SANM Options History — September 2015

In September 2015, SANM traded between $18.82 and $21.36. ATM implied volatility averaged 38.2%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 6.6% (HV 20d: 31.5%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2015-09-29: Highest Volume — 945 contracts
  • 2015-09-28: Largest IV spike — 16.2% change
  • 2015-09-08: Highest IV Rank — 53.0%
  • 2015-09-01: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.02$18.82$21.36$18.82$21.36
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV38.2%32.8%47.3%46.7%35.1%
Expected Move10.8%9.4%13.4%13.4%10.1%
HV 20d31.5%27.3%34.3%30.0%28.3%
HV 60d36.7%35.9%37.4%35.9%37.0%
IV Rank31.6%18.7%53.0%52.2%24.3%
IV Percentile78.1%66.3%88.1%87.7%73.8%
Term Structure6.4%-7.1%13.6%-7.1%12.4%
VWIV38.0%34.4%42.4%40.8%35.9%
Skew 25d4.0%1.6%5.8%4.9%4.5%
Skew 10d7.6%-5.7%22.5%3.9%17.2%
Call IV 25d37.2%32.7%47.7%47.7%34.9%
Put IV 25d41.2%36.8%52.6%52.6%39.4%
Bid-Ask Spread %92.7486.40104.2794.8194.59
Gamma HHI0.380.300.470.370.35
Net GEX40.3K24.6K86.1K25.4K86.1K
Net DEX-617.3K-1.9M-25.7K-73.4K-1.9M
Net VEX-10.0K-11.5K-9.2K-10.2K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.001.020.650.89
Total Volume528.61936945390633
Total OI3,850.6673,6674,3783,6674,378

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$18.82$21.0046.7%13.4%30.0%52.2%40.8%4.9%-7.1%25.4K-73.4K-10.2K0.6594.812361542,5061,161
2015-09-02$19.25$21.0045.0%12.9%31.2%48.4%39.6%1.7%-5.9%24.6K-84.3K-9.8K0.6893.642361612,5191,188
2015-09-03$19.39$21.0041.6%11.3%31.5%40.4%41.0%4.4%3.7%27.7K-218.4K-10.2K0.7092.772771952,5321,188
2015-09-04$19.00$21.0042.0%11.7%32.0%41.4%42.4%3.7%3.4%27.1K-25.7K-9.9K0.8494.812682252,5811,196
2015-09-08$19.55$21.0047.3%11.2%33.2%53.0%39.1%4.5%3.1%30.2K-291.9K-10.1K0.0087.393602,5891,196
2015-09-09$19.47$21.0039.7%11.4%32.8%35.2%39.4%3.3%5.4%31.3K-314.8K-10.2K0.8486.692882412,5741,216
2015-09-10$19.78$21.0037.9%10.9%33.4%30.9%38.0%1.6%4.1%30.7K-346.4K-10.1K0.8389.082922412,5901,236
2015-09-11$19.81$21.0037.8%10.8%33.4%30.7%38.3%5.1%5.4%30.7K-348.9K-10.1K0.9288.212612412,5901,238
2015-09-14$19.81$21.0038.1%10.9%33.2%31.3%40.3%5.6%4.7%31.6K-318.5K-9.7K0.8586.692852412,5901,238
2015-09-15$20.24$21.0037.7%10.8%34.3%30.4%36.6%1.9%5.4%34.7K-731.7K-9.9K0.6496.0577492,5851,218
2015-09-16$20.43$21.0036.6%10.5%33.6%27.9%36.6%2.0%5.4%38.7K-818.0K-10.1K1.0286.402412452,6031,244
2015-09-17$20.62$21.0033.1%9.5%33.1%19.6%34.9%4.1%6.1%32.6K-967.1K-10.1K0.71102.253552532,6031,244
2015-09-18$20.08$21.0034.9%10.0%34.0%23.7%35.1%4.1%6.2%42.6K-657.7K-9.7K0.8598.643292792,6601,254
2015-09-21$20.46$21.0034.4%9.9%31.0%22.6%34.4%5.1%12.9%46.3K-869.4K-9.9K0.8191.713172562,5101,200
2015-09-22$19.86$21.0035.4%10.1%30.3%24.8%36.3%4.5%11.8%38.0K-435.5K-9.3K0.7793.903112382,5241,200
2015-09-23$20.00$21.0034.3%9.8%29.6%22.3%37.4%5.8%13.6%39.8K-428.7K-9.2K0.8888.562652332,4921,210
2015-09-24$20.01$21.0035.1%10.1%27.3%24.2%40.5%5.7%11.5%38.3K-420.4K-9.2K0.89104.273122772,5291,220
2015-09-25$20.81$21.0032.8%9.4%30.1%18.7%34.8%3.4%13.4%58.0K-1.1M-10.4K0.5992.374772832,6051,330
2015-09-28$20.72$21.0038.1%10.9%30.2%31.3%37.7%4.2%10.2%61.9K-1.2M-10.5K0.4389.585922562,7441,345
2015-09-29$20.87$21.0038.0%10.9%30.0%31.1%38.4%3.6%9.5%70.0K-1.4M-10.9K0.4095.196762692,8931,345
2015-09-30$21.36$21.0035.1%10.1%28.3%24.3%35.9%4.5%12.4%86.1K-1.9M-11.5K0.8994.593352983,0151,363