%9.9%32.6%26.8%0.0%5.6%2.6%73.4K-3.7M-14.5K2.2516.52494,0372,616
2013-08-08$16.64$16.0030.2%10.0%32.8%20.0%33.3%4.0%2.0%77.0K-4.1M-14.3K0.0116.471,066114,0342,616
2013-08-09$16.52$16.0027.4%9.7%33.1%13.5%34.5%4.2%2.6%125.6K-4.3M-15.9K0.3616.4628105,0542,627
2013-08-12$16.63$16.0025.7%9.8%30.7%9.7%34.9%3.4%2.3%135.3K-4.6M-15.4K0.1518.1786135,0572,633
2013-08-13$16.80$16.0029.5%9.7%23.0%18.3%33.8%2.5%1.7%148.5K-4.9M-15.1K0.7621.7134265,1162,646
2013-08-14$16.46$16.0025.0%10.1%24.1%8.1%35.5%5.1%3.1%115.9K-4.3M-15.2K0.4525.122095,1322,663
2013-08-15$16.22$16.0035.6%10.2%24.6%32.3%35.2%4.1%0.8%113.5K-3.9M-15.4K0.2026.8389185,1362,670
2013-08-16$16.27$16.0034.0%9.8%24.5%28.7%0.0%2.9%3.4%111.9K-4.0M-15.0K0.0020.231105,1272,685
2013-08-19$16.26$16.0036.3%10.4%24.5%34.0%35.7%3.5%1.6%73.5K-2.6M-14.9K0.0728.07622443,9962,072
2013-08-20$16.35$16.0035.9%10.3%17.3%33.0%34.7%5.0%2.0%90.3K-2.8M-15.5K0.9726.7074724,5422,103
2013-08-21$16.27$16.0036.7%10.5%17.4%34.9%36.5%4.2%1.5%88.3K-2.7M-15.3K0.5720.2335204,5282,121
2013-08-22$16.60$16.0035.5%10.2%17.1%32.1%35.2%4.0%1.7%101.4K-3.2M-15.3K0.4024.1230124,5502,109
2013-08-23$16.49$16.0036.6%10.5%17.3%34.7%34.0%3.0%0.9%98.9K-3.0M-15.1K2.6018.9910264,5502,109
2013-08-26$16.33$16.0034.7%9.9%16.7%30.2%35.2%1.5%1.5%93.2K-2.8M-14.6K0.7282.0061444,5602,116
2013-08-27$16.19$16.0036.8%10.6%16.8%35.1%37.1%1.9%1.3%90.2K-2.6M-14.6K11.6433.07111284,6122,157
2013-08-28$16.24$16.0037.4%10.7%16.4%36.4%34.8%4.1%0.5%83.0K-2.6M-14.5K0.4715.89142674,6062,284
2013-08-29$16.67$16.0034.5%9.9%19.0%29.9%0.0%5.2%1.9%103.3K-3.1M-14.3K0.1918.101634,5582,217
2013-08-30$16.27$16.0036.5%10.5%20.9%34.4%0.0%2.1%1.7%84.9K-2.6M-13.9K1.8219.7222404,5732,219