SANM Options History — March 2017

In March 2017, SANM traded between $38.55 and $40.55. ATM implied volatility averaged 31.6%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.8% (HV 20d: 22.8%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.57.

Notable Days

  • 2017-03-16: Highest Volume — 866 contracts
  • 2017-03-20: Largest IV spike — 14.9% change
  • 2017-03-29: Highest IV Rank — 33.8%
  • 2017-03-29: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.67$38.55$40.55$40.08$40.48
Max Pain$35.87$35.00$39.00$39.00$37.00
ATM IV31.6%26.7%38.1%27.6%37.5%
Expected Move9.3%7.9%10.9%7.9%10.7%
HV 20d22.8%16.4%25.2%24.5%17.3%
HV 60d25.4%25.1%26.6%26.6%25.1%
IV Rank20.1%9.7%33.8%11.6%32.5%
IV Percentile59.4%23.0%80.2%35.3%79.4%
Term Structure3.8%1.9%7.1%2.8%3.7%
VWIV35.1%27.6%42.4%29.0%40.4%
Skew 25d3.6%-3.3%9.8%3.7%0.7%
Skew 10d14.3%-6.1%51.4%22.1%-6.1%
Call IV 25d31.9%27.4%38.1%27.5%37.3%
Put IV 25d35.5%29.2%41.4%31.2%38.0%
Bid-Ask Spread %98.6387.07111.5489.80111.54
Gamma HHI0.170.140.210.150.19
Net GEX47.0K7.6K71.1K58.2K58.0K
Net DEX-1.9M-2.6M-1.1M-2.2M-2.2M
Net VEX-7.4K-8.7K-6.6K-8.7K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.330.780.780.73
Total Volume682.609481866677685
Total OI1,9681,5342,3492,1561,733

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$40.08$39.0027.6%7.9%24.5%11.6%29.0%3.7%2.8%58.2K-2.2M-8.7K0.7889.803812961,364792
2017-03-02$39.55$39.0027.9%8.0%25.0%12.1%28.7%1.4%1.9%48.2K-2.0M-8.4K0.7090.644132901,360794
2017-03-03$39.50$39.0027.5%7.9%24.4%11.4%27.6%1.8%3.6%49.2K-1.8M-8.4K0.72102.694052901,379802
2017-03-06$39.33$35.0028.6%8.6%23.5%13.7%33.3%3.6%4.8%43.1K-1.6M-7.8K0.7087.074132901,381802
2017-03-07$39.45$35.0027.6%8.9%23.3%11.6%35.1%4.9%2.7%44.7K-1.7M-7.8K0.6991.744242911,391802
2017-03-08$39.08$35.0027.7%8.9%23.5%11.9%32.5%4.4%4.5%40.4K-1.6M-7.6K0.5892.845012911,414803
2017-03-09$38.88$35.0027.1%9.4%23.1%10.4%37.1%8.3%4.6%26.8K-1.4M-7.8K0.5997.214972911,427803
2017-03-10$38.55$35.0026.7%9.2%23.0%9.7%31.9%3.5%3.2%13.2K-1.1M-7.2K0.6089.274822911,404803
2017-03-13$38.98$35.0030.5%9.0%23.1%17.7%33.7%5.7%3.2%7.6K-1.3M-6.7K0.5895.915032911,400803
2017-03-14$39.45$35.0029.8%8.2%23.0%16.3%36.0%5.1%5.7%31.1K-1.8M-6.6K0.4996.954822341,418803
2017-03-15$40.20$35.0030.9%8.8%23.9%18.5%35.6%2.4%5.6%71.1K-2.5M-6.7K0.50100.824992491,454809
2017-03-16$40.39$35.0032.4%9.3%23.1%21.7%36.3%3.9%2.8%66.9K-2.6M-6.7K0.66101.025223441,466824
2017-03-17$40.33$35.0028.5%8.2%22.7%13.6%33.2%1.2%5.5%54.4K-2.4M-6.9K0.7097.354913451,473876
2017-03-20$40.10$35.0032.8%9.4%22.8%22.6%36.5%2.0%4.4%52.3K-2.1M-6.6K0.4997.363221591,047487
2017-03-21$39.10$35.0032.8%9.4%24.4%22.7%36.1%5.1%3.0%47.3K-1.7M-6.9K0.52101.153321731,071512
2017-03-22$39.75$35.0032.7%9.4%25.2%22.5%33.8%0.3%7.1%47.2K-1.8M-6.8K0.5097.413441731,081534
2017-03-23$39.63$35.0035.9%10.3%25.2%29.1%35.3%9.8%2.6%52.2K-1.9M-7.1K0.48100.833641731,103536
2017-03-24$39.73$35.0034.5%9.9%25.2%26.3%41.0%3.5%2.7%51.9K-2.0M-7.1K0.51104.683401731,123536
2017-03-27$39.75$35.0035.7%10.2%25.0%28.9%35.0%6.8%5.4%53.4K-1.9M-6.6K0.33102.495221731,117536
2017-03-28$39.92$37.0037.0%10.6%19.1%31.5%40.4%7.3%3.2%54.4K-1.8M-7.8K0.34103.875221801,116539
2017-03-29$39.73$37.0038.1%10.9%16.4%33.8%42.4%1.5%1.9%51.0K-1.9M-7.6K0.34110.055221801,122551
2017-03-30$40.55$37.0037.1%10.6%17.3%31.8%37.2%-3.3%2.2%59.0K-2.1M-7.6K0.55105.893591981,122551
2017-03-31$40.48$37.0037.5%10.7%17.3%32.5%40.4%0.7%3.7%58.0K-2.2M-7.7K0.73111.543972881,154579