SANM Options History — October 2013

In October 2013, SANM traded between $14.56 and $18.01. ATM implied volatility averaged 47.7%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 17.4% (HV 20d: 30.3%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 3.20.

Notable Days

  • 2013-10-24: Highest Volume — 6,287 contracts
  • 2013-10-29: Largest IV drop — 44.3% change
  • 2013-10-24: Highest IV Rank — 100.0%
  • 2013-10-25: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.92$14.56$18.01$18.01$14.56
Max Pain$17.00$15.00$18.00$15.00$17.00
ATM IV47.7%32.8%74.8%35.2%36.9%
Expected Move14.2%9.4%21.4%10.1%10.6%
HV 20d30.3%23.8%54.0%27.8%53.7%
HV 60d27.2%23.3%37.7%27.2%37.7%
IV Rank56.3%26.0%100.0%31.5%29.0%
IV Percentile74.3%14.7%100.0%32.9%52.4%
Term Structure-5.7%-22.4%12.3%10.5%-0.3%
VWIV50.1%32.6%75.6%37.7%36.9%
Skew 25d5.2%-0.2%12.1%1.8%-0.2%
Skew 10d16.0%-8.4%54.8%23.8%-8.4%
Call IV 25d47.9%31.8%76.1%34.7%37.4%
Put IV 25d53.1%36.5%83.8%36.5%37.2%
Bid-Ask Spread %23.3011.8878.4415.2823.15
Gamma HHI0.250.160.360.320.32
Net GEX11.2K-187.8K134.2K134.2K-118.9K
Net DEX-1.7M-4.4M5.0M-4.4M4.7M
Net VEX-10.9K-19.2K-8.0K-10.9K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0019.759.930.42
Total Volume853.609366,287153363
Total OI7,908.4784,76411,2507,46511,250

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$18.01$15.0035.2%10.1%27.8%31.5%37.7%1.8%10.5%134.2K-4.4M-10.9K9.9315.28141395,0202,445
2013-10-02$17.66$15.0032.8%9.4%28.5%26.0%32.6%3.7%12.3%103.2K-4.0M-10.4K2.7315.1322605,0192,522
2013-10-03$17.26$15.0036.7%10.5%29.3%34.9%36.7%7.9%10.2%73.5K-3.4M-10.2K0.4111.8827115,0302,537
2013-10-04$17.21$17.0035.6%13.1%29.3%32.3%48.9%5.4%-3.9%73.8K-3.5M-10.0K1.3019.1044575,0462,548
2013-10-07$17.16$17.0038.0%13.6%28.8%37.9%48.0%5.8%-5.0%61.4K-3.3M-9.6K12.8616.837905,0602,590
2013-10-08$16.66$17.0039.0%14.3%25.1%40.2%50.7%5.7%-6.7%41.1K-2.6M-9.7K0.8320.0230255,0632,623
2013-10-09$16.66$17.0038.8%14.1%25.1%39.7%48.6%5.3%-5.7%35.7K-2.6M-9.5K0.6121.8131195,0622,648
2013-10-10$16.87$17.0049.3%14.1%24.9%63.8%49.4%4.9%-6.8%34.3K-2.9M-9.3K0.0019.083905,0912,667
2013-10-11$17.11$17.0047.9%13.7%24.9%60.6%53.6%5.5%-4.4%26.6K-3.1M-8.9K10.0020.39202005,1092,667
2013-10-14$17.32$17.0050.1%14.4%25.2%65.5%50.1%5.0%-7.5%24.3K-3.4M-8.8K0.1626.033155,1192,867
2013-10-15$17.10$17.0050.8%14.6%25.6%67.2%49.5%5.0%-7.1%12.2K-3.1M-8.7K0.1020.284955,1182,867
2013-10-16$17.38$17.0049.4%14.2%26.3%63.9%50.0%4.8%-7.0%-1.6K-3.5M-8.3K0.1321.2495125,1362,872
2013-10-17$17.36$17.0049.7%14.2%26.1%64.7%48.1%4.8%-8.7%-9.5K-3.5M-8.0K0.5918.67140835,1382,851
2013-10-18$17.40$17.0051.6%14.8%23.8%69.0%51.5%3.2%-9.8%-3.5K-3.5M-8.1K0.0327.691,607465,1602,907
2013-10-21$17.85$17.0050.3%14.4%25.4%66.1%51.1%2.2%-6.7%84.8K-2.6M-10.5K1.3723.031051443,2631,501
2013-10-22$17.62$18.0051.2%14.7%25.8%68.0%51.7%2.5%-7.2%76.6K-2.3M-10.6K1.3317.77831103,3241,613
2013-10-23$17.22$18.0053.3%15.3%26.8%72.9%53.5%3.5%-8.2%70.5K-2.0M-10.6K0.5817.5253313,3991,613
2013-10-24$16.70$18.0074.6%21.4%27.7%100.0%75.6%7.7%-22.4%53.0K-1.7M-10.9K19.7578.443035,9843,4131,621
2013-10-25$17.14$18.0074.8%21.4%29.5%100.0%75.1%12.1%-20.9%-92.6K956.9K-19.2K0.9247.563072813,5786,612
2013-10-28$17.15$18.0070.7%20.3%29.5%92.4%74.4%11.8%-19.2%-99.8K706.6K-18.5K7.5820.036274,7513,7996,683
2013-10-29$15.00$18.0039.4%11.3%54.0%33.6%37.9%9.1%-2.5%-187.8K5.0M-12.2K1.5419.931,2761,9644,2706,102
2013-10-30$14.81$17.0040.4%11.6%53.9%35.5%41.3%3.1%-3.0%-133.2K4.3M-13.9K0.3515.04254895,0476,025
2013-10-31$14.56$17.0036.9%10.6%53.7%29.0%36.9%-0.2%-0.3%-118.9K4.7M-12.9K0.4223.152561075,1976,053