SANM Options History — April 2015

In April 2015, SANM traded between $20.37 and $24.86. ATM implied volatility averaged 36.4%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 3.3% (HV 20d: 39.7%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2015-04-21: Highest Volume — 2,015 contracts
  • 2015-04-08: Largest IV spike — 55.5% change
  • 2015-04-20: Highest IV Rank — 65.5%
  • 2015-04-20: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.89$20.37$24.86$24.31$20.37
Max Pain$23.33$22.00$24.00$22.00$22.00
ATM IV36.4%26.0%51.3%26.0%29.2%
Expected Move11.1%7.5%14.7%7.5%8.4%
HV 20d39.7%28.4%54.3%31.8%51.1%
HV 60d35.9%33.4%43.2%33.6%36.8%
IV Rank33.1%10.4%65.5%10.4%17.3%
IV Percentile62.0%13.5%92.1%13.5%55.2%
Term Structure-5.2%-13.4%17.7%17.7%0.1%
VWIV39.9%25.1%51.4%25.1%29.8%
Skew 25d2.7%-7.0%6.3%3.3%-7.0%
Skew 10d5.0%-19.8%16.3%4.5%-13.7%
Call IV 25d38.9%25.5%50.5%25.5%32.3%
Put IV 25d41.7%25.3%54.5%28.8%25.3%
Bid-Ask Spread %59.3215.38108.07108.0730.38
Gamma HHI0.230.130.460.330.15
Net GEX33.5K-83.6K115.0K-1.9K11.3K
Net DEX-1.4M-3.4M712.5K-2.6M650.5K
Net VEX-10.6K-12.2K-8.7K-10.7K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.001.400.811.40
Total Volume966.571142,0156451,040
Total OI5,760.3332,7447,2216,7174,510

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$24.31$22.0026.0%7.5%31.8%10.4%25.1%3.3%17.7%-1.9K-2.6M-10.7K0.81108.073572882,4124,305
2015-04-02$24.37$24.0026.2%12.5%31.7%10.8%43.7%3.4%-7.6%36.6K-2.7M-10.8K1.1266.273794232,4084,315
2015-04-06$24.86$24.0027.2%12.2%30.6%13.0%44.0%4.9%-7.7%98.7K-3.2M-9.5K0.7364.684603372,4274,436
2015-04-07$24.11$24.0028.1%12.7%33.2%15.0%44.8%3.7%-8.6%24.1K-2.3M-10.7K0.8063.614193372,5044,466
2015-04-08$24.66$24.0043.7%12.5%32.9%49.0%43.6%3.5%-8.5%46.9K-3.0M-10.0K0.0066.881402,5054,466
2015-04-09$24.64$24.0043.8%12.6%32.5%49.2%46.9%3.7%-9.3%97.7K-3.0M-9.7K1.1166.242883212,5094,466
2015-04-10$24.81$24.0044.6%12.8%29.1%50.9%46.6%4.3%-9.7%101.5K-3.2M-9.4K1.0567.343333502,5124,470
2015-04-13$24.80$24.0046.7%13.4%28.4%55.4%49.2%4.0%-12.3%112.0K-3.4M-9.2K1.2165.323033662,5444,496
2015-04-14$23.59$24.0049.2%14.1%33.7%61.0%49.1%4.3%-13.4%-24.2K-1.9M-9.5K0.9871.893953892,6084,518
2015-04-15$23.79$24.0048.3%13.9%33.8%59.0%48.9%4.1%-13.0%115.0K-2.1M-9.8K1.0780.573453692,6804,541
2015-04-16$23.70$24.0048.7%14.0%33.5%59.8%50.0%6.3%-13.4%-83.6K-1.8M-9.7K0.9770.773723612,6724,536
2015-04-17$23.15$24.0049.9%14.3%34.4%62.4%51.4%2.7%-11.6%37.7K-1.6M-9.1K1.1673.606227242,6734,543
2015-04-20$23.39$24.0051.3%14.7%33.6%65.5%51.3%3.6%-11.4%36.0K-1.1M-11.1K0.8162.466215051,7401,004
2015-04-21$20.72$24.0030.9%8.9%53.6%21.1%35.5%-3.1%1.3%11.7K712.5K-8.7K1.1015.389581,0572,1181,146
2015-04-22$21.11$23.0028.9%8.3%54.3%16.8%32.2%1.6%-0.6%16.6K176.9K-12.0K0.9436.057837382,5371,682
2015-04-23$20.81$23.0027.9%8.0%51.4%14.4%29.4%2.5%0.5%8.2K382.4K-12.2K1.0627.997327782,6081,779
2015-04-24$20.81$22.0027.9%8.0%51.2%14.4%29.3%3.5%0.3%12.0K349.9K-12.1K1.2432.036297772,6621,749
2015-04-27$20.75$22.0029.3%8.4%51.2%17.5%30.2%3.5%-0.6%10.8K385.7K-11.9K1.3629.384255792,6631,749
2015-04-28$21.04$22.0029.0%8.3%51.0%16.8%29.2%2.1%-0.7%19.1K105.7K-12.2K1.1961.744795722,7131,769
2015-04-29$20.88$22.0028.5%8.2%51.0%15.7%28.2%2.2%-0.2%17.9K181.5K-12.2K1.2285.154835902,7501,776
2015-04-30$20.37$22.0029.2%8.4%51.1%17.3%29.8%-7.0%0.1%11.3K650.5K-11.3K1.4030.384336072,7541,756