SANM Options History — December 2013

In December 2013, SANM traded between $14.91 and $16.70. ATM implied volatility averaged 33.8%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.4% (HV 20d: 26.5%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2013-12-17: Highest Volume — 2,192 contracts
  • 2013-12-12: Largest IV spike — 10.1% change
  • 2013-12-18: Highest IV Rank — 34.7%
  • 2013-12-18: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.84$14.91$16.70$15.17$16.70
Max Pain$15.19$15.00$16.00$16.00$15.00
ATM IV33.8%30.8%40.0%34.3%32.5%
Expected Move9.8%8.8%11.5%9.8%9.3%
HV 20d26.5%23.2%30.3%27.9%24.1%
HV 60d38.8%37.8%39.4%39.2%38.4%
IV Rank23.2%17.5%34.7%24.0%20.6%
IV Percentile28.3%5.2%75.8%30.6%17.5%
Term Structure8.1%1.7%16.1%1.7%13.6%
VWIV35.5%31.0%46.0%32.9%31.1%
Skew 25d1.4%-2.4%7.1%4.9%-0.7%
Skew 10d8.4%-6.6%25.9%8.8%-6.6%
Call IV 25d34.7%30.9%40.8%31.9%33.8%
Put IV 25d36.1%33.2%41.7%36.8%33.2%
Bid-Ask Spread %89.1938.0998.7981.2838.09
Gamma HHI0.360.230.550.240.44
Net GEX104.4K21.1K220.8K28.7K220.8K
Net DEX-1.4M-3.3M254.3K-95.3K-3.3M
Net VEX-8.2K-9.5K-7.1K-8.2K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.0020.000.570.01
Total Volume248.76202,19233109
Total OI6,087.7145,2697,5545,2696,273

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$15.17$16.0034.3%9.8%27.9%24.0%32.9%4.9%1.7%28.7K-95.3K-8.2K0.5781.2821123,1042,165
2013-12-03$14.99$16.0031.7%9.1%24.0%19.2%31.0%-0.4%2.9%26.4K-5.3K-7.9K0.0090.721403,1042,166
2013-12-04$14.91$16.0030.9%8.9%23.2%17.7%32.4%1.7%2.8%21.1K254.3K-7.5K0.8488.9963533,1042,166
2013-12-05$15.21$16.0032.0%9.2%23.9%19.7%46.0%3.0%3.6%27.6K-60.5K-7.8K20.0086.921203,0732,203
2013-12-06$15.79$15.0033.3%9.9%26.3%22.1%0.0%2.9%9.6%42.8K-863.2K-7.9K0.2796.24110303,0722,223
2013-12-09$15.71$15.0034.2%9.8%26.0%23.9%34.2%1.8%6.6%42.4K-862.2K-8.0K0.0491.89248113,1442,253
2013-12-10$15.70$15.0033.6%9.9%26.0%22.8%0.0%3.1%6.1%54.5K-848.6K-7.9K0.0094.6552203,3912,263
2013-12-11$15.32$15.0032.2%10.1%27.5%20.2%0.0%3.3%6.1%59.0K-520.9K-7.8K2.0093.83123,9122,263
2013-12-12$15.14$15.0035.5%10.2%27.8%26.3%0.0%4.0%7.6%39.0K-153.8K-7.3K0.0092.55043,9122,265
2013-12-13$15.25$15.0033.9%9.7%27.2%23.2%0.0%7.1%8.5%38.2K-129.7K-7.1K0.0092.05003,9122,269
2013-12-16$15.77$15.0035.0%10.0%29.0%25.4%37.5%1.0%7.6%70.7K-905.8K-7.1K0.0289.6838173,9122,269
2013-12-17$16.18$15.0037.3%10.7%30.3%29.7%39.4%2.0%3.8%124.2K-1.8M-8.1K0.0089.222,19204,1732,276
2013-12-18$16.17$15.0040.0%11.5%28.5%34.7%42.5%-2.4%4.0%171.0K-2.3M-9.5K0.1392.53150205,1872,276
2013-12-19$16.21$15.0036.3%10.4%28.5%27.8%39.0%-1.3%7.1%168.3K-2.3M-9.4K0.1290.45172205,2142,266
2013-12-20$16.22$15.0035.5%10.2%26.6%26.3%36.6%-0.8%8.0%128.6K-2.2M-9.5K0.0298.79531105,2862,268
2013-12-23$16.30$15.0034.7%10.0%26.6%24.8%34.6%0.0%11.5%157.0K-2.5M-9.1K0.1289.02178214,4071,544
2013-12-24$16.44$15.0032.3%9.3%25.6%20.3%32.4%-1.4%13.0%177.2K-2.8M-9.0K0.7895.7137294,5101,554
2013-12-26$16.49$15.0032.1%9.2%25.5%19.9%32.9%-1.3%14.7%188.4K-2.9M-8.8K0.0494.187834,5471,565
2013-12-27$16.43$15.0030.8%8.8%25.6%17.5%32.8%1.4%16.1%198.3K-2.9M-8.5K0.8894.1917154,6051,564
2013-12-30$16.57$15.0032.4%9.3%25.6%20.4%32.2%1.7%15.3%208.1K-3.1M-8.1K1.1592.0966764,6031,579
2013-12-31$16.70$15.0032.5%9.3%24.1%20.6%31.1%-0.7%13.6%220.8K-3.3M-8.0K0.0138.0910814,6361,637