SANM Options History — December 2016

In December 2016, SANM traded between $32.40 and $36.95. ATM implied volatility averaged 28.0%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.6% (HV 20d: 25.5%). Max pain ranged from $26.00 to $32.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2016-12-23: Highest Volume — 986 contracts
  • 2016-12-12: Largest IV spike — 24.5% change
  • 2016-12-12: Highest IV Rank — 23.7%
  • 2016-12-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.65$32.40$36.95$32.40$36.53
Max Pain$28.52$26.00$32.00$32.00$29.00
ATM IV28.0%25.4%33.3%29.9%25.8%
Expected Move7.8%7.3%8.6%8.6%7.4%
HV 20d25.5%21.9%28.0%26.3%21.9%
HV 60d26.7%26.3%27.5%26.3%26.6%
IV Rank12.5%6.9%23.7%16.6%7.7%
IV Percentile27.6%6.3%65.1%41.3%10.7%
Term Structure11.0%-2.3%19.5%-2.3%19.1%
VWIV28.8%25.0%35.3%35.3%27.3%
Skew 25d2.8%-1.2%4.7%2.1%2.2%
Skew 10d9.1%-10.0%21.5%4.5%2.3%
Call IV 25d27.0%24.8%29.5%29.5%26.8%
Put IV 25d29.8%28.1%31.7%31.6%28.9%
Bid-Ask Spread %95.9383.35114.49108.0199.14
Gamma HHI0.160.130.230.230.21
Net GEX22.2K-2.6K34.6K27.8K-1.9K
Net DEX-2.3M-2.7M-1.5M-1.6M-1.7M
Net VEX-5.1K-8.1K-3.9K-5.0K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.772.530.860.77
Total Volume536.619430986538594
Total OI1,847.5711,3182,2021,8162,202

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$32.40$32.0029.9%8.6%26.3%16.6%35.3%2.1%-2.3%27.8K-1.6M-5.0K0.86108.01289249903913
2016-12-02$33.55$32.0028.5%8.2%28.0%13.4%35.0%3.0%-1.4%27.4K-1.9M-4.8K1.25100.54191239903912
2016-12-05$34.35$26.0032.2%8.1%27.6%21.3%29.7%4.7%7.4%27.8K-2.2M-4.3K1.1593.11206236905910
2016-12-06$34.58$27.0029.7%7.7%26.9%16.0%27.1%4.4%7.7%25.1K-2.3M-4.2K1.0892.17218236925937
2016-12-07$35.58$28.0028.5%7.7%27.8%13.5%27.5%3.0%9.0%28.3K-2.6M-4.1K1.2088.67205246948937
2016-12-08$35.58$28.0028.5%7.7%28.0%13.6%30.9%4.3%10.1%26.9K-2.6M-4.2K1.2192.32211255948947
2016-12-09$35.53$28.0026.8%7.8%27.6%9.8%28.6%3.3%9.3%26.6K-2.6M-4.2K1.1986.41215255953957
2016-12-12$35.30$28.0033.3%8.1%25.1%23.7%28.9%2.7%9.3%27.7K-2.6M-4.0K1.1883.35216255956957
2016-12-13$35.40$28.0033.2%8.0%24.9%23.4%28.2%3.9%8.9%28.0K-2.6M-3.9K1.2889.73215275954957
2016-12-14$35.42$28.0028.1%8.1%24.8%12.7%30.0%3.1%11.2%31.0K-2.6M-4.2K1.2287.36227277962977
2016-12-15$35.98$28.0026.6%7.6%25.1%9.4%28.2%3.4%10.6%26.4K-2.7M-4.2K1.2187.52228277963999
2016-12-16$35.88$28.0026.4%7.6%25.1%9.0%27.1%1.9%10.3%25.0K-2.7M-4.1K1.3586.78224302959999
2016-12-19$35.88$28.0026.2%7.5%25.1%8.5%26.3%2.4%13.3%20.1K-2.2M-3.9K0.89105.90261231837481
2016-12-20$36.70$28.0025.4%7.3%25.7%6.9%25.0%1.5%13.7%24.0K-2.4M-3.9K1.0194.39228231889491
2016-12-21$36.95$28.0026.0%7.5%25.5%8.1%26.0%3.9%12.4%30.7K-2.6M-4.2K1.0597.60238251929491
2016-12-22$36.33$29.0026.1%7.5%23.9%8.4%26.7%2.5%14.9%33.4K-2.3M-5.5K1.1495.843253721,031611
2016-12-23$36.60$29.0027.7%7.9%23.9%11.8%27.8%-1.2%12.7%34.6K-2.3M-5.7K2.53114.492797071,032632
2016-12-27$36.95$29.0027.4%7.9%23.8%11.2%28.8%2.9%16.0%-1.0K-1.7M-8.0K1.02101.602983051,0991,063
2016-12-28$36.35$29.0026.8%7.7%24.7%9.9%31.5%3.3%18.3%2.2K-1.5M-8.1K0.96102.943022901,1011,063
2016-12-29$36.75$29.0025.7%7.4%22.8%7.5%28.9%1.9%19.5%-2.6K-1.6M-7.8K0.91106.703202901,1001,066
2016-12-30$36.53$29.0025.8%7.4%21.9%7.7%27.3%2.2%19.1%-1.9K-1.7M-8.1K0.7799.143352591,1361,066