SANM Options History — October 2017

In October 2017, SANM traded between $32.75 and $38.95. ATM implied volatility averaged 39.3%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 16.0% (HV 20d: 23.3%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2017-10-30: Highest Volume — 5,743 contracts
  • 2017-10-31: Largest IV drop — 54.4% change
  • 2017-10-30: Highest IV Rank — 69.9%
  • 2017-10-30: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.37$32.75$38.95$38.48$32.75
Max Pain$39.32$37.00$41.00$37.00$38.00
ATM IV39.3%25.1%55.1%28.5%25.1%
Expected Move12.0%7.2%15.8%8.2%7.2%
HV 20d23.3%9.6%61.9%25.6%61.9%
HV 60d29.6%19.8%40.7%36.3%40.7%
IV Rank36.4%6.2%69.9%13.5%6.2%
IV Percentile65.3%0.4%98.0%46.8%0.4%
Term Structure-6.4%-17.7%18.5%11.0%18.5%
VWIV42.3%27.0%55.6%28.5%31.0%
Skew 25d4.5%1.6%20.4%2.7%20.4%
Skew 10d8.4%-22.7%30.5%11.2%-22.7%
Call IV 25d40.8%22.7%52.8%27.2%22.7%
Put IV 25d45.3%29.0%58.5%29.9%43.1%
Bid-Ask Spread %22.7917.4630.3924.0323.85
Gamma HHI0.230.140.610.240.61
Net GEX71.7K-299.3K159.4K75.7K-299.3K
Net DEX-1.1M-1.8M3.7M-1.3M3.7M
Net VEX-7.2K-9.3K-6.3K-6.8K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.141.421.240.14
Total Volume772.3182985,7434792,552
Total OI1,885.1361,1746,8001,4586,800

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$38.48$37.0028.5%8.2%25.6%13.5%28.5%2.7%11.0%75.7K-1.3M-6.8K1.2424.032142651,068390
2017-10-03$38.73$37.0027.8%8.0%24.9%12.1%27.4%2.3%11.3%78.2K-1.5M-7.1K1.0421.472442531,094500
2017-10-04$38.92$37.0027.6%7.9%24.4%11.6%27.0%1.6%13.1%82.0K-1.6M-7.3K1.3025.731872441,125518
2017-10-05$38.78$40.0027.3%11.6%24.3%10.9%41.3%4.0%-8.4%82.7K-1.5M-7.7K1.3221.611842431,169586
2017-10-06$38.58$40.0025.2%11.4%24.0%6.4%42.0%3.9%-7.4%88.9K-1.4M-7.6K1.4217.461722451,171588
2017-10-09$38.55$41.0028.1%12.0%23.9%12.7%42.5%4.3%-8.6%85.6K-1.4M-7.4K1.3819.481672311,170600
2017-10-10$38.35$41.0028.0%12.1%23.8%12.3%42.0%3.7%-9.7%94.0K-1.3M-7.3K1.3830.391672311,197606
2017-10-11$38.48$41.0043.0%12.3%23.8%44.2%42.1%3.8%-9.9%98.8K-1.4M-7.3K1.3523.861712311,198606
2017-10-12$38.42$41.0042.6%12.2%23.8%43.5%42.8%4.2%-9.0%111.3K-1.4M-7.0K1.1418.162062351,199606
2017-10-13$38.45$40.0043.2%12.4%23.8%44.6%42.3%3.9%-10.0%124.9K-1.5M-7.2K1.1121.442082311,252627
2017-10-16$38.45$40.0044.0%12.6%23.5%46.5%44.3%3.8%-11.5%134.5K-1.5M-6.9K1.0321.622212281,257629
2017-10-17$38.10$40.0044.6%12.8%23.3%47.7%44.6%3.5%-11.6%159.4K-1.2M-6.7K1.0521.732212331,258631
2017-10-18$38.80$40.0044.1%12.6%23.3%46.5%44.8%3.6%-11.3%158.1K-1.7M-6.7K0.8622.932702331,261648
2017-10-19$38.80$39.0044.3%12.7%22.6%46.9%44.6%4.8%-12.1%129.5K-1.7M-6.5K0.9820.342562501,263648
2017-10-20$38.48$39.0045.9%13.2%22.7%50.4%45.5%2.9%-13.3%43.1K-1.8M-6.4K1.0023.862532531,263664
2017-10-23$38.53$39.0046.8%13.4%18.1%52.2%46.3%3.3%-9.4%43.9K-763.5K-6.3K0.9523.97153145809365
2017-10-24$38.78$39.0047.1%13.5%17.7%52.9%46.7%3.8%-10.1%50.6K-894.9K-6.7K0.4625.32316146865374
2017-10-25$38.95$39.0048.0%13.8%17.1%54.9%47.9%3.7%-10.7%58.8K-1.1M-7.8K0.4725.81316148967375
2017-10-26$38.88$39.0049.5%14.2%16.3%58.0%50.7%4.6%-12.6%58.8K-1.1M-7.7K0.7927.43202160967378
2017-10-27$38.95$39.0048.9%14.0%15.2%56.8%50.9%4.7%-12.3%59.5K-1.1M-7.8K0.7919.32203160985403
2017-10-30$38.90$39.0055.1%15.8%9.6%69.9%55.6%5.7%-17.7%58.6K-1.0M-7.7K0.5321.553,7621,981990403
2017-10-31$32.75$38.0025.1%7.2%61.9%6.2%31.0%20.4%18.5%-299.3K3.7M-9.3K0.1423.852,2473054,5352,265