SANM Options History — November 2016

In November 2016, SANM traded between $28.00 and $33.63. ATM implied volatility averaged 32.4%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.6% (HV 20d: 28.8%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.62.

Notable Days

  • 2016-11-02: Highest Volume — 2,748 contracts
  • 2016-11-02: Largest IV drop — 40.2% change
  • 2016-11-01: Highest IV Rank — 92.3%
  • 2016-11-01: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.75$28.00$33.63$28.05$32.90
Max Pain$30.05$28.00$32.00$30.00$32.00
ATM IV32.4%22.1%65.7%65.7%29.0%
Expected Move9.1%6.4%18.8%18.8%8.3%
HV 20d28.8%22.9%31.3%30.5%25.2%
HV 60d24.0%22.2%26.0%22.2%26.0%
IV Rank21.3%0.0%92.3%92.3%14.5%
IV Percentile43.5%0.0%99.2%99.2%33.7%
Term Structure-2.2%-18.1%0.5%-18.1%-0.5%
VWIV34.5%28.5%64.9%64.9%34.9%
Skew 25d3.9%-4.5%9.2%6.8%4.3%
Skew 10d17.2%-1.8%93.7%93.7%11.6%
Call IV 25d31.6%22.5%64.2%64.2%29.0%
Put IV 25d35.4%26.1%71.0%71.0%33.3%
Bid-Ask Spread %92.4159.10120.6459.10102.72
Gamma HHI0.250.180.410.190.20
Net GEX-22.2K-140.6K91.3K-93.7K21.4K
Net DEX-965.4K-2.7M1.8M1.8M-1.7M
Net VEX-6.2K-9.3K-4.8K-9.3K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.778.123.260.86
Total Volume1,184.7624882,7482,182537
Total OI2,945.6671,6133,8563,3691,797

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$28.05$30.0065.7%18.8%30.5%92.3%64.9%6.8%-18.1%-93.7K1.8M-9.3K3.2659.105121,6701,0072,362
2016-11-02$28.00$29.0039.3%11.3%29.7%34.8%40.9%6.2%-5.2%-140.6K1.8M-9.3K6.29102.613772,3711,1642,603
2016-11-03$28.35$28.0034.9%9.4%29.9%25.1%33.8%4.5%-1.9%-98.6K748.7K-8.3K7.3572.903242,3811,0992,307
2016-11-04$28.05$28.0039.2%9.3%29.8%34.6%34.1%3.3%-1.3%-103.1K1.1M-8.1K8.1274.722942,3861,0852,299
2016-11-07$28.80$28.0036.6%9.4%31.3%28.9%34.7%3.9%-3.6%-104.5K406.0K-7.4K4.1795.803151,3151,0722,306
2016-11-08$29.00$28.0035.2%8.9%30.8%25.9%35.3%6.0%-2.1%-107.2K204.7K-7.2K4.7678.112771,3191,0972,309
2016-11-09$29.40$28.0022.1%6.4%25.6%0.0%30.1%-4.5%-3.5%-89.5K-342.7K-5.6K3.48120.643101,0791,1002,309
2016-11-10$29.20$28.0029.7%8.5%25.8%16.0%28.5%2.9%-0.9%-101.5K-215.4K-6.4K3.7485.783081,1521,1372,324
2016-11-11$30.50$30.0031.7%9.1%29.5%20.3%31.9%4.2%-2.6%-55.0K-1.4M-6.1K1.2394.093724591,1702,383
2016-11-14$31.00$30.0031.0%8.9%29.8%18.8%33.4%3.4%-1.1%19.0K-2.2M-5.5K1.2793.733604591,2502,458
2016-11-15$31.45$30.0030.6%8.8%29.9%18.0%32.9%3.7%-1.2%40.9K-2.4M-5.2K1.3286.413234271,2582,458
2016-11-16$31.65$30.0028.9%8.3%29.9%14.3%32.8%4.2%-0.2%85.5K-2.7M-4.8K1.1494.633914471,2562,458
2016-11-17$31.60$31.0028.9%8.3%29.9%14.4%32.3%3.5%-0.4%91.3K-2.7M-5.6K1.1989.053924671,3552,478
2016-11-18$31.63$31.0028.8%8.3%29.9%14.2%32.7%4.0%-0.6%25.0K-2.7M-5.6K1.4596.713084461,3582,498
2016-11-21$31.65$31.0027.9%8.0%29.0%12.1%30.3%2.8%-0.1%26.1K-1.3M-5.2K0.8893.42260228817796
2016-11-22$31.65$31.0027.7%7.9%28.6%11.8%29.6%2.3%-0.7%27.4K-1.4M-5.1K0.9599.39261249821796
2016-11-23$32.95$32.0026.4%7.6%31.3%9.1%29.6%9.2%-0.9%20.1K-1.6M-5.1K1.01101.71247249833852
2016-11-25$33.15$32.0028.7%8.2%27.7%13.9%33.7%4.5%0.5%20.5K-1.7M-5.0K0.82105.51278229836853
2016-11-28$33.10$32.0028.8%8.3%27.9%14.2%34.3%3.1%-0.6%24.3K-1.8M-5.0K0.7794.41301231869873
2016-11-29$33.63$32.0028.3%8.1%22.9%13.0%34.4%3.3%-1.1%26.5K-2.0M-4.8K0.8899.25302267883873
2016-11-30$32.90$32.0029.0%8.3%25.2%14.5%34.9%4.3%-0.5%21.4K-1.7M-5.0K0.86102.72289248884913