SANM Options History — August 2014

In August 2014, SANM traded between $22.99 and $24.04. ATM implied volatility averaged 26.1%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.4% (HV 20d: 25.7%). Max pain ranged from $16.00 to $24.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 4.53.

Notable Days

  • 2014-08-15: Highest Volume — 1,299 contracts
  • 2014-08-13: Largest IV drop — 26.7% change
  • 2014-08-11: Highest IV Rank — 13.1%
  • 2014-08-18: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.62$22.99$24.04$22.99$23.48
Max Pain$21.05$16.00$24.00$23.00$22.00
ATM IV26.1%21.3%30.6%28.1%24.5%
Expected Move8.8%7.2%10.0%8.1%9.9%
HV 20d25.7%15.1%33.7%33.1%15.1%
HV 60d24.5%24.0%25.5%25.1%24.2%
IV Rank7.3%0.0%13.1%8.4%6.1%
IV Percentile9.6%0.0%27.8%19.8%2.8%
Term Structure1.1%-0.0%2.5%0.7%0.6%
VWIV31.1%26.5%37.0%29.5%35.1%
Skew 25d1.8%-2.2%4.1%-0.4%0.5%
Skew 10d3.1%-11.0%16.2%-11.0%0.9%
Call IV 25d26.2%24.4%29.8%29.8%24.7%
Put IV 25d28.0%24.3%30.8%29.4%25.3%
Bid-Ask Spread %55.4119.9187.9845.3669.95
Gamma HHI0.280.190.520.190.21
Net GEX64.3K-14.4K166.1K68.1K-14.4K
Net DEX-1.1M-1.8M108.4K-642.4K108.4K
Net VEX-15.6K-20.1K-14.1K-16.6K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.530.0047.111.310.06
Total Volume202.143211,2999054
Total OI6,328.2865,2067,1906,6616,578

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$22.99$23.0028.1%8.1%33.1%8.4%29.5%-0.4%0.7%68.1K-642.4K-16.6K1.3145.3639513,7892,872
2014-08-04$23.48$24.0029.6%8.0%33.7%11.2%0.0%3.1%1.5%97.6K-1.2M-16.3K1.2677.0235443,7872,901
2014-08-05$23.36$24.0028.9%8.2%33.6%9.9%28.2%2.1%-0.0%82.6K-979.1K-16.2K2.0782.3915313,7872,923
2014-08-06$23.53$24.0029.7%7.9%33.5%11.5%28.0%2.9%1.2%115.4K-1.5M-16.0K4.1678.03793293,7912,916
2014-08-07$23.34$24.0028.1%8.0%33.6%8.2%0.0%1.6%1.1%82.0K-1.1M-16.3K0.0031.5601303,8083,138
2014-08-08$23.37$24.0027.7%8.1%33.4%7.4%27.3%3.3%0.6%84.0K-1.0M-16.1K0.2256.0894213,8083,161
2014-08-11$23.62$24.0030.6%7.7%33.6%13.1%27.1%3.7%0.4%91.6K-1.3M-15.3K0.1883.3968123,8873,179
2014-08-12$23.40$24.0029.0%7.7%33.4%10.1%37.0%4.1%1.6%41.4K-878.4K-15.0K0.0083.9412403,9093,185
2014-08-13$23.61$24.0021.3%7.6%32.3%0.0%30.2%4.1%1.2%68.5K-1.3M-15.0K0.5085.121474,0053,185
2014-08-14$23.63$24.0025.1%7.2%32.3%7.2%26.5%3.0%2.5%67.9K-1.3M-14.4K0.0985.032223,9623,133
2014-08-15$23.86$24.0025.7%7.4%31.0%8.3%27.2%2.6%2.0%166.1K-1.8M-14.1K0.0987.981,1971023,9673,101
2014-08-18$24.04$0.0024.7%10.0%30.8%6.5%34.4%2.6%1.1%51.8K-1.3M-15.1K0.1437.95200282,8142,392
2014-08-19$24.00$24.0024.2%9.8%17.6%5.6%26.7%0.8%1.5%69.4K-1.5M-15.4K2.4133.79741782,9802,407
2014-08-20$23.76$16.0024.1%9.9%17.1%5.3%34.2%1.0%1.4%45.5K-1.0M-15.4K0.0938.64110103,0282,540
2014-08-21$23.94$16.0024.6%9.8%17.0%6.2%0.0%2.3%0.4%55.6K-1.2M-16.1K0.0933.924643,0582,550
2014-08-22$23.86$16.0024.5%9.9%16.8%6.1%0.0%2.6%0.7%50.0K-1.2M-15.6K30.0032.493903,0932,546
2014-08-25$23.82$16.0024.9%9.9%15.2%6.8%34.1%1.5%1.1%48.3K-1.2M-15.1K0.0019.912803,0952,557
2014-08-26$23.94$16.0023.9%9.7%15.1%5.0%0.0%-0.7%0.9%36.2K-1.2M-14.4K0.7531.3140303,0952,557
2014-08-27$23.69$16.0024.1%9.9%15.6%5.4%34.6%-2.2%0.3%42.3K-1.1M-14.8K0.0626.646443,1242,557
2014-08-28$23.27$16.0023.9%9.9%15.5%5.1%37.0%0.1%2.0%1.2K-328.4K-14.3K47.1143.06188483,1722,557
2014-08-29$23.48$22.0024.5%9.9%15.1%6.1%35.1%0.5%0.6%-14.4K108.4K-20.1K0.0669.955133,1753,403