SANM Options History — December 2014

In December 2014, SANM traded between $22.87 and $25.05. ATM implied volatility averaged 31.0%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 3.3% (HV 20d: 27.7%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2014-12-12: Highest Volume — 1,538 contracts
  • 2014-12-22: Largest IV drop — 14.2% change
  • 2014-12-19: Highest IV Rank — 31.3%
  • 2014-12-31: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.99$22.87$25.05$24.20$23.53
Max Pain$22.10$22.00$23.00$22.00$23.00
ATM IV31.0%27.7%35.6%29.8%29.9%
Expected Move11.4%10.3%13.0%10.5%13.0%
HV 20d27.7%18.0%33.2%18.0%30.9%
HV 60d63.8%63.2%64.2%63.2%64.0%
IV Rank21.2%14.1%31.3%18.7%18.8%
IV Percentile52.8%31.7%82.9%43.3%46.8%
Term Structure8.0%-1.3%16.2%-1.2%16.1%
VWIV41.4%35.8%46.5%37.6%46.5%
Skew 25d3.6%-0.7%10.4%1.0%2.4%
Skew 10d8.7%-7.6%26.4%-7.6%5.1%
Call IV 25d30.3%25.2%38.0%31.2%30.5%
Put IV 25d33.9%30.2%39.4%32.1%33.0%
Bid-Ask Spread %69.9358.0281.7663.9458.02
Gamma HHI0.250.220.300.250.25
Net GEX-111.4K-210.7K-44.8K-78.8K-179.9K
Net DEX386.7K-1.4M2.8M-10.3K632.8K
Net VEX-28.2K-30.3K-25.8K-27.1K-28.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.202.131.470.44
Total Volume888.909481,53898462
Total OI9,371.8188,64010,1668,6409,966

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$24.20$22.0029.8%10.5%18.0%18.7%37.6%1.0%-1.2%-78.8K-10.3K-27.1K1.4763.943985862,4556,185
2014-12-02$24.87$22.0029.3%10.5%20.8%17.6%36.7%5.3%-1.3%-64.7K-915.9K-26.0K0.9770.525134972,4666,195
2014-12-03$25.05$22.0028.9%10.3%20.9%16.7%38.3%1.6%-0.2%-52.3K-1.3M-26.2K0.8669.244854192,5676,210
2014-12-04$25.00$22.0028.1%10.5%20.1%14.9%0.0%2.2%0.3%-55.7K-1.1M-26.8K0.2075.294082,5686,244
2014-12-05$25.01$22.0027.7%10.4%19.8%14.1%35.8%3.5%8.1%-44.8K-1.4M-25.8K0.9165.844944502,6086,252
2014-12-08$24.02$22.0030.8%10.5%24.0%20.7%37.4%3.4%8.0%-69.3K248.7K-26.9K1.0261.824044122,6296,282
2014-12-09$24.82$22.0029.9%10.4%27.1%19.0%36.2%3.5%8.5%-46.2K-777.3K-25.9K1.1364.054054562,6406,287
2014-12-10$24.30$22.0032.8%10.5%27.8%25.3%40.2%3.8%7.8%-57.7K-148.7K-26.4K2.1375.763968442,6466,276
2014-12-11$24.34$22.0032.1%10.5%27.4%23.6%41.3%5.2%5.2%-82.3K21.5K-26.7K1.2571.686738442,6486,589
2014-12-12$23.71$22.0035.0%11.4%28.5%29.9%42.9%2.8%6.1%-90.8K802.8K-29.6K0.7075.609056332,9566,598
2014-12-15$23.72$22.0034.8%11.4%28.0%29.5%43.9%-0.7%5.6%-85.6K903.5K-30.0K0.6165.917094343,0896,730
2014-12-16$23.11$22.0035.5%11.8%28.5%31.1%42.7%3.2%6.4%-113.0K2.0M-29.8K0.9369.125214873,1036,747
2014-12-17$23.30$22.0034.1%11.7%28.7%27.9%42.3%3.0%6.4%-133.3K2.0M-30.3K0.7780.595214013,2586,814
2014-12-18$23.74$22.0031.4%11.4%29.2%22.1%42.7%3.4%8.2%-81.4K1.0M-29.9K0.9374.024714363,2406,825
2014-12-19$22.87$22.0035.6%12.2%31.5%31.3%42.5%10.4%7.2%-210.7K2.8M-30.0K1.5081.761331993,3316,835
2014-12-22$23.46$0.0030.6%12.0%33.0%20.3%41.7%3.7%11.7%-167.8K1.1M-29.5K0.4470.846492872,6546,472
2014-12-23$23.46$23.0030.0%12.8%32.7%19.0%44.1%3.7%14.3%-166.6K1.1M-29.7K0.6558.436694382,7936,477
2014-12-24$23.62$22.0028.0%12.2%32.9%14.8%43.3%4.4%13.8%-174.6K790.4K-29.7K0.7868.395784482,9186,686
2014-12-26$23.88$22.0029.2%12.5%33.2%17.4%44.4%5.6%14.6%-164.7K350.7K-29.4K0.8578.135574742,9216,696
2014-12-29$23.95$22.0029.2%12.6%33.0%17.2%44.8%5.1%14.8%-156.7K238.6K-28.8K0.5175.305432782,9376,721
2014-12-30$23.78$22.0029.3%12.7%32.6%17.4%44.3%2.7%16.2%-175.1K216.4K-27.7K0.6064.312491502,9556,711
2014-12-31$23.53$23.0029.9%13.0%30.9%18.8%46.5%2.4%16.1%-179.9K632.8K-28.2K0.4458.0243193,1456,821