SANM Options History — November 2017

In November 2017, SANM traded between $33.00 and $35.15. ATM implied volatility averaged 27.9%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 32.6% (HV 20d: 60.5%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-11-14: Highest Volume — 3,510 contracts
  • 2017-11-02: Largest IV drop — 42.4% change
  • 2017-11-01: Highest IV Rank — 56.8%
  • 2017-11-01: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.11$33.00$35.15$33.20$34.20
Max Pain$33.90$33.00$36.00$36.00$35.00
ATM IV27.9%25.6%46.9%46.9%27.3%
Expected Move7.9%7.3%13.4%13.4%7.8%
HV 20d60.5%21.9%66.0%62.2%22.6%
HV 60d40.7%40.4%41.2%40.8%40.8%
IV Rank9.6%1.4%56.8%56.8%6.3%
IV Percentile22.8%1.6%92.1%92.1%26.6%
Term Structure-0.3%-2.4%1.5%1.5%-0.8%
VWIV28.6%26.2%35.9%35.9%29.8%
Skew 25d3.6%1.8%22.1%22.1%2.6%
Skew 10d8.5%0.2%17.5%6.9%1.3%
Call IV 25d26.1%24.7%28.0%26.9%28.0%
Put IV 25d29.7%27.4%49.0%49.0%30.6%
Bid-Ask Spread %57.9524.25102.89102.8987.03
Gamma HHI0.540.160.870.760.21
Net GEX-320.9K-791.5K-33.6K-323.5K-57.4K
Net DEX2.5M81.6K5.9M4.5M418.2K
Net VEX-7.5K-10.1K-5.6K-8.7K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.152.100.171.19
Total Volume2,072.9521,0013,5102,5811,214
Total OI5,279.191,9957,4747,0182,380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$33.20$36.0046.9%13.4%62.2%56.8%35.9%22.1%1.5%-323.5K4.5M-8.7K0.17102.892,2093724,6942,324
2017-11-02$33.67$33.0027.0%7.3%62.7%12.6%26.9%3.8%0.3%-380.2K3.7M-10.1K0.1570.602,1843384,7262,391
2017-11-03$33.00$33.0026.5%7.5%62.8%11.2%26.6%2.4%0.1%-367.1K4.4M-9.0K0.1671.752,1743404,7282,386
2017-11-06$33.95$33.0027.6%7.6%64.1%14.0%27.2%3.4%-0.5%-446.0K3.2M-9.5K0.1631.922,1003404,7282,398
2017-11-07$33.45$33.0029.0%7.8%64.2%17.8%27.2%1.9%-0.2%-441.8K4.1M-8.8K0.1529.002,1973384,7302,398
2017-11-08$33.92$33.0026.3%7.5%64.5%10.8%27.2%1.8%-0.2%-526.5K3.3M-8.8K0.1566.092,1833184,7612,361
2017-11-09$34.13$33.0027.4%7.9%64.7%13.6%27.5%3.0%-1.4%-503.2K2.9M-8.6K0.1576.182,1783184,7612,355
2017-11-10$34.17$33.0026.4%7.6%64.7%3.6%26.3%2.8%0.2%-560.7K2.8M-8.3K0.1536.372,1833184,7622,355
2017-11-13$34.03$33.0027.3%7.8%64.6%6.3%27.1%3.4%-1.2%-683.7K3.1M-7.3K0.1524.252,1833184,7622,355
2017-11-14$33.65$33.0027.1%7.8%64.6%5.7%29.3%2.5%0.4%-771.2K4.0M-6.6K0.6429.412,1371,3734,7622,332
2017-11-15$33.25$33.0028.0%8.0%64.0%8.1%28.3%3.1%-1.1%-550.5K5.9M-6.6K0.3726.242,0857754,7622,712
2017-11-16$33.65$33.0026.0%7.4%64.3%2.5%27.9%2.3%0.3%-791.5K3.8M-6.4K0.3728.992,0807694,7722,202
2017-11-17$33.90$33.0025.9%7.4%64.5%2.4%27.3%3.2%0.7%-53.4K4.5M-5.7K0.4224.392,0458624,7772,209
2017-11-20$34.73$35.0025.6%7.3%65.4%1.4%26.2%3.0%-0.5%-44.1K295.2K-5.6K2.0835.483968241,040955
2017-11-21$35.08$35.0026.1%7.5%65.5%2.9%27.1%2.0%-0.1%-33.6K81.6K-7.0K2.0631.244048331,1631,108
2017-11-22$35.08$35.0025.6%7.3%65.4%1.4%29.4%2.1%0.2%-33.9K108.6K-7.1K1.7387.703936781,1901,120
2017-11-24$35.15$35.0025.9%7.4%65.5%2.4%32.0%3.8%0.2%-42.7K240.8K-7.1K2.1087.803236781,1921,131
2017-11-27$34.45$35.0028.3%8.1%65.6%9.0%30.6%2.0%-2.4%-49.9K326.3K-6.8K1.8495.733686781,2221,131
2017-11-28$34.88$35.0026.5%7.6%66.0%4.0%29.4%3.0%-1.3%-38.6K202.6K-6.4K1.9889.323436781,2221,134
2017-11-29$34.78$35.0028.1%8.1%21.9%8.6%30.9%2.1%-0.7%-38.9K177.2K-6.8K1.9284.663446611,2391,133
2017-11-30$34.20$35.0027.3%7.8%22.6%6.3%29.8%2.6%-0.8%-57.4K418.2K-6.5K1.1987.035546601,2461,134