SANM Options History — March 2016

In March 2016, SANM traded between $21.04 and $23.38. ATM implied volatility averaged 32.0%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 1.2% (HV 20d: 30.8%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-03-22: Highest Volume — 914 contracts
  • 2016-03-08: Largest IV spike — 11.3% change
  • 2016-03-08: Highest IV Rank — 25.7%
  • 2016-03-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.98$21.04$23.38$21.35$23.38
Max Pain$18.68$18.00$20.00$19.00$20.00
ATM IV32.0%29.0%35.8%34.8%31.1%
Expected Move9.1%8.3%10.0%10.0%8.9%
HV 20d30.8%25.3%34.0%25.7%31.6%
HV 60d36.9%36.5%37.4%36.9%36.6%
IV Rank16.7%9.8%25.7%23.5%14.7%
IV Percentile40.0%21.8%63.1%58.7%30.2%
Term Structure8.3%-1.8%14.2%-1.8%13.3%
VWIV32.3%29.0%35.9%35.9%33.1%
Skew 25d4.5%1.4%11.0%11.0%7.5%
Skew 10d10.1%-6.4%28.5%28.5%20.2%
Call IV 25d30.4%24.6%33.2%26.7%27.0%
Put IV 25d34.9%31.8%37.7%37.7%34.5%
Bid-Ask Spread %91.3019.58104.17104.17102.88
Gamma HHI0.240.200.340.210.34
Net GEX40.4K29.9K61.4K30.0K61.4K
Net DEX-1.6M-2.2M-1.2M-1.5M-2.2M
Net VEX-4.4K-7.9K-3.1K-4.2K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.211.790.990.71
Total Volume475.591242914541246
Total OI2,238.7271,4512,5102,3472,316

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$21.35$19.0034.8%10.0%25.7%23.5%35.9%11.0%-1.8%30.0K-1.5M-4.2K0.99104.172722691,411936
2016-03-02$21.04$19.0032.7%9.4%25.3%18.4%35.6%3.3%-0.1%29.9K-1.3M-4.2K1.02103.322662711,412936
2016-03-03$21.95$18.0032.2%9.1%28.3%17.3%31.7%3.5%6.5%32.9K-1.8M-3.9K0.86102.213142711,410936
2016-03-04$21.48$18.0031.6%9.2%28.1%16.0%31.5%1.4%6.5%36.8K-1.7M-4.0K0.8694.323142711,449936
2016-03-07$21.55$18.0032.1%9.2%27.6%17.1%32.3%3.2%6.8%37.5K-1.7M-3.8K0.8393.163012511,449936
2016-03-08$21.07$18.0035.8%9.5%29.4%25.7%33.4%4.3%6.2%33.9K-1.4M-3.8K0.8796.583042631,436937
2016-03-09$21.25$18.0033.4%9.6%29.4%20.0%32.2%3.2%6.5%34.6K-1.5M-3.6K0.8793.093042631,438950
2016-03-10$21.37$18.0034.4%9.9%29.4%22.5%32.7%3.7%5.1%34.0K-1.6M-3.5K0.8793.793042631,438950
2016-03-11$22.10$18.0031.6%9.1%31.0%15.9%31.7%5.4%6.4%36.7K-2.0M-3.2K1.3992.672092911,438950
2016-03-14$21.67$19.0032.0%9.2%32.2%16.8%32.1%4.4%6.5%35.2K-1.8M-3.2K1.7219.581702921,445975
2016-03-15$21.11$19.0032.1%9.2%32.3%17.0%31.5%2.7%6.7%37.5K-1.5M-3.3K1.5631.711822841,453976
2016-03-16$21.39$18.0032.9%9.4%31.6%19.0%32.2%4.4%5.1%31.6K-1.4M-3.3K1.71100.491722941,473991
2016-03-17$21.62$18.0030.4%8.7%30.9%13.0%30.6%3.7%6.8%35.6K-1.8M-3.1K1.5293.181932941,473991
2016-03-18$22.20$18.0030.5%8.8%31.8%13.3%31.8%3.2%7.3%36.1K-2.1M-3.3K1.79103.311642941,519991
2016-03-21$22.74$18.0029.4%8.4%32.5%10.7%33.0%4.4%13.6%38.2K-1.2M-3.2K1.36103.951041411,049402
2016-03-22$23.12$18.0029.0%8.3%32.7%9.8%29.0%8.4%14.0%38.6K-1.4M-3.2K0.2184.137541601,060408
2016-03-23$22.67$19.0029.5%8.5%33.8%11.0%30.2%4.9%13.0%46.2K-1.4M-4.9K0.4494.442741201,302466
2016-03-24$22.56$20.0030.4%8.7%34.0%13.0%32.0%3.7%14.2%47.5K-1.5M-5.6K0.28100.863981101,412508
2016-03-28$22.49$20.0032.6%9.4%34.0%18.3%32.2%3.0%13.2%56.0K-1.7M-7.1K0.54102.88178971,664509
2016-03-29$22.49$20.0033.6%9.6%33.2%20.6%32.5%5.8%12.7%57.3K-1.7M-7.4K0.4999.54200991,707511
2016-03-30$22.98$20.0031.2%8.9%32.1%14.9%33.0%3.7%14.1%61.3K-2.0M-7.9K0.7398.231401021,777526
2016-03-31$23.38$20.0031.1%8.9%31.6%14.7%33.1%7.5%13.3%61.4K-2.2M-7.9K0.71102.881441021,786530