SANM Options History — May 2016

In May 2016, SANM traded between $23.89 and $26.85. ATM implied volatility averaged 30.0%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 3.1% (HV 20d: 33.1%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2016-05-31: Highest Volume — 1,152 contracts
  • 2016-05-09: Largest IV spike — 10.3% change
  • 2016-05-09: Highest IV Rank — 18.4%
  • 2016-05-17: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.12$23.89$26.85$24.09$26.85
Max Pain$22.95$22.00$25.00$22.00$25.00
ATM IV30.0%27.0%32.7%31.0%27.3%
Expected Move8.5%7.7%9.1%8.9%7.8%
HV 20d33.1%16.0%40.9%40.9%16.0%
HV 60d31.8%29.8%32.6%32.5%29.8%
IV Rank11.9%4.8%18.4%14.5%5.5%
IV Percentile20.4%4.0%42.1%25.4%4.4%
Term Structure-0.3%-1.3%0.6%-1.1%0.6%
VWIV30.9%22.9%38.2%31.7%27.3%
Skew 25d4.2%1.8%9.1%6.0%2.8%
Skew 10d9.7%-15.1%18.0%11.5%8.7%
Call IV 25d28.3%23.1%31.7%28.1%27.6%
Put IV 25d32.4%29.5%35.0%34.1%30.4%
Bid-Ask Spread %94.0684.40111.1087.84106.81
Gamma HHI0.400.310.650.320.40
Net GEX130.9K62.1K187.0K157.7K62.1K
Net DEX-3.6M-5.1M-2.5M-3.2M-3.0M
Net VEX-10.4K-11.6K-8.8K-11.3K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.411.260.790.41
Total Volume718.6674921,1527141,152
Total OI3,227.7622,3353,9893,3042,429

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$24.09$22.0031.0%8.9%40.9%14.5%31.7%6.0%-1.1%157.7K-3.2M-11.3K0.7987.844003142,612692
2016-05-03$24.15$22.0031.2%9.0%40.3%15.0%32.1%7.3%-1.3%162.5K-3.3M-11.6K0.9088.813353002,686712
2016-05-04$24.00$22.0031.2%8.9%40.4%14.8%32.0%1.9%-0.7%162.8K-3.2M-11.5K0.9693.873243102,685755
2016-05-05$23.89$22.0032.2%8.7%39.2%17.2%38.2%2.6%-1.1%163.0K-3.0M-11.6K1.02111.103283342,707795
2016-05-06$24.19$22.0029.6%8.8%39.3%11.2%29.2%4.8%0.1%177.2K-3.4M-11.4K0.8787.863813322,737791
2016-05-09$24.29$22.0032.7%8.7%39.1%18.4%32.0%4.2%0.2%175.8K-3.5M-11.1K0.8584.404043442,704791
2016-05-10$24.62$22.0029.7%8.4%38.9%11.4%29.6%9.1%-0.5%185.0K-3.8M-11.0K0.9686.733613482,720806
2016-05-11$24.69$22.0028.6%8.2%37.1%8.9%27.4%2.7%0.6%183.1K-4.0M-10.5K0.9485.473583382,702806
2016-05-12$24.81$23.0029.5%8.5%35.9%11.0%29.1%1.8%-0.6%187.0K-4.0M-10.6K0.8085.253993192,708811
2016-05-13$24.85$23.0029.1%8.4%35.6%10.1%30.8%2.7%0.3%178.4K-4.0M-10.2K0.7690.724203192,638820
2016-05-16$25.60$23.0029.5%8.4%36.6%10.8%31.6%5.6%-1.0%147.6K-4.7M-9.8K1.0991.723904262,663820
2016-05-17$25.45$23.0031.6%9.1%36.8%15.9%34.2%3.3%-0.5%130.8K-4.6M-9.9K1.0695.124004262,691938
2016-05-18$25.43$23.0030.9%8.9%36.5%14.1%33.7%3.5%-0.3%120.7K-4.7M-9.8K1.26100.683594542,693992
2016-05-19$25.27$23.0030.3%8.7%36.4%12.6%31.4%5.1%0.6%132.6K-4.5M-10.1K0.8889.864654102,7981,069
2016-05-20$25.47$23.0030.1%8.6%36.3%12.3%33.1%2.8%0.4%69.9K-5.1M-10.1K0.9090.914283862,9041,085
2016-05-23$25.47$23.0030.3%8.7%36.4%12.7%33.4%5.3%-0.1%74.5K-2.5M-10.0K0.7288.022862061,818525
2016-05-24$26.02$23.0029.6%8.5%19.9%11.0%30.3%8.6%-0.2%74.0K-2.8M-9.6K0.90105.713202891,799536
2016-05-25$25.81$24.0028.8%8.2%19.9%9.0%30.1%2.9%-0.2%68.6K-2.6M-9.7K0.8794.032932551,806624
2016-05-26$26.10$25.0028.8%8.3%16.2%9.2%28.9%2.2%-0.3%67.8K-2.7M-9.5K0.8399.893112571,799640
2016-05-27$26.46$25.0027.0%7.7%16.3%4.8%22.9%2.1%-0.1%68.8K-2.9M-9.6K0.79110.513422691,825651
2016-05-31$26.85$25.0027.3%7.8%16.0%5.5%27.3%2.8%0.6%62.1K-3.0M-8.8K0.41106.818153371,763666