SANM Options History — July 2015

In July 2015, SANM traded between $18.39 and $22.07. ATM implied volatility averaged 35.5%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 0.0% (HV 20d: 35.5%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2015-07-16: Highest Volume — 1,487 contracts
  • 2015-07-13: Largest IV spike — 82.0% change
  • 2015-07-13: Highest IV Rank — 64.5%
  • 2015-07-20: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.10$18.39$22.07$20.22$22.07
Max Pain$20.09$19.00$22.00$22.00$19.00
ATM IV35.5%27.4%50.8%35.8%27.8%
Expected Move10.9%8.0%14.3%10.2%8.0%
HV 20d35.5%23.2%50.4%23.4%47.0%
HV 60d32.7%25.1%35.3%35.0%32.2%
IV Rank31.1%13.3%64.5%31.6%14.2%
IV Percentile66.8%28.2%92.5%83.3%32.5%
Term Structure-3.3%-9.2%5.2%4.9%0.4%
VWIV36.9%26.7%49.8%30.7%29.8%
Skew 25d2.9%0.4%5.9%4.9%1.7%
Skew 10d5.4%-12.2%18.2%-6.6%16.9%
Call IV 25d37.0%26.8%49.5%32.6%26.8%
Put IV 25d39.9%28.6%50.5%37.5%28.6%
Bid-Ask Spread %79.3839.27106.9695.3287.58
Gamma HHI0.280.130.660.140.21
Net GEX-17.1K-131.5K50.7K11.6K50.7K
Net DEX612.4K-1.6M2.5M906.4K-1.6M
Net VEX-6.7K-7.8K-5.3K-6.9K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.461.600.601.38
Total Volume963.5455621,487699562
Total OI3,841.3642,6184,8103,6493,561

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$20.22$22.0035.8%10.2%23.4%31.6%30.7%4.9%4.9%11.6K906.4K-6.9K0.6095.324362632,1571,492
2015-07-02$19.95$22.0034.7%9.9%23.2%29.3%31.7%5.9%5.2%2.5K1.1M-7.0K0.61104.694422712,2031,573
2015-07-06$19.48$21.0047.7%12.6%23.7%57.6%42.9%2.5%-6.9%-9.5K1.4M-6.2K0.7974.594663672,1931,583
2015-07-07$19.12$21.0032.5%12.6%24.2%24.6%40.4%4.2%-7.4%-27.2K1.7M-5.5K0.5774.374352472,1761,683
2015-07-08$18.88$21.0039.8%13.0%24.1%40.5%42.1%3.8%-7.0%-23.0K1.7M-5.8K1.4674.764346322,2061,708
2015-07-09$18.39$21.0033.9%13.2%24.4%27.6%42.5%3.7%-8.5%-83.7K2.5M-5.3K1.4070.234546342,2022,127
2015-07-10$18.66$21.0027.9%13.0%25.6%14.6%43.2%4.3%-7.3%-100.1K2.4M-5.8K1.4182.474516342,2322,180
2015-07-13$18.58$21.0050.8%12.8%25.5%64.5%43.2%4.0%-6.6%-79.3K2.5M-5.5K1.3179.514886392,2302,180
2015-07-14$19.30$21.0027.4%12.4%30.0%13.3%44.1%3.2%-6.8%-125.1K2.0M-5.8K1.4365.795297542,2312,183
2015-07-15$18.70$20.0044.7%12.8%30.4%51.2%45.0%1.8%-9.2%-118.1K2.3M-5.8K1.1882.396788022,2602,284
2015-07-16$18.79$20.0045.3%13.0%30.6%52.5%45.4%4.2%-7.8%-131.5K2.3M-6.4K1.2085.826778102,4732,332
2015-07-17$18.93$20.0045.3%13.0%31.0%52.5%47.5%3.4%-7.5%-18.7K2.5M-6.4K1.60103.495699102,4782,332
2015-07-20$19.06$20.0050.0%14.3%29.6%62.7%49.8%1.0%-7.9%-20.1K811.5K-6.5K0.6479.168685581,1931,425
2015-07-21$21.22$19.0029.3%8.4%50.3%17.6%27.3%2.2%0.1%27.5K-951.0K-7.8K0.4683.086723111,7561,699
2015-07-22$21.49$19.0029.3%8.4%50.4%17.6%27.7%1.0%-0.2%35.7K-1.1M-7.8K0.7039.273922761,7591,663
2015-07-23$21.54$19.0029.2%8.4%48.8%17.2%28.6%1.8%-0.4%36.0K-1.1M-7.7K0.5947.384992931,7301,665
2015-07-24$21.24$19.0030.9%8.9%48.8%21.1%29.2%3.1%-1.1%35.3K-964.3K-7.6K0.6145.325423331,7731,649
2015-07-27$21.42$19.0031.2%8.9%48.7%21.7%32.1%0.4%-0.2%32.5K-994.0K-7.6K0.7087.954783331,7631,689
2015-07-28$21.49$19.0030.8%8.8%46.8%20.8%30.1%1.5%0.2%37.7K-1.1M-7.5K0.9591.113513331,7621,689
2015-07-29$21.93$19.0028.3%8.1%47.2%15.4%31.1%3.5%1.9%44.4K-1.4M-7.4K0.88106.963793331,8191,686
2015-07-30$21.79$19.0028.9%8.3%47.3%16.7%26.7%1.6%0.6%47.0K-1.4M-7.3K1.0185.203303331,8451,686
2015-07-31$22.07$19.0027.8%8.0%47.0%14.2%29.8%1.7%0.4%50.7K-1.6M-7.4K1.3887.582363261,8751,686