SANM Options History — August 2015

In August 2015, SANM traded between $18.41 and $21.59. ATM implied volatility averaged 36.5%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 1.0% (HV 20d: 37.5%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2015-08-12: Highest Volume — 1,250 contracts
  • 2015-08-26: Largest IV drop — 25.2% change
  • 2015-08-25: Highest IV Rank — 80.0%
  • 2015-08-25: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.40$18.41$21.59$21.19$19.35
Max Pain$20.48$19.00$21.00$19.00$21.00
ATM IV36.5%30.3%58.5%30.4%45.1%
Expected Move10.4%8.7%16.8%8.7%12.9%
HV 20d37.5%23.8%48.7%48.7%28.9%
HV 60d33.7%32.6%35.6%33.3%35.5%
IV Rank31.2%16.8%80.0%20.0%48.7%
IV Percentile74.4%59.9%98.4%60.7%86.5%
Term Structure-1.4%-9.5%6.1%-1.1%-9.5%
VWIV34.0%26.2%46.5%26.2%36.2%
Skew 25d3.9%-0.5%14.7%1.5%12.3%
Skew 10d5.7%-8.9%29.0%-7.4%9.2%
Call IV 25d35.4%27.8%54.0%30.3%41.4%
Put IV 25d39.3%31.1%61.4%31.7%53.7%
Bid-Ask Spread %94.4983.07114.3985.6094.98
Gamma HHI0.310.190.500.210.39
Net GEX50.4K18.2K103.6K44.3K29.2K
Net DEX-892.7K-2.2M172.6K-962.6K-249.1K
Net VEX-9.7K-13.1K-6.6K-6.9K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.102.442.440.69
Total Volume533.667141,250117320
Total OI4,129.9523,5005,1573,5603,654

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$21.19$19.0030.4%8.7%48.7%20.0%0.0%1.5%-1.1%44.3K-962.6K-6.9K2.4485.6034831,8731,687
2015-08-04$20.95$19.0030.4%8.7%48.3%19.9%26.2%0.1%-1.3%39.1K-771.4K-7.2K1.1687.202242591,8651,766
2015-08-05$21.14$19.0030.3%8.7%47.9%19.7%29.1%3.3%-1.1%42.0K-885.1K-7.1K1.1591.342252591,8651,766
2015-08-06$21.10$19.0032.1%8.7%46.5%23.6%31.2%1.2%0.7%41.1K-848.9K-7.1K1.1483.712492831,8671,766
2015-08-07$21.00$20.0031.2%8.7%46.6%21.7%30.9%2.9%0.4%39.5K-734.5K-7.0K1.1483.072492831,8501,771
2015-08-10$21.38$20.0032.7%8.8%46.6%24.9%29.3%1.9%0.5%45.8K-968.4K-6.7K1.1791.522492921,8541,771
2015-08-11$21.59$20.0031.1%8.9%45.2%21.5%31.5%1.5%-0.7%47.7K-1.3M-6.6K0.1087.59847881,8541,778
2015-08-12$21.28$21.0031.8%9.1%43.7%23.1%30.8%1.8%-0.2%65.1K-1.6M-10.4K0.2887.689772732,5331,862
2015-08-13$21.14$21.0031.5%9.0%43.9%22.4%32.3%1.2%0.9%92.8K-2.0M-12.8K0.6087.274582733,0981,879
2015-08-14$21.32$21.0032.7%9.4%43.9%20.3%29.5%1.7%1.0%102.6K-2.1M-13.1K0.6895.114302933,1741,879
2015-08-17$21.35$21.0031.5%9.0%44.0%17.5%30.3%1.6%0.6%103.6K-2.2M-12.9K0.7299.514122973,2091,909
2015-08-18$20.84$21.0031.3%9.0%23.8%17.0%32.7%0.6%0.6%72.9K-1.8M-12.4K0.5196.384842493,2151,905
2015-08-19$20.46$21.0031.2%8.9%24.0%16.8%0.0%2.8%0.6%75.8K-1.3M-11.9K0.17107.981223,2521,905
2015-08-20$20.13$21.0033.9%9.7%24.4%23.1%33.8%-0.5%0.7%88.3K-968.5K-11.9K0.6699.643742473,2161,903
2015-08-21$19.33$21.0038.5%11.0%27.5%33.8%35.0%2.3%-1.2%23.0K-133.5K-10.6K0.53109.084442343,2081,903
2015-08-24$18.67$21.0047.9%13.7%29.0%55.5%42.5%14.7%6.1%19.0K149.0K-9.8K0.53101.722661412,3381,162
2015-08-25$18.41$21.0058.5%16.8%28.9%80.0%46.5%6.6%-9.0%18.2K172.6K-9.4K0.77114.391841412,3511,162
2015-08-26$19.06$21.0043.7%12.5%31.1%45.9%40.6%7.9%-3.0%19.3K100.5K-9.6K0.6392.682251412,3511,161
2015-08-27$19.31$21.0045.6%13.1%31.9%50.2%39.4%6.2%-7.6%22.7K-96.2K-10.1K0.7892.111811412,4081,161
2015-08-28$19.48$21.0045.0%12.9%31.6%48.8%38.1%10.4%-7.7%26.4K-221.8K-10.5K0.5895.762431412,4371,161
2015-08-31$19.35$21.0045.1%12.9%28.9%48.7%36.2%12.3%-9.5%29.2K-249.1K-10.1K0.6994.981891312,4931,161