SANM Options History — April 2014

In April 2014, SANM traded between $16.68 and $21.24. ATM implied volatility averaged 39.0%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 6.8% (HV 20d: 32.2%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2014-04-23: Highest Volume — 1,713 contracts
  • 2014-04-10: Largest IV spike — 58.9% change
  • 2014-04-22: Highest IV Rank — 63.8%
  • 2014-04-22: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.39$16.68$21.24$17.66$20.25
Max Pain$17.33$17.00$18.00$17.00$17.00
ATM IV39.0%29.7%55.9%32.0%32.0%
Expected Move12.1%8.5%16.0%9.2%9.2%
HV 20d32.2%21.9%54.9%22.5%54.9%
HV 60d37.1%35.4%44.0%37.8%36.0%
IV Rank31.5%13.6%63.8%17.9%18.0%
IV Percentile41.1%2.8%96.4%11.9%17.1%
Term Structure-3.9%-14.6%15.2%13.1%-2.0%
VWIV43.2%29.5%57.0%34.7%32.2%
Skew 25d1.8%-3.4%6.2%-1.8%6.2%
Skew 10d4.4%-7.0%14.1%-7.0%8.6%
Call IV 25d42.3%27.8%57.0%33.1%27.8%
Put IV 25d44.1%30.1%57.3%31.2%34.0%
Bid-Ask Spread %78.5165.54105.72105.3184.23
Gamma HHI0.320.230.510.230.32
Net GEX135.7K38.1K218.1K139.7K213.7K
Net DEX-3.0M-7.6M-166.6K-1.8M-5.9M
Net VEX-7.4K-11.6K-4.4K-6.7K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.006.042.146.04
Total Volume464.52471,71322704
Total OI5,896.9524,1018,1655,3276,439

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$17.66$17.0032.0%9.2%22.5%17.9%0.0%-1.8%13.1%139.7K-1.8M-6.7K2.14105.317154,0371,290
2014-04-02$17.76$17.0030.1%8.6%22.5%14.3%34.7%-3.4%15.2%127.1K-1.6M-6.4K0.00101.7440104,0441,305
2014-04-03$17.84$17.0030.6%8.8%22.2%15.3%31.6%1.6%15.1%182.3K-2.1M-6.7K0.23105.72128304,3951,305
2014-04-04$17.35$18.0031.5%13.9%24.4%17.1%49.0%0.4%-6.7%102.3K-1.2M-6.2K0.1471.56107154,5071,334
2014-04-07$17.32$18.0032.7%14.0%24.4%19.3%50.6%4.7%-8.1%113.1K-1.3M-5.8K0.0067.85074,5991,349
2014-04-08$17.68$18.0031.3%13.6%24.8%16.7%50.5%4.8%-7.8%135.3K-1.6M-5.9K1.7365.5422384,5991,352
2014-04-09$17.61$18.0030.7%13.8%24.1%15.5%46.2%3.3%-8.3%122.9K-1.5M-5.7K0.0067.961104,6131,375
2014-04-10$17.35$18.0048.8%14.0%21.9%50.3%47.4%3.0%-7.5%93.6K-1.2M-5.3K0.0070.971204,6221,375
2014-04-11$16.98$18.0049.9%14.3%23.3%52.4%0.0%-0.4%-8.8%63.7K-738.4K-4.9K5.2973.207374,6301,375
2014-04-14$16.68$18.0050.9%14.6%23.7%54.2%52.8%4.7%-11.8%38.1K-166.6K-4.4K0.9779.7079774,6291,393
2014-04-15$16.95$17.0051.7%14.8%22.3%55.8%51.6%3.5%-11.8%75.4K-646.2K-4.7K0.0573.831,028524,6801,449
2014-04-16$17.13$17.0052.2%15.0%22.6%56.8%53.6%1.2%-11.5%139.3K-1.4M-5.8K0.0278.491,635335,3531,487
2014-04-17$17.56$17.0052.8%15.1%24.5%57.9%56.5%-0.4%-12.9%186.7K-2.8M-8.3K0.0569.62736406,6811,484
2014-04-21$17.88$17.0053.5%15.4%24.5%59.3%55.2%1.1%-11.9%124.4K-2.2M-8.7K0.1376.00307403,421680
2014-04-22$18.26$17.0055.9%16.0%25.6%63.8%57.0%2.1%-14.6%138.4K-2.7M-9.4K0.0772.85811603,579720
2014-04-23$20.90$17.0030.2%8.7%53.9%14.6%32.0%4.0%-0.6%163.2K-7.5M-7.1K0.4665.941,1745394,295775
2014-04-24$21.24$17.0029.8%8.5%52.6%13.7%29.5%0.7%0.5%140.0K-7.6M-8.5K1.3677.692803804,4601,219
2014-04-25$21.03$17.0029.7%8.5%52.7%13.6%29.7%0.3%-0.1%144.4K-7.3M-10.1K0.2681.63111294,6801,512
2014-04-28$20.56$17.0031.7%9.1%53.9%17.3%30.1%2.3%-0.1%187.3K-6.5M-11.0K1.1673.022603024,7691,530
2014-04-29$20.11$17.0031.5%9.0%54.9%17.0%29.9%-0.2%-1.1%218.1K-5.8M-11.6K0.2785.79190514,8781,617
2014-04-30$20.25$17.0032.0%9.2%54.9%18.0%32.2%6.2%-2.0%213.7K-5.9M-11.2K6.0484.231006044,8001,639