SANM Options History — March 2015

In March 2015, SANM traded between $22.00 and $25.12. ATM implied volatility averaged 27.5%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.0% (HV 20d: 23.6%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2015-03-06: Highest Volume — 666 contracts
  • 2015-03-06: Largest IV spike — 7.9% change
  • 2015-03-10: Highest IV Rank — 19.2%
  • 2015-03-09: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.66$22.00$25.12$23.24$24.20
Max Pain$21.86$21.00$22.00$21.00$22.00
ATM IV27.5%25.2%30.1%27.7%26.2%
Expected Move7.9%7.2%8.4%7.9%7.5%
HV 20d23.6%16.7%32.5%18.2%31.8%
HV 60d32.9%31.7%33.8%33.4%33.8%
IV Rank13.7%8.7%19.2%14.1%10.8%
IV Percentile30.9%9.5%54.8%32.5%15.1%
Term Structure8.4%-0.5%16.9%0.6%16.9%
VWIV27.7%23.1%36.5%36.5%26.1%
Skew 25d2.2%-0.4%5.2%4.8%-0.4%
Skew 10d8.2%-12.0%22.7%22.7%-3.5%
Call IV 25d27.3%24.0%29.0%26.0%28.4%
Put IV 25d29.5%25.6%31.3%30.8%28.0%
Bid-Ask Spread %89.4077.73103.6390.04103.63
Gamma HHI0.380.230.460.420.30
Net GEX-102.9K-238.9K52.1K-154.5K22.6K
Net DEX-1.1M-3.4M1.9M-200.5K-2.5M
Net VEX-14.6K-17.7K-10.8K-17.3K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.002.080.880.76
Total Volume288.54520666625643
Total OI6,617.5916,3787,0266,3786,675

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$23.24$21.0027.7%7.9%18.2%14.1%36.5%4.8%0.6%-154.5K-200.5K-17.3K0.8890.043332922,1634,215
2015-03-03$22.93$21.0028.4%8.1%17.9%15.5%26.6%2.2%-0.5%-171.0K224.3K-17.6K0.8594.663412912,1644,222
2015-03-04$22.90$21.0027.9%8.0%17.5%14.6%24.4%1.3%-0.3%-170.8K167.6K-17.2K0.9996.412942912,1784,230
2015-03-05$22.80$22.0027.3%7.8%17.3%13.1%28.1%2.0%5.4%-180.4K418.5K-17.4K1.1877.982793282,1804,230
2015-03-06$22.29$22.0029.4%8.2%17.0%17.8%29.3%2.4%6.0%-207.9K1.4M-17.7K1.0777.733213452,1824,270
2015-03-09$22.38$22.0030.0%8.4%16.7%19.1%27.6%2.9%4.8%-217.6K1.2M-17.3K0.0082.393702,2374,300
2015-03-10$22.00$22.0030.1%8.2%17.6%19.2%28.6%2.3%5.4%-238.9K1.9M-17.3K0.3379.441552,2674,300
2015-03-11$22.44$22.0029.1%8.3%18.6%17.1%29.4%1.0%5.3%-216.4K1.2M-16.9K2.0888.4426542,2784,303
2015-03-12$23.44$22.0027.8%8.0%23.4%14.3%26.7%2.7%5.9%-134.4K-624.0K-15.4K0.0885.83145122,2964,301
2015-03-13$23.93$22.0027.4%7.9%23.8%13.4%30.0%5.2%6.1%-91.7K-1.6M-14.2K0.5885.34123712,2714,307
2015-03-16$24.14$22.0028.5%8.2%23.8%15.8%28.3%2.5%6.6%-81.8K-1.9M-13.2K1.2885.4225322,2804,333
2015-03-17$24.25$22.0028.3%8.1%23.8%15.4%0.0%3.1%6.9%-72.7K-1.8M-13.4K0.5578.40160882,2994,362
2015-03-18$24.51$22.0026.3%7.5%23.8%11.0%24.1%1.2%8.5%-48.7K-2.7M-13.1K0.4592.91158712,4474,450
2015-03-19$24.39$22.0027.4%7.9%24.0%13.5%27.4%2.6%8.9%-56.0K-2.3M-13.9K0.6498.0894602,4144,514
2015-03-20$24.90$22.0025.3%7.3%24.7%8.9%23.1%4.5%9.1%-6.5K-3.1M-12.5K0.1499.643552,4624,564
2015-03-23$24.95$22.0025.4%7.3%24.3%9.0%27.7%3.0%15.7%14.0K-3.0M-11.7K0.2493.3468162,2974,279
2015-03-24$25.12$22.0025.2%7.2%24.3%8.7%25.6%0.4%15.1%52.1K-3.4M-10.8K0.1887.2155102,3454,295
2015-03-25$23.75$22.0026.4%7.6%32.5%11.2%28.0%0.2%14.5%-93.4K-1.5M-13.9K0.4188.4932132,3604,305
2015-03-26$23.88$22.0027.6%7.9%32.4%13.9%27.4%2.3%14.0%-89.9K-1.5M-14.0K0.9190.322932682,3584,313
2015-03-27$23.80$22.0026.6%7.6%32.4%11.6%29.9%0.2%14.7%-88.1K-1.5M-13.8K0.2592.4948122,3734,293
2015-03-30$24.23$22.0027.7%8.0%32.3%14.2%27.4%2.3%14.4%-32.9K-2.2M-12.2K0.9998.672812782,3824,293
2015-03-31$24.20$22.0026.2%7.5%31.8%10.8%26.1%-0.4%16.9%22.6K-2.5M-11.0K0.76103.633652782,3704,305