SANM Options History — December 2015

In December 2015, SANM traded between $20.20 and $23.03. ATM implied volatility averaged 32.5%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 0.2% (HV 20d: 32.3%). Max pain ranged from $22.00 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 0.86.

Notable Days

  • 2015-12-04: Highest Volume — 832 contracts
  • 2015-12-09: Largest IV drop — 11.9% change
  • 2015-12-08: Highest IV Rank — 29.1%
  • 2015-12-11: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.32$20.20$23.03$23.03$20.69
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV32.5%28.9%37.2%32.8%31.8%
Expected Move9.2%8.3%10.1%9.4%9.1%
HV 20d32.3%25.7%65.8%65.8%32.6%
HV 60d49.4%48.3%50.1%48.3%48.9%
IV Rank18.0%9.5%29.1%18.6%16.4%
IV Percentile52.5%26.6%75.8%57.5%49.2%
Term Structure8.4%-2.6%17.1%-1.9%14.7%
VWIV32.6%28.6%39.4%33.1%32.2%
Skew 25d3.0%0.1%9.8%4.5%0.3%
Skew 10d4.1%-11.6%15.3%13.9%-4.0%
Call IV 25d30.9%22.4%33.6%31.0%30.8%
Put IV 25d33.9%31.2%37.3%35.5%31.2%
Bid-Ask Spread %91.4765.47105.8896.2395.72
Gamma HHI0.280.180.460.190.33
Net GEX52.6K4.0K109.4K109.4K36.4K
Net DEX-192.9K-2.3M1.1M-2.3M424.5K
Net VEX-7.7K-10.9K-5.4K-10.9K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.001.270.001.02
Total Volume623.9092983274665
Total OI4,313.1823,9344,5394,4374,125

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$23.03$22.0032.8%9.4%65.8%18.6%33.1%4.5%-1.9%109.4K-2.3M-10.9K0.0096.237402,8241,613
2015-12-02$22.25$22.0033.9%9.7%25.8%21.3%38.0%2.5%-2.6%84.6K-1.4M-10.5K0.6892.954152812,8301,613
2015-12-03$21.84$22.0034.4%9.1%25.7%22.4%30.0%2.5%7.2%65.1K-874.5K-10.0K0.6681.244893222,7941,621
2015-12-04$22.46$22.0033.0%8.7%28.2%19.2%32.0%2.6%7.2%78.4K-1.5M-10.4K0.7095.164893432,7891,662
2015-12-07$21.95$22.0035.2%9.1%28.5%24.4%31.1%2.6%6.7%62.4K-880.8K-9.7K0.0081.202902,8101,688
2015-12-08$21.11$22.0037.2%9.5%29.2%29.1%29.9%0.9%4.5%34.0K-80.8K-9.0K0.8587.774003392,8081,688
2015-12-09$20.76$22.0032.8%9.4%29.5%18.7%30.6%2.9%5.7%23.6K380.6K-8.4K0.8686.343973412,8291,692
2015-12-10$20.83$22.0032.3%9.3%29.5%17.6%32.3%3.2%6.0%22.2K371.7K-8.1K0.9085.893853472,8221,692
2015-12-11$20.50$22.0035.1%10.1%28.6%24.2%31.3%3.4%4.1%14.8K637.0K-7.5K1.0582.853693862,8141,693
2015-12-14$20.20$22.0034.6%9.9%28.6%23.0%36.8%3.9%5.5%4.0K1.1M-6.6K0.9489.163863632,8131,690
2015-12-15$20.91$22.0032.2%9.2%31.0%17.3%35.5%3.7%7.8%22.6K525.3K-7.3K0.8386.973883232,8131,690
2015-12-16$20.90$22.0032.8%9.4%30.9%18.7%39.4%4.0%6.2%23.1K472.4K-7.3K0.85104.873823232,8371,690
2015-12-17$21.31$22.0031.0%8.9%31.6%14.5%29.3%2.1%7.7%43.3K103.7K-7.4K0.8489.293853232,8441,690
2015-12-18$21.31$22.0031.7%9.1%31.5%16.1%28.6%2.5%6.3%58.8K26.7K-7.3K0.8488.683853232,8491,690
2015-12-21$20.89$22.0031.4%9.0%31.9%15.3%31.3%2.9%12.9%46.7K109.6K-6.5K1.1694.632512922,4781,456
2015-12-22$20.90$22.0030.1%8.6%31.7%12.4%36.0%2.0%14.7%43.9K271.1K-5.9K1.14105.882562932,4801,456
2015-12-23$21.59$22.0028.9%8.3%34.3%9.5%35.4%1.9%14.3%75.6K-431.2K-6.7K1.2799.192302932,4881,466
2015-12-24$21.46$22.0029.4%8.4%33.9%10.7%30.4%2.7%17.1%80.3K-425.8K-6.4K1.27105.492322942,4851,466
2015-12-28$21.29$22.0032.8%9.4%33.6%18.6%30.1%0.1%11.2%69.4K-211.5K-5.9K1.0998.412943202,4881,467
2015-12-29$21.62$22.0029.9%8.6%33.8%11.9%29.6%9.8%15.9%91.6K-467.3K-6.4K0.9398.853413162,5511,503
2015-12-30$21.14$22.0031.7%9.1%33.8%16.0%33.0%4.6%13.2%68.0K-19.5K-5.9K1.0265.473283342,5781,515
2015-12-31$20.69$22.0031.8%9.1%32.6%16.4%32.2%0.3%14.7%36.4K424.5K-5.4K1.0295.723303352,5911,534