SANM Options History — June 2017

In June 2017, SANM traded between $37.15 and $39.67. ATM implied volatility averaged 31.4%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.0% (HV 20d: 27.4%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.37.

Notable Days

  • 2017-06-12: Highest Volume — 886 contracts
  • 2017-06-12: Largest IV spike — 25.4% change
  • 2017-06-28: Highest IV Rank — 33.0%
  • 2017-06-28: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.21$37.15$39.67$37.90$38.28
Max Pain$36.41$36.00$37.00$37.00$37.00
ATM IV31.4%25.5%37.7%26.8%36.9%
Expected Move9.2%7.3%10.8%7.7%10.6%
HV 20d27.4%23.3%33.8%23.9%33.0%
HV 60d24.8%23.1%27.9%23.1%27.7%
IV Rank19.6%7.0%33.0%9.9%31.3%
IV Percentile61.5%7.1%80.2%29.4%78.2%
Term Structure3.8%-0.4%9.4%2.5%3.2%
VWIV34.5%27.1%38.2%28.4%37.1%
Skew 25d3.5%0.8%5.7%4.2%2.3%
Skew 10d8.7%-4.9%20.6%14.4%3.2%
Call IV 25d31.6%25.6%36.2%26.6%36.2%
Put IV 25d35.0%28.4%38.6%30.8%38.6%
Bid-Ask Spread %71.3143.35101.2145.4755.32
Gamma HHI0.210.170.260.190.24
Net GEX13.4K-28.9K106.8K-28.9K-5.6K
Net DEX-872.8K-1.8M-258.0K-459.5K-757.9K
Net VEX-7.6K-10.4K-6.1K-10.4K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.921.691.641.59
Total Volume812720886849869
Total OI3,307.5911,6964,6914,3541,970

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$37.90$37.0026.8%7.7%23.9%9.9%28.4%4.2%2.5%-28.9K-459.5K-10.4K1.6445.473225272,1812,173
2017-06-02$38.30$37.0025.5%7.3%23.3%7.0%27.1%2.8%4.1%15.9K-986.5K-9.8K1.6550.183205272,2032,173
2017-06-05$37.60$36.0028.9%8.9%24.4%14.4%33.1%2.6%1.5%-28.7K-513.8K-9.3K1.6974.533125272,2142,173
2017-06-06$37.80$36.0027.8%8.9%24.3%11.9%33.5%5.5%2.0%-17.9K-580.3K-8.9K1.3193.593124082,2162,173
2017-06-07$38.05$36.0028.3%9.0%24.4%13.0%34.2%4.0%2.8%5.0K-855.2K-8.6K1.2094.173404082,2162,178
2017-06-08$39.23$36.0027.3%8.7%26.5%10.9%35.7%4.5%2.5%106.8K-1.8M-8.3K1.1894.123454082,2602,178
2017-06-09$38.36$36.0027.6%9.2%28.0%11.5%34.2%2.7%0.0%53.3K-1.2M-8.3K1.3277.133164162,2812,178
2017-06-12$37.92$36.0034.5%9.8%27.7%26.3%37.4%3.9%-0.4%34.4K-926.6K-7.9K0.9278.694614252,3002,187
2017-06-13$37.92$36.0031.7%9.4%27.0%20.3%35.8%5.0%0.5%73.7K-950.8K-7.7K0.9290.184614232,4782,201
2017-06-14$37.83$36.0031.9%9.1%27.0%20.6%35.7%3.6%4.5%75.4K-835.8K-7.5K0.92101.214614232,4782,203
2017-06-15$38.30$36.0032.4%9.3%23.7%21.7%37.0%5.7%1.8%35.0K-1.2M-6.9K0.9793.834474332,4782,203
2017-06-16$37.55$36.0032.4%9.3%25.1%21.8%34.7%4.3%2.1%-12.4K-615.8K-6.9K0.9886.984444332,4782,213
2017-06-19$37.98$36.0030.3%8.7%24.7%17.4%34.3%3.9%8.4%-5.6K-578.0K-6.6K1.5268.03293445787909
2017-06-20$37.15$36.0031.8%9.1%25.9%20.4%31.8%2.4%8.0%-15.7K-258.0K-6.9K1.6172.57293473856961
2017-06-21$38.08$36.0030.0%8.6%27.2%16.8%33.7%3.8%9.4%-2.6K-694.4K-6.9K1.6350.78290473855976
2017-06-22$38.13$37.0031.1%8.9%26.9%18.9%32.4%2.4%7.2%-5.2K-737.4K-6.6K1.5149.11300454863996
2017-06-23$39.65$37.0031.4%9.0%30.0%19.5%34.5%3.6%6.3%13.2K-1.3M-6.5K1.4443.35315454876997
2017-06-26$39.67$37.0033.5%9.6%29.5%24.1%37.6%2.3%5.4%18.9K-1.5M-6.1K1.5597.81318494884997
2017-06-27$38.03$37.0035.9%10.3%33.6%29.1%37.0%3.5%4.9%-5.9K-629.1K-6.6K1.5149.453284948881,037
2017-06-28$38.95$37.0037.7%10.8%33.8%33.0%35.8%0.8%2.6%1.0K-1.1M-6.3K1.5446.033285069041,037
2017-06-29$38.05$37.0036.9%10.6%33.2%31.3%38.2%2.8%3.6%-8.3K-632.6K-6.7K1.5256.183325069061,052
2017-06-30$38.28$37.0036.9%10.6%33.0%31.3%37.1%2.3%3.2%-5.6K-757.9K-6.6K1.5955.323365339181,052