SANM Options History — August 2016

In August 2016, SANM traded between $25.16 and $26.72. ATM implied volatility averaged 26.2%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 21.7% (HV 20d: 47.9%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.96.

Notable Days

  • 2016-08-11: Highest Volume — 996 contracts
  • 2016-08-08: Largest IV spike — 10.8% change
  • 2016-08-02: Highest IV Rank — 8.8%
  • 2016-08-02: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.18$25.16$26.72$25.44$26.34
Max Pain$25.39$25.00$27.00$27.00$26.00
ATM IV26.2%24.7%28.8%28.6%26.2%
Expected Move7.5%7.1%8.3%8.2%7.5%
HV 20d47.9%12.4%63.7%63.6%12.4%
HV 60d42.4%42.0%42.8%42.7%42.0%
IV Rank3.2%0.0%8.8%8.4%3.6%
IV Percentile3.7%0.0%10.7%9.5%6.3%
Term Structure1.2%-0.4%2.6%-0.4%0.4%
VWIV27.0%24.5%29.4%28.5%26.0%
Skew 25d3.0%-2.0%5.5%2.2%5.5%
Skew 10d11.5%0.6%21.5%6.6%7.7%
Call IV 25d26.3%22.5%29.7%28.2%22.5%
Put IV 25d29.4%27.2%31.8%30.5%28.0%
Bid-Ask Spread %88.6037.02117.7279.17106.83
Gamma HHI0.190.180.220.190.19
Net GEX60.9K42.2K98.5K51.1K54.0K
Net DEX-1.1M-1.5M-281.5K-466.5K-1.2M
Net VEX-8.1K-9.5K-6.8K-9.4K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.0018.000.771.04
Total Volume674.08722996800742
Total OI3,118.1742,0213,7313,5622,205

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$25.44$27.0028.6%8.2%63.6%8.4%28.5%2.2%-0.4%51.1K-466.5K-9.4K0.7779.174523482,4061,156
2016-08-02$25.16$26.0028.8%8.3%63.5%8.8%28.9%3.3%-0.1%42.2K-281.5K-9.0K0.8337.024033352,4061,139
2016-08-03$25.51$26.0026.2%7.5%63.7%2.7%28.0%4.6%0.5%44.2K-472.2K-9.0K0.8749.084303762,4041,157
2016-08-04$25.49$26.0027.6%8.1%63.6%5.9%27.8%3.2%0.4%48.0K-557.2K-9.5K0.9969.593683632,4501,197
2016-08-05$25.76$26.0024.9%7.3%62.9%0.0%26.6%3.2%1.2%53.5K-785.1K-9.4K0.9079.803793412,4551,205
2016-08-08$26.08$26.0027.6%7.7%63.0%6.3%25.8%3.1%1.3%66.0K-1.0M-9.2K0.9043.833973582,4641,195
2016-08-09$26.19$25.0026.1%7.8%62.6%2.9%27.1%3.6%0.4%82.5K-1.3M-9.2K0.83100.194443672,4891,200
2016-08-10$26.11$25.0026.4%7.6%62.2%3.5%26.1%3.0%1.0%75.8K-1.1M-8.7K0.6488.035993812,4721,190
2016-08-11$26.24$25.0025.7%7.4%62.3%1.8%26.6%3.3%2.3%86.0K-1.3M-8.7K0.69103.315914052,5571,170
2016-08-12$26.28$25.0026.9%7.7%62.2%4.6%26.8%4.0%0.8%73.7K-1.2M-8.6K0.6691.445903922,5331,198
2016-08-15$26.69$25.0025.6%7.3%62.6%1.7%27.0%3.8%0.5%98.5K-1.5M-8.2K0.8791.124453892,5301,193
2016-08-16$26.28$25.0026.7%7.6%62.7%4.1%29.2%2.1%1.3%60.3K-1.2M-7.9K0.9289.244233892,5171,183
2016-08-17$26.27$25.0026.8%7.7%62.6%4.6%0.0%2.4%1.8%58.5K-1.3M-7.7K10.00113.142202,5161,130
2016-08-18$26.33$25.0025.5%7.3%62.6%1.4%25.3%2.7%2.6%59.6K-1.3M-7.4K0.0096.963702,5141,120
2016-08-19$26.43$25.0025.7%7.4%62.7%1.8%24.5%2.7%1.6%51.3K-1.4M-7.3K0.9692.614254072,5061,140
2016-08-22$26.28$25.0025.3%7.3%62.3%1.0%29.4%2.0%1.9%54.2K-1.3M-7.2K0.89103.373052711,329692
2016-08-23$26.56$25.0024.7%7.1%18.6%0.0%26.0%2.2%2.3%54.1K-1.4M-7.0K0.8894.273092711,331692
2016-08-24$26.49$25.0025.8%7.4%13.4%2.8%0.0%3.3%1.9%62.9K-1.5M-7.1K18.0095.354721,370668
2016-08-25$26.62$25.0024.9%7.1%13.4%0.6%25.8%3.6%1.6%57.3K-1.5M-7.3K1.0199.953123141,375760
2016-08-26$26.72$25.0025.4%7.3%12.6%1.8%27.6%4.8%1.5%55.5K-1.5M-7.2K0.57117.724642641,375761
2016-08-29$26.37$25.0025.7%7.4%13.8%2.4%26.5%3.1%1.3%57.6K-1.3M-6.9K0.8894.203513091,379784
2016-08-30$26.44$26.0026.0%7.5%12.9%3.1%27.3%-2.0%0.6%53.4K-1.3M-6.9K0.88101.493513091,382823
2016-08-31$26.34$26.0026.2%7.5%12.4%3.6%26.0%5.5%0.4%54.0K-1.2M-6.8K1.04106.833633791,382823