SANM Options History — October 2016

In October 2016, SANM traded between $27.40 and $29.39. ATM implied volatility averaged 45.0%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 20.6% (HV 20d: 24.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2016-10-31: Highest Volume — 1,702 contracts
  • 2016-10-12: Largest IV spike — 81.5% change
  • 2016-10-31: Highest IV Rank — 100.0%
  • 2016-10-31: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.50$27.40$29.39$28.40$27.50
Max Pain$27.67$25.00$30.00$25.00$30.00
ATM IV45.0%25.6%69.3%26.2%69.3%
Expected Move13.9%7.3%19.9%7.5%19.9%
HV 20d24.4%20.8%29.7%20.8%29.7%
HV 60d30.9%19.1%39.8%38.5%22.0%
IV Rank49.2%5.1%100.0%6.5%100.0%
IV Percentile66.3%7.9%100.0%12.7%100.0%
Term Structure-8.9%-21.8%17.8%17.6%-21.8%
VWIV50.5%23.6%66.8%23.9%66.8%
Skew 25d5.2%0.8%7.1%0.8%4.6%
Skew 10d14.0%-6.2%33.6%8.5%-6.2%
Call IV 25d46.6%23.4%66.3%28.5%66.3%
Put IV 25d51.7%28.1%70.9%29.3%70.9%
Bid-Ask Spread %67.4551.83113.75109.0269.58
Gamma HHI0.190.160.270.180.23
Net GEX32.4K-59.1K86.2K39.8K-59.1K
Net DEX-2.0M-3.5M1.3M-2.7M1.3M
Net VEX-6.4K-8.4K-5.6K-6.7K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.604.010.964.01
Total Volume878.2386241,7026321,702
Total OI2,855.9052,0083,6942,9432,871

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$28.40$25.0026.2%7.5%20.8%6.5%23.9%0.8%17.6%39.8K-2.7M-6.7K0.96109.023223101,7011,242
2016-10-04$28.64$25.0025.6%7.3%20.8%5.1%25.3%3.2%17.8%43.2K-3.0M-6.4K0.9697.783243101,7271,239
2016-10-05$29.15$25.0026.1%7.5%21.4%6.3%23.6%5.7%17.7%40.5K-3.2M-6.5K0.83113.753502911,7281,239
2016-10-06$29.39$28.0026.7%12.9%21.5%7.7%46.1%6.4%-9.7%46.8K-3.5M-6.1K0.7955.573702911,7461,232
2016-10-07$29.02$28.0025.8%13.2%21.5%5.7%46.0%4.5%-10.9%47.6K-3.2M-6.3K0.8252.413642991,7461,232
2016-10-10$29.25$28.0027.3%12.9%21.2%9.1%46.9%5.0%-9.4%48.3K-3.3M-5.9K0.9457.243233021,7471,230
2016-10-11$28.75$28.0027.5%13.5%22.4%9.5%48.3%4.8%-11.8%50.5K-3.0M-5.9K0.9451.833223021,7651,233
2016-10-12$27.45$28.0049.9%14.3%28.0%60.5%50.1%5.2%-12.9%43.5K-2.0M-6.2K1.0867.383804121,7851,233
2016-10-13$27.40$28.0051.2%14.7%26.3%63.5%51.2%4.0%-14.6%40.9K-1.8M-6.8K0.8856.963763291,8181,366
2016-10-14$27.63$28.0050.0%14.3%25.7%60.9%51.1%6.9%-13.0%37.9K-2.2M-6.2K0.7855.164163261,8271,391
2016-10-17$27.80$28.0050.0%14.3%24.8%60.7%51.8%5.9%-12.5%46.0K-2.3M-5.7K0.6252.934372691,7871,392
2016-10-18$28.15$28.0050.9%14.6%25.2%62.7%52.3%5.3%-13.7%70.1K-2.6M-5.6K0.6261.764352681,7781,420
2016-10-19$28.38$28.0050.8%14.6%24.2%62.5%50.9%4.8%-15.0%79.3K-2.7M-5.6K0.6065.574282581,7991,414
2016-10-20$28.35$28.0052.2%15.0%24.2%65.7%56.1%6.3%-14.0%86.2K-2.8M-5.6K1.7766.434467911,8201,413
2016-10-21$28.58$28.0050.0%14.3%23.9%60.8%57.4%7.1%-13.6%-49-2.6M-6.8K1.4762.885147531,7901,904
2016-10-24$29.30$28.0054.1%15.5%25.0%70.1%60.7%6.8%-12.9%6.0K-802.4K-6.5K2.4563.233017368821,126
2016-10-25$29.03$28.0054.8%15.7%25.4%71.6%61.2%4.1%-13.9%4.6K-726.9K-6.7K2.4065.272937048991,149
2016-10-26$29.35$28.0056.3%16.1%25.6%75.1%66.6%7.0%-11.7%8.6K-778.1K-6.7K2.3557.013167449031,149
2016-10-27$28.40$28.0058.8%16.9%28.1%80.7%62.9%4.9%-13.8%-1.3K-517.4K-6.8K2.2863.523267449271,191
2016-10-28$28.50$28.0062.2%17.8%26.9%88.5%61.6%4.9%-15.3%381-524.5K-7.0K2.5771.283539069421,191
2016-10-31$27.50$30.0069.3%19.9%29.7%100.0%66.8%4.6%-21.8%-59.1K1.3M-8.4K4.0169.583401,3629521,919