SANM Options History — January 2018

In January 2018, SANM traded between $26.15 and $35.42. ATM implied volatility averaged 39.5%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 14.5% (HV 20d: 54.0%). Max pain ranged from $25.00 to $34.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2018-01-23: Highest Volume — 2,381 contracts
  • 2018-01-10: Largest IV spike — 67.3% change
  • 2018-01-29: Highest IV Rank — 85.4%
  • 2018-01-29: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.40$26.15$35.42$33.30$26.15
Max Pain$30.24$25.00$34.00$34.00$27.00
ATM IV39.5%24.1%55.4%26.6%31.2%
Expected Move12.2%7.3%15.9%7.6%9.0%
HV 20d54.0%13.6%100.7%32.9%100.4%
HV 60d52.3%43.0%70.3%43.0%62.3%
IV Rank42.1%0.0%85.4%5.7%22.8%
IV Percentile64.4%0.0%99.2%17.5%65.5%
Term Structure-6.8%-15.0%13.9%13.9%-2.1%
VWIV43.4%25.1%55.6%25.1%31.5%
Skew 25d3.1%1.1%5.0%3.0%1.1%
Skew 10d11.2%-5.1%45.3%1.5%1.0%
Call IV 25d41.5%24.7%52.1%25.5%31.3%
Put IV 25d44.6%27.2%53.9%28.5%32.4%
Bid-Ask Spread %51.8420.6498.8520.6450.08
Gamma HHI0.190.090.470.130.32
Net GEX30.7K-74.3K117.4K39.0K-74.3K
Net DEX-533.8K-2.3M1.1M-317.0K1.1M
Net VEX-6.4K-9.4K-2.1K-6.0K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.561.790.561.79
Total Volume1,231.6198362,3819401,311
Total OI2,845.197964,2092,5264,148

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$33.30$34.0026.6%7.6%32.9%5.7%25.1%3.0%13.9%39.0K-317.0K-6.0K0.5620.646043361,716810
2018-01-03$33.35$34.0025.5%7.3%32.2%2.7%25.8%2.5%13.8%48.1K-356.6K-6.1K0.6398.856013761,749802
2018-01-04$33.60$32.0024.1%11.4%28.0%0.0%40.6%4.1%-5.6%54.7K-570.9K-6.4K0.6443.925843761,763847
2018-01-05$33.78$32.0024.3%11.3%28.0%0.7%41.0%3.9%-5.6%61.7K-727.6K-6.4K0.6643.805673761,778840
2018-01-08$34.10$32.0024.1%11.6%28.0%0.2%42.0%2.3%-5.9%67.6K-994.1K-6.0K0.6646.495673761,779840
2018-01-09$33.55$32.0025.9%11.8%28.6%4.9%42.6%2.9%-6.9%61.3K-618.7K-6.0K0.6752.685653761,779851
2018-01-10$33.63$32.0043.3%12.4%28.6%52.4%44.0%4.3%-7.8%62.7K-571.3K-5.7K0.5849.706633861,777851
2018-01-11$33.98$32.0043.2%12.4%28.7%52.1%45.4%3.3%-9.8%69.4K-890.4K-5.7K0.5849.476633861,778851
2018-01-12$34.33$32.0044.0%12.6%28.6%54.3%45.5%5.0%-10.2%74.6K-1.2M-5.3K0.6351.406123861,778851
2018-01-16$34.20$32.0046.2%13.2%28.0%60.3%48.0%2.7%-10.6%80.2K-1.2M-5.2K0.7650.325053841,806851
2018-01-17$34.58$32.0045.4%13.0%27.9%58.2%47.4%2.4%-11.8%84.5K-1.5M-4.8K0.6847.875023401,797859
2018-01-18$34.92$32.0046.1%13.2%14.1%60.1%50.2%3.8%-11.2%117.4K-2.0M-4.7K0.6958.594963401,821865
2018-01-19$35.42$32.0046.0%13.2%13.6%59.7%49.6%2.4%-10.7%23.7K-2.3M-4.4K0.6463.875283391,802865
2018-01-22$27.10$32.0052.6%15.1%97.2%77.7%52.2%3.5%-10.8%-6.8K596.2K-2.1K0.7827.231,094854416380
2018-01-23$27.10$25.0046.4%13.3%97.1%61.0%49.3%3.1%-9.0%15.2K-180.9K-6.5K1.4086.919911,3901,347933
2018-01-24$26.60$26.0047.7%13.7%97.1%64.4%48.0%2.7%-10.6%-31.4K435.2K-8.5K1.5174.646509831,3901,851
2018-01-25$26.98$26.0047.3%13.6%97.5%63.3%45.0%4.7%-10.2%-30.8K366.3K-9.1K1.5328.295548481,4692,045
2018-01-26$27.93$26.0049.5%14.2%98.8%69.3%48.5%3.4%-13.0%-18.7K-281.3K-9.4K1.4936.765918791,5332,141
2018-01-29$28.25$26.0055.4%15.9%98.7%85.4%55.6%1.7%-15.0%-5.9K-655.9K-9.3K1.0375.058919201,6442,137
2018-01-30$26.50$27.0035.0%10.0%100.7%29.8%34.8%2.5%-3.8%-47.7K686.9K-8.7K1.1332.117878871,8912,318
2018-01-31$26.15$27.0031.2%9.0%100.4%22.8%31.5%1.1%-2.1%-74.3K1.1M-8.3K1.7950.084708411,8642,284