SANM Options History — December 2017

In December 2017, SANM traded between $30.50 and $33.17. ATM implied volatility averaged 29.2%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.1% (HV 20d: 30.2%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-12-26: Highest Volume — 1,005 contracts
  • 2017-12-13: Largest IV drop — 44.3% change
  • 2017-12-12: Highest IV Rank — 66.9%
  • 2017-12-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.00$30.50$33.17$33.00$33.00
Max Pain$34.05$34.00$35.00$35.00$34.00
ATM IV29.2%24.5%48.9%30.4%24.8%
Expected Move7.7%7.0%8.7%8.7%7.1%
HV 20d30.2%25.0%36.7%25.6%35.1%
HV 60d42.6%41.4%44.3%41.4%43.0%
IV Rank11.6%0.0%66.9%14.8%0.8%
IV Percentile32.4%0.0%94.0%65.9%0.4%
Term Structure8.9%-2.0%13.8%-2.0%13.6%
VWIV27.2%25.0%31.3%31.3%26.9%
Skew 25d2.5%1.3%4.5%4.5%1.3%
Skew 10d10.3%-5.3%41.6%-5.3%1.8%
Call IV 25d26.7%24.7%29.3%29.0%25.5%
Put IV 25d29.2%26.8%33.5%33.5%26.8%
Bid-Ask Spread %64.1423.13100.0889.0278.54
Gamma HHI0.280.120.490.360.13
Net GEX-35.5K-124.1K35.8K-71.1K33.6K
Net DEX1.1M-213.9K2.7M762.8K-141.6K
Net VEX-5.7K-7.4K-3.9K-7.4K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.510.950.770.54
Total Volume767.555581,005577934
Total OI2,556.952,1862,8622,5882,528

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$33.00$35.0030.4%8.7%25.6%14.8%31.3%4.5%-2.0%-71.1K762.8K-7.4K0.7789.023262511,4541,134
2017-12-04$32.40$34.0034.4%8.3%25.4%26.1%29.6%2.6%8.5%-83.0K1.2M-6.8K0.7881.973292581,4921,149
2017-12-05$31.10$34.0031.8%8.2%26.7%18.7%28.5%1.7%6.6%-97.9K2.1M-5.4K0.8066.703272601,4911,156
2017-12-06$31.28$34.0031.9%8.4%26.7%19.2%28.0%3.9%6.6%-119.3K2.0M-5.4K0.9351.182992781,4901,149
2017-12-07$31.18$34.0031.7%8.4%25.9%18.6%27.9%3.1%5.9%-118.7K2.0M-5.1K0.9086.252992681,4951,097
2017-12-08$30.95$34.0028.2%8.2%25.6%8.9%31.1%2.1%5.9%-124.1K2.2M-4.8K0.9086.142982681,4951,134
2017-12-11$30.93$34.0035.6%7.9%25.5%29.6%27.1%1.6%6.6%-120.1K2.3M-4.5K0.6682.224152741,4981,128
2017-12-12$31.05$34.0048.9%7.8%25.7%66.9%26.6%2.2%6.1%-104.3K2.0M-4.8K0.6685.634152721,6121,129
2017-12-13$30.98$34.0027.2%7.8%25.6%6.1%27.1%2.0%6.5%-114.4K2.2M-4.5K0.74100.084043001,6121,121
2017-12-14$30.58$34.0026.6%7.6%25.7%4.2%25.4%2.3%7.2%-25.5K2.5M-4.3K0.8285.663072511,6761,141
2017-12-15$30.50$34.0026.6%7.6%25.0%4.1%25.0%2.5%8.2%8.8K2.7M-3.9K0.9591.723613431,6881,174
2017-12-18$32.75$34.0025.3%7.3%36.7%0.7%26.4%2.6%13.0%34.5K104.8K-5.9K0.5685.275403031,565658
2017-12-19$32.40$34.0026.3%7.5%35.5%3.3%26.5%3.1%11.1%17.6K345.8K-5.6K0.6025.885953551,502684
2017-12-20$33.00$34.0025.1%7.2%36.0%0.2%25.9%1.9%12.4%26.7K6.0K-6.3K0.5549.136213411,552734
2017-12-21$33.17$34.0026.4%7.6%36.1%3.7%26.6%2.1%10.5%28.4K-198.8K-7.1K0.5341.656493411,653801
2017-12-22$33.00$34.0025.7%7.4%36.1%1.7%25.6%2.0%11.6%27.6K-108.6K-6.9K0.5323.136423391,658801
2017-12-26$32.85$34.0026.3%7.5%35.5%3.3%27.1%2.4%12.4%27.0K-26.6K-6.6K0.5424.136513541,666795
2017-12-27$32.75$34.0025.3%7.2%35.1%0.5%26.5%2.9%13.2%27.7K10.5K-6.5K0.5123.986293201,699810
2017-12-28$33.17$34.0024.5%7.0%35.5%0.0%25.7%3.0%13.8%35.8K-213.9K-6.6K0.5424.476053291,711807
2017-12-29$33.00$34.0024.8%7.1%35.1%0.8%26.9%1.3%13.6%33.6K-141.6K-6.4K0.5478.546053291,716812