SANM Options History — July 2014

In July 2014, SANM traded between $21.90 and $24.00. ATM implied volatility averaged 34.7%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 10.9% (HV 20d: 23.9%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.59.

Notable Days

  • 2014-07-22: Highest Volume — 1,488 contracts
  • 2014-07-10: Largest IV spike — 75.5% change
  • 2014-07-21: Highest IV Rank — 57.1%
  • 2014-07-21: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.99$21.90$24.00$23.21$23.29
Max Pain$21.77$20.00$23.00$20.00$23.00
ATM IV34.7%24.6%52.9%24.6%27.6%
Expected Move10.7%7.1%15.2%7.1%7.9%
HV 20d23.9%15.4%33.5%20.5%33.1%
HV 60d29.9%21.0%35.0%34.8%24.9%
IV Rank21.3%1.5%57.1%1.5%7.3%
IV Percentile37.7%0.4%95.2%0.4%18.7%
Term Structure-3.7%-14.3%17.7%17.7%-0.6%
VWIV38.3%25.4%52.6%26.2%32.9%
Skew 25d1.6%-2.9%6.2%-1.4%-2.9%
Skew 10d3.1%-8.5%14.3%-5.8%-2.7%
Call IV 25d37.5%25.6%52.4%28.0%30.1%
Put IV 25d39.1%24.6%54.9%26.6%27.2%
Bid-Ask Spread %65.8425.1296.2063.7125.12
Gamma HHI0.250.170.310.280.20
Net GEX129.4K29.0K210.4K205.5K94.8K
Net DEX-2.5M-3.9M-1.2M-3.7M-1.2M
Net VEX-11.7K-17.3K-8.4K-11.0K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.0638.880.390.60
Total Volume353.318161,48816532
Total OI5,747.6363,8986,6615,5336,638

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$23.21$20.0024.6%7.1%20.5%1.5%26.2%-1.4%17.7%205.5K-3.7M-11.0K0.3963.71119463,7501,783
2014-07-02$22.88$20.0025.2%7.2%21.8%2.6%25.4%-2.3%16.5%173.8K-3.3M-10.6K1.1680.1619223,7461,807
2014-07-03$23.20$20.0024.9%7.2%21.0%2.1%0.0%0.2%17.7%198.8K-3.6M-10.7K1.6779.506103,7641,828
2014-07-07$22.96$22.0026.2%12.9%21.7%4.6%43.2%4.0%-10.2%179.8K-3.3M-10.0K0.3744.2127103,7671,838
2014-07-08$22.72$22.0027.3%12.9%20.2%6.7%46.9%0.4%-10.0%124.0K-2.8M-9.7K2.4350.4321513,7841,838
2014-07-09$22.93$22.0026.1%12.8%18.0%4.4%45.4%2.8%-8.7%139.7K-3.0M-9.6K0.7462.9870523,7831,877
2014-07-10$22.79$22.0045.9%13.2%18.0%43.2%45.7%5.3%-10.5%120.1K-2.8M-9.6K0.2262.8188193,8351,926
2014-07-11$22.62$22.0047.0%13.5%16.3%45.4%47.1%3.9%-11.3%103.3K-2.6M-9.5K0.0861.673833,8661,917
2014-07-14$22.65$22.0048.2%13.8%15.4%47.9%49.1%1.5%-12.6%111.1K-2.8M-9.0K0.4666.9446213,8721,920
2014-07-15$22.38$22.0049.7%14.2%16.2%50.7%49.7%1.5%-14.3%79.9K-2.4M-8.7K0.5766.4737213,8861,941
2014-07-16$21.90$22.0049.4%14.2%17.0%50.2%49.5%1.6%-13.2%29.0K-1.8M-8.4K0.4365.0869303,9001,950
2014-07-17$21.92$22.0049.3%14.1%17.0%49.9%50.2%3.7%-12.3%30.4K-1.8M-8.4K0.1364.868641103,9231,968
2014-07-18$22.55$22.0050.2%14.4%19.5%51.8%49.6%6.2%-13.2%118.2K-2.9M-10.2K0.0662.75883564,5942,067
2014-07-21$22.35$22.0052.9%15.2%19.3%57.1%52.6%2.4%-12.9%92.8K-1.6M-10.9K0.6153.576974252,907991
2014-07-22$24.00$21.0026.9%7.7%32.0%6.0%27.4%-0.2%-0.2%210.4K-3.9M-10.6K1.2464.106648243,4791,394
2014-07-23$23.64$22.0027.0%7.7%32.6%6.1%27.1%3.4%-0.7%162.2K-2.4M-13.2K0.7279.142892093,5191,814
2014-07-24$23.44$22.0027.3%7.8%32.8%6.6%26.8%0.3%-0.5%152.8K-2.3M-13.7K2.6772.072135693,6311,906
2014-07-25$23.27$22.0026.6%7.6%32.8%5.3%25.8%3.0%0.0%112.8K-1.4M-15.8K38.8882.8483113,6532,319
2014-07-28$23.75$22.0027.2%7.8%33.4%6.5%26.9%2.4%-0.6%139.8K-2.0M-16.3K1.3268.311391833,6572,506
2014-07-29$23.64$22.0027.1%7.8%33.5%6.3%26.9%1.6%-0.3%130.5K-1.8M-16.6K0.8175.66121983,7032,669
2014-07-30$23.72$23.0026.8%7.7%32.9%5.8%29.8%-1.6%-0.6%136.5K-1.9M-17.3K1.4896.201021513,7812,751
2014-07-31$23.29$23.0027.6%7.9%33.1%7.3%32.9%-2.9%-0.6%94.8K-1.2M-17.0K0.6025.1220123,7782,860