SANM Options History — September 2014

In September 2014, SANM traded between $20.86 and $24.73. ATM implied volatility averaged 26.5%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 5.6% (HV 20d: 20.9%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 5.19.

Notable Days

  • 2014-09-05: Highest Volume — 921 contracts
  • 2014-09-26: Largest IV drop — 11.4% change
  • 2014-09-25: Highest IV Rank — 16.2%
  • 2014-09-30: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.20$20.86$24.73$23.91$20.86
Max Pain$22.48$22.00$24.00$22.00$22.00
ATM IV26.5%24.3%29.9%24.7%29.5%
Expected Move10.2%9.7%10.7%9.8%10.7%
HV 20d20.9%14.6%27.1%14.6%26.0%
HV 60d24.4%22.9%26.2%24.3%26.2%
IV Rank9.8%5.7%16.2%6.4%15.4%
IV Percentile16.0%2.8%36.1%4.4%35.3%
Term Structure8.0%-1.5%14.4%0.2%13.1%
VWIV36.1%34.1%37.3%35.6%36.2%
Skew 25d3.3%0.6%6.9%2.6%4.9%
Skew 10d7.5%-2.2%19.1%10.8%17.2%
Call IV 25d26.2%22.7%30.2%25.2%30.2%
Put IV 25d29.5%27.5%35.1%27.8%35.1%
Bid-Ask Spread %49.2828.5359.7639.5549.14
Gamma HHI0.330.230.440.240.36
Net GEX-75.2K-195.1K76.4K17.5K-167.2K
Net DEX1.6M-1.5M5.8M-495.0K5.8M
Net VEX-25.6K-30.6K-19.1K-20.0K-29.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.190.0448.940.080.56
Total Volume264.8572092166164
Total OI7,818.2866,5948,8406,5948,455

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$23.91$22.0024.7%9.8%14.6%6.4%0.0%2.6%0.2%17.5K-495.0K-20.0K0.0839.556153,1883,406
2014-09-03$24.46$22.0026.2%10.2%16.3%9.3%0.0%5.1%-1.5%76.4K-1.5M-19.8K0.2248.45183413,2293,411
2014-09-04$24.33$22.0025.0%9.7%16.4%7.0%35.6%1.7%0.6%71.2K-1.4M-19.6K1.2231.8737453,3083,439
2014-09-05$24.10$22.0024.3%9.8%16.5%5.7%36.9%2.5%8.0%29.8K-872.3K-19.1K15.7545.55558663,3083,466
2014-09-08$24.24$22.0026.0%10.0%16.6%8.8%0.0%0.6%7.3%17.5K-492.7K-24.5K2.1828.5311243,3284,322
2014-09-09$24.28$22.0025.9%9.8%16.3%8.7%34.1%0.9%7.6%15.8K-559.0K-24.2K0.6152.4523143,3364,346
2014-09-10$24.34$22.0025.2%9.9%15.8%7.4%37.2%2.2%7.0%9.7K-568.4K-23.8K15.7745.05538363,3184,360
2014-09-11$24.73$22.0025.0%10.0%16.3%7.1%35.4%6.9%8.9%19.4K-573.6K-28.4K2.3143.18751733,3535,196
2014-09-12$23.95$22.0026.1%10.1%20.4%9.1%37.3%2.0%7.9%-74.2K648.7K-28.2K1.2652.731341693,3965,262
2014-09-15$23.55$24.0026.1%10.0%21.0%9.1%35.3%2.9%7.1%-133.6K1.6M-28.2K1.7049.5433563,4055,395
2014-09-16$23.76$24.0026.4%10.5%21.1%9.6%36.4%5.9%6.4%-133.5K1.5M-28.8K1.5059.548123,4155,398
2014-09-17$23.51$24.0025.8%10.2%21.4%8.5%0.0%1.7%7.2%-143.5K1.9M-27.8K0.5455.6328153,4235,399
2014-09-18$23.54$24.0025.9%9.9%21.1%8.7%35.1%2.7%7.9%-142.7K1.8M-27.4K0.0452.8814263,4095,386
2014-09-19$22.84$24.0026.1%10.2%23.4%9.0%37.0%3.1%6.3%-195.1K3.0M-26.9K1.0953.541011103,4665,374
2014-09-22$22.20$22.0026.8%10.5%25.1%10.3%35.9%4.3%12.7%-118.2K3.0M-26.1K0.2554.82183462,0894,792
2014-09-23$21.98$22.0027.8%10.6%25.2%12.1%0.0%2.2%13.0%-120.3K3.2M-25.9K4.6651.63803732,1284,826
2014-09-24$22.16$22.0027.5%10.5%25.4%11.8%35.7%3.5%10.9%-142.5K3.6M-26.9K2.6750.87511362,1745,150
2014-09-25$21.48$22.0029.9%10.5%27.1%16.2%0.0%3.4%9.0%-147.5K4.2M-26.2K0.8755.88106922,2045,252
2014-09-26$21.60$22.0026.5%10.5%26.9%9.9%36.9%4.2%14.4%-144.6K4.2M-26.6K48.9454.34188812,3035,303
2014-09-29$21.38$22.0029.4%10.5%26.6%15.2%0.0%5.7%13.7%-172.9K5.2M-30.6K6.7359.76151012,3126,154
2014-09-30$20.86$22.0029.5%10.7%26.0%15.4%36.2%4.9%13.1%-167.2K5.8M-29.4K0.5649.14105592,3266,129