SANM Options History — August 2017

In August 2017, SANM traded between $35.28 and $37.40. ATM implied volatility averaged 28.0%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 14.8% (HV 20d: 42.8%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-08-08: Highest Volume — 1,061 contracts
  • 2017-08-17: Largest IV spike — 9.5% change
  • 2017-08-17: Highest IV Rank — 15.4%
  • 2017-08-17: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.17$35.28$37.40$36.70$37.40
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV28.0%26.5%29.4%28.1%27.2%
Expected Move8.0%7.6%8.4%8.1%7.8%
HV 20d42.8%21.6%55.1%55.1%21.6%
HV 60d39.0%38.6%39.5%39.1%38.6%
IV Rank12.4%9.3%15.4%12.6%10.7%
IV Percentile41.4%17.9%57.9%45.6%26.6%
Term Structure0.6%-0.6%1.9%-0.6%0.6%
VWIV27.7%25.3%30.1%29.3%25.6%
Skew 25d2.1%1.4%2.8%2.3%1.8%
Skew 10d5.2%-6.9%11.9%3.8%4.1%
Call IV 25d27.9%25.9%30.2%28.2%25.9%
Put IV 25d30.0%27.7%31.6%30.5%27.7%
Bid-Ask Spread %41.6725.7967.2831.9958.75
Gamma HHI0.170.140.230.150.17
Net GEX24.7K-36.9K46.8K31.8K44.7K
Net DEX50.9K-765.8K906.4K-16.5K-765.8K
Net VEX-8.8K-9.8K-7.7K-8.1K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.350.950.920.39
Total Volume880.9576461,0611,036676
Total OI2,189.5221,6172,6132,1231,754

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$36.70$38.0028.1%8.1%55.1%12.6%29.3%2.3%-0.6%31.8K-16.5K-8.1K0.9231.995404961,423700
2017-08-02$36.42$38.0029.0%8.3%54.9%14.5%29.2%2.8%0.7%40.8K-139.9K-9.8K0.9534.585325061,672703
2017-08-03$35.98$38.0027.9%8.1%54.5%12.1%27.3%1.5%0.3%31.5K137.2K-9.3K0.7851.455324141,690714
2017-08-04$35.75$38.0027.4%7.9%54.1%11.2%27.6%1.9%1.5%25.2K270.5K-9.2K0.6928.236024151,691735
2017-08-07$35.92$38.0028.5%8.2%53.6%13.5%28.1%1.7%0.4%34.2K95.0K-9.3K0.7228.835784141,719735
2017-08-08$35.63$38.0028.9%8.1%53.5%14.3%27.7%2.1%0.8%24.3K388.4K-8.9K0.8538.475724891,722736
2017-08-09$36.25$38.0029.0%8.3%53.3%14.6%28.6%2.0%0.6%26.8K83.4K-9.8K0.8125.795354341,725814
2017-08-10$35.70$38.0029.4%8.4%53.4%15.4%29.5%1.4%0.6%16.0K388.9K-9.3K0.8946.155334721,719822
2017-08-11$36.00$38.0029.3%8.4%52.9%15.1%30.1%1.9%0.0%11.5K389.4K-9.3K0.8967.285334721,718859
2017-08-14$36.92$38.0027.4%7.9%53.0%11.2%27.6%1.4%0.6%40.7K-244.0K-9.6K0.9140.655334831,718859
2017-08-15$36.60$38.0028.1%8.1%53.0%12.6%28.2%2.5%-0.3%24.7K-17.2K-9.2K0.8434.505434551,736877
2017-08-16$36.80$38.0026.9%7.7%52.6%10.0%27.4%2.4%1.9%46.8K-202.2K-9.3K0.8566.375364581,745847
2017-08-17$35.48$38.0029.4%8.4%53.5%15.4%29.2%1.6%0.2%-36.9K803.8K-8.2K0.9540.995365111,741852
2017-08-18$35.28$38.0028.5%8.2%53.5%13.4%29.4%2.2%0.8%29.3K906.4K-7.8K0.8742.535294601,741827
2017-08-21$35.35$38.0028.9%8.3%51.3%14.2%25.9%2.0%0.6%24.4K-2.9K-7.7K0.5130.404682391,153464
2017-08-22$35.85$38.0027.8%8.0%26.5%12.0%27.3%2.2%0.1%17.3K45.9K-8.5K0.4935.494832391,166554
2017-08-23$35.98$38.0027.7%7.9%22.8%11.8%26.6%2.3%0.4%20.1K-10.3K-8.3K0.5033.544822391,182554
2017-08-24$35.90$38.0026.9%7.7%22.7%10.1%25.3%2.5%1.1%18.4K28.4K-8.2K0.5033.564802391,183554
2017-08-25$36.25$38.0026.5%7.6%22.3%9.3%26.1%2.3%0.9%22.0K-116.0K-8.5K0.3840.744711791,188554
2017-08-28$36.10$38.0028.1%8.0%22.4%12.5%27.7%2.1%-0.0%19.8K-48.8K-8.1K0.3942.264711861,189551
2017-08-29$36.65$38.0026.9%7.7%21.9%10.0%27.1%2.8%1.2%24.4K-309.0K-8.6K0.3762.614701761,189551
2017-08-30$36.98$38.0026.7%7.6%21.9%9.6%26.4%2.3%0.9%31.2K-493.4K-8.6K0.3543.254821691,192541
2017-08-31$37.40$38.0027.2%7.8%21.6%10.7%25.6%1.8%0.6%44.7K-765.8K-8.8K0.3958.754881881,213541