SANM Options History — June 2015

In June 2015, SANM traded between $20.01 and $21.95. ATM implied volatility averaged 28.2%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 9.7% (HV 20d: 18.5%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2015-06-09: Highest Volume — 887 contracts
  • 2015-06-29: Largest IV spike — 20.8% change
  • 2015-06-30: Highest IV Rank — 35.0%
  • 2015-06-30: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.34$20.01$21.95$21.73$20.19
Max Pain$21.86$21.00$22.00$21.00$22.00
ATM IV28.2%24.9%37.3%27.3%37.3%
Expected Move8.0%7.2%10.7%7.8%10.7%
HV 20d18.5%14.7%23.6%20.8%23.6%
HV 60d36.1%34.5%37.9%37.9%35.4%
IV Rank15.2%8.1%35.0%13.1%35.0%
IV Percentile38.4%6.7%84.5%33.3%84.5%
Term Structure7.0%-6.6%14.2%-0.0%1.6%
VWIV28.1%24.5%33.9%27.9%33.9%
Skew 25d1.7%-3.4%4.5%2.5%4.0%
Skew 10d3.5%-9.3%15.9%11.6%-7.8%
Call IV 25d28.3%25.4%34.3%27.8%31.9%
Put IV 25d30.0%25.9%36.0%30.3%35.9%
Bid-Ask Spread %89.6839.45107.0889.2590.54
Gamma HHI0.220.140.330.200.14
Net GEX58.3K11.5K89.3K66.0K11.5K
Net DEX-353.9K-872.0K911.0K-872.0K911.0K
Net VEX-7.5K-9.5K-5.7K-9.5K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.311.381.370.69
Total Volume6730887685724
Total OI3,447.9552,7623,8363,6103,492

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$21.73$21.0027.3%7.8%20.8%13.1%27.9%2.5%-0.0%66.0K-872.0K-9.5K1.3789.252893962,1841,426
2015-06-02$21.47$21.0031.3%9.0%20.9%21.8%0.0%-2.8%-6.6%57.7K-595.9K-9.1K0.0094.90002,1911,436
2015-06-03$21.61$21.0027.6%7.9%18.7%13.7%28.5%2.8%1.3%62.5K-680.9K-9.1K1.3689.902913962,1991,436
2015-06-04$21.25$22.0028.7%8.1%19.7%16.2%27.1%2.5%5.8%47.9K-254.4K-8.7K1.38107.082873962,2021,436
2015-06-05$21.47$22.0028.1%8.0%19.8%15.0%26.2%1.9%6.2%56.1K-460.9K-8.7K1.38107.052873962,1981,434
2015-06-08$21.34$22.0028.9%8.2%18.0%16.7%28.2%1.6%6.9%55.0K-451.3K-8.4K1.3494.892953962,1981,434
2015-06-09$21.42$22.0031.6%8.2%18.0%22.6%27.8%2.0%6.7%57.6K-447.4K-8.3K0.81102.224913962,2071,434
2015-06-10$21.62$22.0027.6%7.9%17.9%13.7%27.8%4.3%6.9%87.9K-846.0K-8.8K0.3593.154791702,4021,434
2015-06-11$21.60$22.0027.4%7.9%17.3%13.4%27.6%3.0%7.6%72.6K-719.3K-8.0K0.3296.454991602,1891,404
2015-06-12$21.58$22.0027.5%7.9%15.8%13.7%27.6%3.8%5.7%69.2K-614.2K-8.0K0.3195.785201602,2071,414
2015-06-15$21.28$22.0028.5%8.2%14.7%15.9%30.1%-0.4%7.9%65.7K-438.5K-7.4K0.3189.785201602,2071,414
2015-06-16$21.62$22.0028.0%8.0%15.5%14.6%29.6%4.5%5.5%84.5K-761.0K-7.6K0.37100.695311982,2021,414
2015-06-17$21.55$22.0026.6%7.6%15.3%11.7%28.4%2.0%8.0%89.3K-662.5K-7.2K0.37103.295311982,2361,457
2015-06-18$21.37$22.0026.8%7.7%15.4%12.1%28.5%1.1%7.9%40.3K-402.9K-6.9K0.3891.835081922,2461,457
2015-06-19$21.85$22.0025.6%7.4%17.3%9.6%25.9%1.3%8.4%63.7K-816.9K-6.9K0.3996.455212022,2461,457
2015-06-22$21.82$22.0025.5%7.3%17.3%9.2%26.5%2.6%12.9%68.3K-522.8K-6.5K0.5395.944462371,811992
2015-06-23$21.95$22.0024.9%7.2%16.6%8.1%25.4%0.5%14.2%78.1K-612.3K-6.4K0.4039.454301741,831931
2015-06-24$21.19$22.0026.2%7.5%20.4%10.8%28.4%0.5%12.5%55.2K-5.9K-5.9K0.5547.874322361,850936
2015-06-25$20.92$22.0026.1%7.5%20.8%10.6%30.7%2.8%13.4%43.0K270.9K-6.0K0.6071.874052421,9001,072
2015-06-26$20.71$22.0026.7%7.7%20.5%11.9%24.5%-3.4%12.4%31.4K496.7K-5.7K0.6688.914663061,9061,092
2015-06-29$20.01$22.0032.3%9.2%23.4%24.0%30.0%-0.4%9.0%18.7K700.9K-6.1K0.6385.605173262,0101,231
2015-06-30$20.19$22.0037.3%10.7%23.6%35.0%33.9%4.0%1.6%11.5K911.0K-6.5K0.6990.544282962,1081,384