SANM Options History — June 2016

In June 2016, SANM traded between $25.20 and $28.44. ATM implied volatility averaged 28.3%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.8% (HV 20d: 20.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.30.

Notable Days

  • 2016-06-01: Highest Volume — 1,260 contracts
  • 2016-06-24: Largest IV spike — 16.2% change
  • 2016-06-27: Highest IV Rank — 24.8%
  • 2016-06-27: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.29$25.20$28.44$27.25$26.73
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV28.3%25.9%35.5%27.7%27.0%
Expected Move8.1%7.4%10.2%7.9%7.7%
HV 20d20.5%15.3%34.9%16.3%34.9%
HV 60d29.0%27.3%32.1%29.9%32.1%
IV Rank7.8%2.3%24.8%6.5%4.5%
IV Percentile11.4%1.6%61.5%6.3%2.8%
Term Structure9.5%-0.1%15.9%-0.1%15.9%
VWIV29.7%24.4%36.4%27.5%33.0%
Skew 25d3.4%0.7%7.1%7.1%5.0%
Skew 10d6.9%-2.9%20.2%15.4%12.3%
Call IV 25d27.6%24.4%34.3%24.4%27.6%
Put IV 25d31.0%27.5%38.8%31.4%32.6%
Bid-Ask Spread %97.2982.87110.08110.08105.03
Gamma HHI0.320.190.430.330.22
Net GEX86.4K28.9K147.5K127.2K40.1K
Net DEX-2.9M-4.1M-927.4K-3.5M-1.9M
Net VEX-9.4K-10.2K-8.6K-10.2K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.572.440.570.94
Total Volume740.5454031,2601,260614
Total OI3,081.7732,4593,4833,0042,891

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$27.25$25.0027.7%7.9%16.3%6.5%27.5%7.1%-0.1%127.2K-3.5M-10.2K0.57110.088034572,232772
2016-06-02$27.59$25.0026.2%7.7%15.8%2.9%27.8%2.5%7.3%123.8K-3.7M-10.0K1.1582.874114722,225907
2016-06-03$27.58$25.0026.4%7.7%15.5%3.3%26.9%2.3%8.2%116.3K-3.7M-9.9K1.2684.614125192,2191,015
2016-06-06$27.73$25.0027.3%7.7%15.3%5.7%27.3%2.5%7.1%121.5K-3.8M-9.5K1.3286.984015312,2031,065
2016-06-07$27.75$25.0026.0%7.6%15.5%2.4%28.4%3.2%9.0%129.3K-3.8M-9.4K0.9691.126075822,1961,069
2016-06-08$28.09$25.0025.9%7.4%15.4%2.3%26.8%4.1%9.2%136.2K-3.9M-9.8K1.0291.145695782,2091,190
2016-06-09$28.44$25.0026.4%7.6%15.5%3.5%28.8%3.6%7.8%133.2K-4.1M-9.6K1.3290.964636132,1831,235
2016-06-10$28.05$25.0027.4%7.9%17.1%5.9%25.7%2.4%7.9%147.5K-3.9M-9.7K2.1499.542785952,2021,235
2016-06-13$27.52$25.0028.5%8.2%19.3%8.3%29.7%1.9%7.3%126.6K-3.3M-9.7K2.1793.832745942,1941,271
2016-06-14$27.53$25.0029.5%8.5%17.0%10.9%32.2%3.8%6.2%127.0K-3.2M-9.8K2.1494.172785942,1931,270
2016-06-15$27.22$25.0029.5%8.5%17.5%10.8%33.6%3.4%7.7%82.6K-2.9M-9.4K2.44107.482014912,1981,270
2016-06-16$27.38$25.0029.0%8.3%17.5%9.6%35.8%3.7%6.6%113.8K-2.9M-9.2K1.86100.672083862,1951,271
2016-06-17$27.13$25.0028.2%8.1%17.7%7.8%28.3%1.8%7.9%43.0K-2.8M-9.1K1.3393.732753672,1991,284
2016-06-20$27.48$25.0028.4%8.2%18.0%8.3%27.4%2.1%12.7%49.2K-2.5M-8.8K1.4196.841672361,656803
2016-06-21$27.50$25.0027.8%8.0%17.9%6.7%24.4%2.2%12.3%45.8K-2.4M-8.6K1.05101.372122231,656841
2016-06-22$28.04$25.0027.1%7.8%17.7%5.2%27.2%3.4%12.7%47.4K-2.8M-8.8K0.8498.722882421,696896
2016-06-23$28.15$25.0026.7%7.7%17.1%3.9%27.1%0.7%13.0%55.2K-2.9M-8.8K0.92104.132292111,769936
2016-06-24$26.45$25.0031.0%8.9%29.0%14.1%32.3%6.1%11.4%40.8K-1.7M-9.5K0.91109.352312111,779956
2016-06-27$25.20$25.0035.5%10.2%33.3%24.8%36.4%4.5%11.2%32.2K-927.4K-9.3K0.8598.242702291,7641,007
2016-06-28$25.65$25.0031.2%8.9%33.6%14.5%34.5%3.9%13.8%32.7K-1.1M-9.4K0.98101.332502451,8021,011
2016-06-29$25.94$25.0029.3%8.4%33.4%10.1%32.3%4.7%15.0%28.9K-1.3M-9.3K0.9598.212432321,8071,027
2016-06-30$26.73$25.0027.0%7.7%34.9%4.5%33.0%5.0%15.9%40.1K-1.9M-9.3K0.94105.033172971,8551,036