SANM Options History — October 2014

In October 2014, SANM traded between $17.01 and $25.07. ATM implied volatility averaged 43.9%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 13.2% (HV 20d: 57.1%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 3.81.

Notable Days

  • 2014-10-10: Highest Volume — 2,845 contracts
  • 2014-10-10: Largest IV spike — 66.2% change
  • 2014-10-14: Highest IV Rank — 85.7%
  • 2014-10-15: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.04$17.01$25.07$20.76$25.07
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV43.9%28.5%67.1%29.5%31.6%
Expected Move11.4%10.4%12.5%10.5%10.5%
HV 20d57.1%23.5%105.5%23.6%105.5%
HV 60d39.7%26.1%63.0%26.2%63.0%
IV Rank42.8%13.6%85.7%15.3%22.5%
IV Percentile70.8%32.9%98.8%35.3%48.0%
Term Structure-4.7%-12.8%14.2%14.0%-1.4%
VWIV39.7%34.9%43.9%36.1%36.8%
Skew 25d5.6%-1.6%11.8%4.0%3.7%
Skew 10d14.4%-28.6%33.4%13.8%20.0%
Call IV 25d43.6%27.2%57.0%29.9%31.7%
Put IV 25d49.2%31.7%65.3%33.9%35.4%
Bid-Ask Spread %59.0444.5072.7858.3050.97
Gamma HHI0.300.230.390.360.32
Net GEX-131.1K-173.0K-26.3K-157.2K-57.0K
Net DEX5.2M-4.0M10.5M6.0M-4.0M
Net VEX-27.1K-33.2K-18.0K-29.1K-33.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.810.2225.731.251.12
Total Volume1,216882,8451692,119
Total OI9,2227,65511,5668,53111,566

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$20.76$22.0029.5%10.5%23.6%15.3%36.1%4.0%14.0%-157.2K6.0M-29.1K1.2558.3075942,4296,102
2014-10-02$20.75$22.0028.9%10.7%23.7%14.2%0.0%5.1%13.2%-158.2K6.0M-28.8K1.2356.07811002,4496,104
2014-10-03$20.81$22.0028.5%10.6%24.0%13.6%34.9%4.6%14.2%-154.5K5.9M-28.8K0.3858.8864242,4916,063
2014-10-06$20.62$22.0030.9%10.8%23.5%18.1%0.0%5.5%-6.7%-148.4K5.9M-28.1K1.2152.5053642,5276,043
2014-10-07$20.14$22.0030.1%10.9%23.8%16.6%37.6%4.7%-7.2%-140.1K6.5M-26.6K11.1844.50111232,5436,035
2014-10-08$20.56$22.0031.6%10.8%25.8%19.4%38.5%7.8%-4.0%-150.4K6.5M-27.1K0.7560.244833612,5546,077
2014-10-09$19.80$22.0032.6%11.0%26.1%21.1%0.0%6.6%-6.6%-130.1K6.5M-26.4K0.5952.5982482,6116,024
2014-10-10$17.01$22.0054.1%12.5%56.2%61.4%43.9%-1.6%-10.3%-79.8K7.6M-18.0K10.9568.492382,6072,6235,872
2014-10-13$17.04$22.0064.4%12.3%56.6%80.6%42.8%5.9%-11.7%-140.7K10.5M-21.7K16.2570.431632,6482,8168,130
2014-10-14$17.39$22.0067.1%12.4%57.4%85.7%42.1%7.4%-9.7%-125.4K9.1M-21.7K0.9466.877386922,9607,315
2014-10-15$17.25$22.0064.4%12.5%57.4%80.7%42.8%9.9%-12.8%-115.8K9.1M-21.4K1.1859.007528872,9717,280
2014-10-16$17.80$22.0055.1%12.2%59.6%63.2%42.2%11.8%-11.8%-134.1K8.8M-22.8K25.7364.39266692,9717,167
2014-10-17$18.08$22.0051.4%12.2%60.1%56.3%43.1%4.6%-10.9%-150.9K8.2M-25.7K7.3767.42382802,9907,341
2014-10-20$18.61$22.0051.7%11.8%61.4%57.0%41.3%7.5%-8.3%-166.7K6.8M-26.5K1.3664.145677691,2346,421
2014-10-21$18.97$22.0051.1%11.8%62.2%55.9%41.4%5.3%-8.5%-173.0K6.6M-28.2K0.8650.456665701,3636,494
2014-10-22$18.71$22.0051.7%11.7%62.0%57.0%41.3%5.9%-9.3%-164.3K6.4M-27.8K0.7951.416675291,5736,491
2014-10-23$19.20$22.0051.9%11.7%62.5%57.3%40.5%6.1%-8.9%-167.8K6.1M-29.1K0.8165.896355151,6846,527
2014-10-24$19.49$22.0051.4%11.3%62.8%56.3%40.1%7.8%-7.7%-172.7K6.1M-29.5K0.8247.736365241,7106,553
2014-10-27$19.36$22.0054.5%11.5%62.8%62.2%37.6%3.8%-10.8%-170.5K5.9M-29.5K0.2272.781,2452681,7156,576
2014-10-28$24.50$22.0032.8%10.4%105.4%23.3%36.8%2.9%-0.7%-75.3K-2.7M-28.0K0.3660.431,6476002,8596,734
2014-10-29$24.49$22.0031.6%10.8%105.3%22.7%37.1%4.8%-0.8%-26.3K-3.8M-32.0K0.9958.971,2031,1903,7887,033
2014-10-30$24.48$22.0031.8%10.6%105.3%23.0%37.7%4.7%-1.4%-56.2K-3.4M-32.8K1.3955.519271,2903,7317,566
2014-10-31$25.07$22.0031.6%10.5%105.5%22.5%36.8%3.7%-1.4%-57.0K-4.0M-33.2K1.1250.971,0001,1193,8037,763