SANM Options History — May 2017

In May 2017, SANM traded between $35.75 and $37.58. ATM implied volatility averaged 27.3%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.4% (HV 20d: 24.9%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2017-05-15: Highest Volume — 2,460 contracts
  • 2017-05-30: Largest IV spike — 9.2% change
  • 2017-05-04: Highest IV Rank — 15.3%
  • 2017-05-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.72$35.75$37.58$37.58$36.70
Max Pain$37.77$37.00$40.00$40.00$37.00
ATM IV27.3%26.0%29.4%26.8%28.1%
Expected Move7.8%7.5%8.2%7.7%8.1%
HV 20d24.9%21.0%27.2%26.4%21.0%
HV 60d22.8%21.8%24.1%22.9%22.1%
IV Rank11.0%8.3%15.3%9.9%12.7%
IV Percentile34.3%15.1%57.1%25.4%50.0%
Term Structure2.4%-0.2%5.3%-0.2%2.9%
VWIV28.3%25.7%42.7%28.1%30.5%
Skew 25d2.7%1.5%3.9%1.5%3.9%
Skew 10d7.5%-20.1%14.4%7.6%5.2%
Call IV 25d27.1%26.0%28.5%28.3%27.9%
Put IV 25d29.8%28.2%31.8%29.8%31.8%
Bid-Ask Spread %53.7429.20105.3688.1243.71
Gamma HHI0.240.170.300.170.27
Net GEX-173.4K-350.0K-58.5K-104.2K-117.1K
Net DEX1.5M-39.1K3.2M928.8K558.7K
Net VEX-13.1K-15.5K-11.1K-15.5K-11.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.672.070.791.69
Total Volume1,795.0918622,4602,165862
Total OI5,860.1824,2367,2266,0994,352

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$37.58$40.0026.8%7.7%26.4%9.9%28.1%1.5%-0.2%-104.2K928.8K-15.5K0.7988.121,2129532,7553,344
2017-05-02$36.83$40.0027.4%7.9%26.7%11.2%25.7%2.9%0.6%-189.6K2.0M-14.8K0.6867.451,2448512,7823,358
2017-05-03$36.70$40.0027.7%7.9%26.1%11.8%42.7%2.1%-0.0%-194.9K2.0M-14.0K0.67105.361,2528452,8273,343
2017-05-04$36.17$38.0029.4%8.0%26.0%15.3%27.2%3.5%2.0%-254.9K2.6M-14.2K0.6736.151,2438312,8383,343
2017-05-05$36.30$38.0028.3%7.9%25.8%13.1%27.7%3.7%5.3%-254.0K2.6M-13.6K0.8750.161,0018732,8473,356
2017-05-08$36.63$38.0028.3%7.8%26.2%13.2%27.5%2.8%2.3%-219.6K2.0M-12.9K1.0643.021,0111,0682,8843,381
2017-05-09$36.70$38.0027.7%7.8%25.9%11.8%27.4%2.1%1.0%-237.4K2.1M-13.8K1.0244.111,0461,0652,8993,567
2017-05-10$36.80$38.0026.3%7.6%25.7%8.9%26.9%2.8%2.4%-203.7K1.7M-13.3K0.9530.031,0459972,9493,530
2017-05-11$36.78$38.0026.4%7.6%24.6%9.1%27.3%2.8%4.0%-190.2K1.6M-12.7K0.9267.321,0519682,9493,527
2017-05-12$36.25$38.0026.4%7.6%24.9%9.0%26.6%2.4%1.9%-264.9K2.4M-13.0K0.9545.211,0751,0222,9563,669
2017-05-15$36.95$38.0026.3%7.5%26.1%8.8%26.8%2.7%2.8%-185.9K1.6M-13.3K1.1766.651,1351,3253,0203,788
2017-05-16$37.10$37.0026.4%7.6%25.5%8.9%27.1%1.9%3.8%-155.7K1.2M-14.0K1.0276.921,1831,2033,1204,101
2017-05-17$35.83$37.0028.5%8.2%27.2%13.5%28.7%2.7%1.5%-293.1K3.0M-14.0K1.0360.901,1731,2093,1124,095
2017-05-18$35.75$37.0028.4%8.1%26.8%13.3%28.6%2.6%1.9%-350.0K3.2M-13.5K1.0229.201,1831,2043,1174,089
2017-05-19$36.35$37.0027.7%7.9%26.8%11.8%28.1%2.7%2.3%-118.7K2.1M-13.0K0.9570.271,1941,1343,1284,098
2017-05-22$36.78$37.0026.8%7.7%24.8%9.9%27.8%2.7%2.6%-100.0K612.5K-12.2K1.6830.543936602,1072,129
2017-05-23$36.67$37.0026.3%7.5%23.1%8.8%27.3%2.5%2.9%-97.8K563.6K-12.2K2.0745.503306842,1322,129
2017-05-24$37.15$37.0026.5%7.6%23.3%9.3%27.6%3.0%2.8%-83.2K333.0K-12.1K1.9962.013446842,1282,157
2017-05-25$37.48$37.0026.6%7.6%23.4%9.4%27.4%2.3%3.1%-58.5K-39.1K-11.9K1.7339.663656312,1612,157
2017-05-26$37.05$37.0026.0%7.5%21.2%8.3%27.3%2.6%3.5%-76.8K171.9K-12.0K1.7035.233726312,1812,169
2017-05-30$37.35$37.0028.4%8.2%21.3%13.3%28.8%3.7%2.7%-65.1K-36.2K-11.2K1.5344.813725682,1812,169
2017-05-31$36.70$37.0028.1%8.1%21.0%12.7%30.5%3.9%2.9%-117.1K558.7K-11.1K1.6943.713205422,1812,171