SANM Options History — October 2015

In October 2015, SANM traded between $20.34 and $23.83. ATM implied volatility averaged 45.5%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 11.2% (HV 20d: 34.3%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2015-10-22: Highest Volume — 1,061 contracts
  • 2015-10-14: Largest IV spike — 70.8% change
  • 2015-10-30: Highest IV Rank — 100.0%
  • 2015-10-30: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.14$20.34$23.83$21.05$20.71
Max Pain$20.95$20.00$21.00$21.00$21.00
ATM IV45.5%25.1%62.4%37.3%62.4%
Expected Move14.3%10.4%17.9%10.7%17.9%
HV 20d34.3%24.8%45.9%28.5%45.6%
HV 60d34.5%29.5%37.8%37.0%35.9%
IV Rank54.5%0.5%100.0%29.3%100.0%
IV Percentile81.2%0.8%100.0%77.0%100.0%
Term Structure-7.9%-16.7%12.0%11.0%-16.7%
VWIV50.4%36.2%61.1%36.2%61.1%
Skew 25d2.0%-1.1%3.6%0.8%2.6%
Skew 10d7.8%-7.9%29.7%9.2%2.1%
Call IV 25d49.7%37.1%61.5%38.0%61.5%
Put IV 25d51.8%36.0%64.1%38.8%64.1%
Bid-Ask Spread %58.5919.41105.6098.0919.41
Gamma HHI0.240.160.340.310.16
Net GEX90.4K48.8K121.4K78.4K48.9K
Net DEX-2.9M-5.4M-528.6K-1.7M-815.5K
Net VEX-13.4K-15.8K-11.9K-11.9K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.091.610.730.71
Total Volume816.4553101,061568938
Total OI5,039.5453,6316,0094,5416,009

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$21.05$21.0037.3%10.7%28.5%29.3%36.2%0.8%11.0%78.4K-1.7M-11.9K0.7398.093282403,0781,463
2015-10-02$21.34$21.0036.2%10.4%28.7%26.8%36.9%-1.1%12.0%86.6K-1.9M-12.4K0.77105.603712853,1631,583
2015-10-05$22.38$21.0034.6%13.5%30.9%23.0%46.9%0.7%-7.2%106.3K-3.2M-12.5K0.0969.84284263,2361,655
2015-10-06$22.07$21.0035.1%13.5%30.8%24.3%48.2%1.7%-6.3%119.9K-3.1M-13.3K0.5664.135022833,4611,651
2015-10-07$22.39$21.0036.0%13.7%30.7%26.4%47.9%3.6%-9.8%119.5K-3.4M-13.1K0.5764.685042863,4371,653
2015-10-08$22.56$21.0036.9%13.2%30.5%28.4%47.6%2.6%-7.1%121.4K-3.6M-12.9K0.6763.774673143,4441,656
2015-10-09$22.66$21.0025.1%13.4%30.5%0.5%48.0%2.8%-8.4%113.2K-3.9M-12.6K0.6266.645093143,4871,689
2015-10-12$22.84$21.0034.4%13.4%30.4%22.5%47.8%3.3%-8.2%119.5K-4.1M-12.5K0.5572.084822633,5871,689
2015-10-13$23.25$21.0028.6%14.2%30.2%8.9%48.4%0.8%-9.5%84.4K-4.8M-11.9K0.5772.065433093,5981,692
2015-10-14$23.18$21.0048.9%14.0%30.4%57.0%49.7%0.8%-8.2%93.1K-4.6M-12.7K0.5852.745373093,6851,781
2015-10-15$23.72$21.0047.4%13.6%30.9%57.1%48.1%3.1%-11.1%108.7K-5.3M-12.3K0.6272.095613503,7001,781
2015-10-16$23.71$21.0046.9%13.5%28.5%60.7%48.0%2.9%-9.5%103.1K-5.4M-12.7K0.6744.805543693,7951,858
2015-10-19$23.70$21.0050.0%14.3%28.4%69.1%53.5%2.7%-8.7%100.2K-3.5M-12.6K0.4660.405962752,708923
2015-10-20$23.83$20.0049.8%14.3%24.8%68.5%47.7%1.9%-8.5%107.6K-4.0M-13.3K0.3444.486492202,9881,042
2015-10-21$22.95$21.0050.9%14.6%29.8%71.5%55.0%2.8%-8.8%104.5K-3.3M-14.4K0.3243.096252033,1091,186
2015-10-22$21.08$21.0053.3%15.3%44.2%78.3%54.3%0.8%-8.6%78.1K-1.5M-13.4K0.8446.145764853,1261,199
2015-10-23$20.92$21.0051.8%14.8%42.2%74.1%51.4%2.6%-10.1%67.8K-1.1M-14.2K1.2240.394315263,2341,510
2015-10-26$20.34$21.0056.6%16.2%43.3%87.2%56.0%2.2%-8.4%50.8K-528.6K-14.1K0.9048.374794323,3451,755
2015-10-27$20.44$21.0058.0%16.6%43.3%91.0%56.3%0.8%-11.9%57.4K-789.9K-14.8K0.8367.064223523,5341,855
2015-10-28$21.31$21.0059.4%17.0%45.1%95.1%60.8%3.4%-14.0%70.7K-1.5M-15.8K1.6137.993926313,6131,949
2015-10-29$20.72$21.0061.0%17.5%45.9%99.5%59.3%2.7%-16.3%48.8K-892.2K-15.8K0.8635.143973433,6522,311
2015-10-30$20.71$21.0062.4%17.9%45.6%100.0%61.1%2.6%-16.7%48.9K-815.5K-15.6K0.7119.415493893,6922,317