SANM Options History — September 2016

In September 2016, SANM traded between $26.55 and $28.66. ATM implied volatility averaged 26.0%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 10.2% (HV 20d: 15.8%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-09-01: Highest Volume — 910 contracts
  • 2016-09-14: Largest IV drop — 25.6% change
  • 2016-09-13: Highest IV Rank — 30.4%
  • 2016-09-13: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.59$26.55$28.66$26.55$28.52
Max Pain$25.10$25.00$26.00$26.00$25.00
ATM IV26.0%23.3%36.7%24.7%23.6%
Expected Move7.4%6.7%8.4%7.1%6.8%
HV 20d15.8%11.7%20.7%12.5%20.7%
HV 60d40.6%38.5%42.3%42.0%38.9%
IV Rank5.9%0.0%30.4%0.0%0.6%
IV Percentile9.5%0.0%71.0%0.0%0.8%
Term Structure11.2%1.0%17.9%1.0%17.5%
VWIV25.1%22.1%27.9%27.9%25.7%
Skew 25d3.1%0.1%6.8%2.0%0.1%
Skew 10d7.8%-9.3%17.5%4.5%-1.8%
Call IV 25d25.9%22.6%28.9%26.1%28.3%
Put IV 25d29.0%26.1%32.4%28.1%28.3%
Bid-Ask Spread %97.4889.32113.52113.52106.92
Gamma HHI0.190.170.310.190.17
Net GEX41.9K22.9K60.1K50.5K45.0K
Net DEX-2.0M-2.7M-1.3M-1.3M-2.5M
Net VEX-7.1K-7.7K-6.4K-7.2K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.781.551.070.99
Total Volume672.81537910910622
Total OI2,669.2862,2902,9342,2902,934

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$26.55$26.0024.7%7.1%12.5%0.0%27.9%2.0%1.0%50.5K-1.3M-7.2K1.07113.524394711,382908
2016-09-02$26.76$26.0023.3%6.7%12.3%0.0%26.0%2.0%2.4%47.2K-1.4M-7.7K1.16102.003624211,4281,002
2016-09-06$26.70$25.0024.4%7.7%11.7%2.4%25.6%1.5%7.4%47.3K-1.4M-7.6K1.1289.323533941,4891,063
2016-09-07$26.82$25.0023.7%7.7%11.8%0.9%25.9%2.9%7.4%47.7K-1.6M-7.4K1.0193.163433451,4891,090
2016-09-08$26.91$25.0025.0%7.6%11.7%3.8%25.2%4.2%7.4%44.6K-1.6M-7.5K1.0390.263533631,4901,107
2016-09-09$26.58$25.0027.0%8.0%12.6%8.4%25.8%2.1%7.0%46.9K-1.5M-7.3K1.1794.343313871,4951,087
2016-09-12$26.97$25.0029.9%8.0%13.5%14.9%25.8%4.4%6.8%52.9K-1.7M-6.9K1.1790.993103631,5091,092
2016-09-13$26.90$25.0036.7%8.4%12.5%30.4%26.8%3.5%8.1%49.6K-1.7M-7.0K0.9498.613413211,5031,099
2016-09-14$27.33$25.0027.3%7.8%12.1%9.1%25.3%6.8%6.8%53.1K-2.0M-6.9K1.0693.772822991,5551,114
2016-09-15$28.05$25.0026.7%7.6%14.8%7.7%25.8%2.5%7.6%60.1K-2.5M-6.5K1.2294.243083761,5581,113
2016-09-16$27.55$25.0026.0%7.5%16.6%6.1%25.9%1.2%9.2%22.9K-2.1M-6.9K1.55103.152573991,5711,222
2016-09-19$28.09$25.0026.7%7.7%17.7%7.7%24.1%4.7%14.0%24.6K-2.1M-6.4K1.0398.772652721,3761,095
2016-09-20$28.04$25.0026.0%7.5%17.5%6.2%23.4%2.9%16.6%26.9K-2.2M-6.6K0.8991.223332951,4331,126
2016-09-21$28.63$25.0025.3%7.3%18.4%4.6%23.0%4.9%15.0%30.1K-2.6M-6.7K1.06109.892832991,5211,156
2016-09-22$28.66$25.0023.4%6.7%18.3%0.2%22.1%4.2%17.3%35.2K-2.7M-6.5K0.7893.213893021,5601,170
2016-09-23$28.28$25.0024.5%7.0%19.3%2.8%23.1%2.7%15.6%39.4K-2.6M-7.4K0.8497.683583001,6421,175
2016-09-26$28.00$25.0025.6%7.3%19.8%5.1%25.4%1.9%17.3%39.8K-2.4M-7.5K0.9698.673373241,6501,180
2016-09-27$28.13$25.0025.1%7.2%19.0%4.1%26.0%4.9%17.2%39.0K-2.3M-7.5K0.96100.343293151,6501,214
2016-09-28$28.16$25.0024.8%7.1%19.0%3.3%23.5%2.7%16.5%39.0K-2.5M-7.0K0.9692.083343211,6581,224
2016-09-29$27.86$25.0025.5%7.3%19.5%4.9%25.8%2.6%17.9%38.2K-2.3M-7.2K0.9694.923233101,6911,234
2016-09-30$28.52$25.0023.6%6.8%20.7%0.6%25.7%0.1%17.5%45.0K-2.5M-7.5K0.99106.923123101,6921,242