SANM Options History — January 2014

In January 2014, SANM traded between $14.80 and $16.90. ATM implied volatility averaged 41.7%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 9.2% (HV 20d: 32.5%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.65.

Notable Days

  • 2014-01-27: Highest Volume — 3,348 contracts
  • 2014-01-28: Largest IV drop — 44.7% change
  • 2014-01-27: Highest IV Rank — 80.8%
  • 2014-01-27: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.07$14.80$16.90$16.44$16.72
Max Pain$15.90$15.00$16.00$15.00$16.00
ATM IV41.7%32.0%64.5%34.5%34.3%
Expected Move13.3%9.4%18.5%9.9%9.8%
HV 20d32.5%20.0%57.4%24.5%57.3%
HV 60d38.5%29.6%40.2%38.5%38.1%
IV Rank38.0%19.8%80.8%24.4%24.0%
IV Percentile57.5%11.9%98.8%36.9%38.5%
Term Structure-3.9%-13.3%14.9%14.9%0.1%
VWIV47.2%33.8%64.9%33.8%35.0%
Skew 25d2.1%-5.3%7.0%1.8%7.0%
Skew 10d10.0%-20.6%27.6%4.1%14.9%
Call IV 25d46.4%32.9%67.5%35.9%32.9%
Put IV 25d48.5%33.7%62.1%37.6%40.0%
Bid-Ask Spread %71.9529.7899.5093.5029.78
Gamma HHI0.420.330.540.440.41
Net GEX102.3K-7.7K231.2K205.2K64.8K
Net DEX-1.6M-3.2M28.4K-2.9M-2.0M
Net VEX-7.8K-13.4K-4.8K-7.5K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.047.500.060.59
Total Volume524.905133,34873227
Total OI6,334.193,0577,9346,2567,818

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$16.44$15.0034.5%9.9%24.5%24.4%33.8%1.8%14.9%205.2K-2.9M-7.5K0.0693.506944,6201,636
2014-01-03$16.58$15.0032.8%9.4%24.2%21.2%41.1%0.1%13.0%223.4K-3.2M-7.4K4.7299.50502364,6751,638
2014-01-06$16.28$16.0035.2%13.7%24.9%25.7%49.4%2.4%-5.5%183.1K-2.3M-7.2K3.3369.816204,7041,871
2014-01-07$16.43$16.0033.2%13.4%21.6%21.9%47.1%1.7%-4.4%211.4K-2.4M-6.9K4.4671.41281254,7041,891
2014-01-08$16.50$16.0032.0%13.8%21.4%19.8%47.3%2.6%-4.9%231.2K-2.5M-6.7K0.3169.1145144,7291,891
2014-01-09$16.30$16.0032.7%13.6%22.1%21.0%47.8%2.1%-6.0%197.2K-2.4M-6.1K0.4371.83170734,7601,900
2014-01-10$16.21$16.0032.7%13.3%20.0%21.1%46.7%1.9%-5.6%183.3K-2.0M-5.9K1.5872.4219304,9031,942
2014-01-13$15.33$16.0037.9%13.9%28.5%30.8%47.8%3.3%-6.0%-7.7K-262.0K-4.8K7.5075.46221654,9221,971
2014-01-14$15.50$16.0041.9%13.9%28.7%38.2%49.3%6.7%-5.8%18.7K-531.7K-4.9K0.6577.031541004,9372,062
2014-01-15$16.04$16.0034.2%13.7%28.8%23.8%47.3%4.2%-6.1%122.9K-1.8M-5.0K0.3072.881035,0212,114
2014-01-16$15.73$16.0048.8%14.0%28.1%51.3%48.9%3.3%-6.6%90.3K-1.2M-4.8K0.0976.98311285,0232,116
2014-01-17$15.60$16.0049.8%14.3%28.2%53.1%50.7%0.9%-7.0%54.0K-1.0M-5.1K0.0478.021,557555,3272,119
2014-01-21$15.96$16.0054.3%15.6%29.5%61.6%54.4%0.1%-8.9%54.1K-1.0M-6.4K0.6578.773252112,298759
2014-01-22$16.03$16.0056.4%16.2%29.5%65.6%56.1%2.1%-10.4%55.9K-1.1M-7.3K1.9285.723556832,554964
2014-01-23$15.84$16.0056.8%16.3%29.7%66.3%57.4%-1.2%-9.7%39.9K-726.3K-8.8K0.0579.0510152,8901,572
2014-01-24$15.24$16.0059.2%17.0%32.2%70.7%58.9%0.5%-10.4%34.7K-337.2K-8.4K2.8576.4113372,9911,575
2014-01-27$14.80$16.0064.5%18.5%33.3%80.8%64.9%-5.3%-13.3%25.7K28.4K-7.7K2.0674.351,0952,2533,0041,612
2014-01-28$16.71$16.0035.6%10.2%56.0%26.6%38.1%3.8%-0.3%30.3K-1.8M-13.1K1.4656.498081,1823,9763,802
2014-01-29$16.39$16.0035.5%10.2%56.4%26.3%35.3%1.6%-0.5%53.8K-1.4M-13.4K1.0755.141511614,3333,460
2014-01-30$16.90$16.0033.7%9.7%57.4%23.0%34.8%4.4%0.7%76.0K-2.5M-13.4K0.6347.2775474,3293,605
2014-01-31$16.72$16.0034.3%9.8%57.3%24.0%35.0%7.0%0.1%64.8K-2.0M-13.2K0.5929.78143844,1663,652