SANM Options History — April 2016

In April 2016, SANM traded between $21.84 and $24.24. ATM implied volatility averaged 42.0%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 12.1% (HV 20d: 29.8%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2016-04-26: Highest Volume — 1,274 contracts
  • 2016-04-11: Largest IV spike — 56.6% change
  • 2016-04-25: Highest IV Rank — 70.4%
  • 2016-04-25: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.59$21.84$24.24$23.33$23.67
Max Pain$21.90$20.00$22.00$20.00$22.00
ATM IV42.0%30.0%54.7%30.4%31.1%
Expected Move13.0%8.6%15.7%8.7%8.9%
HV 20d29.8%24.2%41.4%28.5%41.4%
HV 60d33.3%27.8%36.3%36.3%33.1%
IV Rank40.3%12.2%70.4%13.0%14.6%
IV Percentile65.5%19.8%93.3%24.2%27.0%
Term Structure-6.5%-11.5%14.0%14.0%-1.4%
VWIV45.8%30.4%54.0%30.4%33.0%
Skew 25d3.7%0.7%7.2%6.3%3.1%
Skew 10d5.8%-15.1%23.4%5.8%20.4%
Call IV 25d44.2%26.2%53.0%26.2%31.8%
Put IV 25d47.9%32.2%58.5%32.5%34.9%
Bid-Ask Spread %72.5040.57103.41103.4197.45
Gamma HHI0.330.250.520.320.30
Net GEX79.3K37.7K149.6K64.5K147.4K
Net DEX-1.9M-3.5M-1.0M-2.2M-2.7M
Net VEX-9.2K-11.8K-7.9K-7.9K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.240.910.730.67
Total Volume567.6672861,274286659
Total OI2,586.6671,7163,2992,3373,299

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$23.33$20.0030.4%8.7%28.5%13.0%30.4%6.3%14.0%64.5K-2.2M-7.9K0.73103.411651211,807530
2016-04-04$22.81$22.0032.7%13.2%28.6%18.5%45.7%1.2%-7.7%64.1K-2.0M-7.9K0.8474.841851561,829531
2016-04-05$22.47$22.0037.9%13.6%29.3%30.7%48.3%2.7%-7.5%64.1K-1.9M-8.0K0.9167.681721561,854577
2016-04-06$22.38$22.0035.5%13.7%28.0%25.0%48.7%5.6%-6.8%68.0K-1.8M-8.0K0.7283.212161561,881577
2016-04-07$21.84$22.0035.4%13.5%29.5%24.8%48.0%2.8%-7.2%66.9K-1.6M-8.1K0.5266.422951521,965577
2016-04-08$21.89$22.0031.7%13.8%29.5%16.2%48.7%1.8%-8.8%71.7K-1.7M-8.6K0.5672.832871602,046579
2016-04-11$22.21$22.0049.7%13.8%27.4%58.6%49.4%3.0%-9.3%74.6K-1.9M-8.6K0.8366.481921602,072589
2016-04-12$22.00$22.0040.8%14.2%26.6%37.6%49.4%4.6%-11.2%74.2K-1.8M-8.4K0.8271.851961602,046589
2016-04-13$22.83$22.0049.8%14.3%27.6%58.7%49.6%4.1%-10.5%70.9K-2.1M-8.6K0.7576.552461852,037589
2016-04-14$22.37$22.0049.5%14.2%28.7%58.1%49.9%5.0%-10.1%73.9K-2.0M-8.6K0.8177.492291852,053618
2016-04-15$22.18$22.0050.3%14.4%28.7%60.0%51.0%6.2%-10.4%37.7K-1.9M-8.2K0.7272.352361692,052617
2016-04-18$22.27$22.0049.6%14.2%27.2%58.3%49.5%4.6%-7.5%39.7K-1.0M-8.1K0.3655.735181851,427289
2016-04-19$22.27$22.0050.8%14.6%25.7%61.2%50.5%4.9%-6.5%56.3K-1.3M-9.5K0.4651.354452051,805354
2016-04-20$22.10$22.0052.5%15.0%24.9%65.2%52.0%1.9%-11.5%54.6K-1.2M-9.4K0.4556.053661651,808374
2016-04-21$21.89$22.0053.7%15.4%24.2%68.0%54.0%0.9%-10.5%55.5K-1.2M-9.2K0.5563.763431891,868374
2016-04-22$22.01$22.0054.0%15.5%24.3%68.8%53.0%4.8%-11.2%55.8K-1.2M-9.4K0.2562.118462111,869394
2016-04-25$22.14$22.0054.7%15.7%24.4%70.4%54.0%7.2%-11.1%83.5K-1.6M-10.5K0.4940.576803302,347447
2016-04-26$24.24$22.0031.0%8.9%40.6%14.5%32.5%0.7%-0.9%149.6K-3.5M-11.8K0.2482.051,0292452,598579
2016-04-27$24.06$22.0030.0%8.6%40.2%12.2%33.5%3.3%-1.3%148.8K-3.2M-11.7K0.6199.164082472,576617
2016-04-28$23.39$22.0030.3%8.7%41.2%12.8%31.7%3.1%0.1%142.7K-2.5M-11.6K0.6381.114112602,596684
2016-04-29$23.67$22.0031.1%8.9%41.4%14.6%33.0%3.1%-1.4%147.4K-2.7M-11.5K0.6797.453952642,612687