SANM Options History — March 2018

In March 2018, SANM traded between $25.93 and $28.73. ATM implied volatility averaged 34.8%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 9.2% (HV 20d: 25.5%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2018-03-13: Highest Volume — 848 contracts
  • 2018-03-12: Largest IV spike — 72.6% change
  • 2018-03-12: Highest IV Rank — 91.7%
  • 2018-03-27: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.62$25.93$28.73$27.55$26.15
Max Pain$27.90$27.00$28.00$27.00$28.00
ATM IV34.8%29.6%52.8%30.8%35.3%
Expected Move9.6%8.5%10.8%8.8%10.1%
HV 20d25.5%22.7%29.6%27.0%27.4%
HV 60d62.3%61.3%63.1%62.7%61.8%
IV Rank34.1%17.6%91.7%21.4%35.9%
IV Percentile68.3%52.4%99.2%59.9%71.0%
Term Structure5.3%0.4%9.5%5.3%8.8%
VWIV35.2%31.0%39.1%38.0%36.0%
Skew 25d4.2%1.2%6.6%3.4%3.1%
Skew 10d12.6%2.9%24.5%24.5%15.3%
Call IV 25d32.3%29.0%37.2%31.2%34.3%
Put IV 25d36.5%31.3%41.6%34.6%37.4%
Bid-Ask Spread %87.5568.97114.12107.3691.54
Gamma HHI0.180.140.220.170.20
Net GEX3.5K-25.1K41.3K-14.6K-25.1K
Net DEX-174.6K-881.8K813.8K-19.1K677.0K
Net VEX-7.1K-8.5K-6.2K-8.5K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.601.261.210.84
Total Volume758.714549848799742
Total OI2,597.2381,8443,0422,9372,278

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$27.55$27.0030.8%8.8%27.0%21.4%38.0%3.4%5.3%-14.6K-19.1K-8.5K1.21107.363614381,2681,669
2018-03-02$28.45$27.0034.8%10.0%26.5%34.3%39.1%6.6%0.4%5.4K-572.4K-8.3K1.26114.123614561,2851,669
2018-03-05$27.80$28.0034.0%9.8%27.9%31.6%34.5%3.9%3.2%-1-312.7K-8.0K1.2674.983614561,2851,688
2018-03-06$28.43$28.0034.6%9.8%23.1%33.5%34.9%5.8%2.5%15.2K-682.9K-7.8K1.2695.943614551,2851,688
2018-03-07$28.23$28.0035.4%9.8%23.4%36.3%34.7%6.6%1.2%12.9K-586.7K-7.8K1.2675.263614551,2961,688
2018-03-08$28.33$28.0032.5%10.0%23.0%26.9%34.7%5.0%1.8%21.9K-734.7K-7.5K1.2468.973704571,3011,688
2018-03-09$28.63$28.0030.6%9.3%22.7%20.8%33.6%6.2%3.2%23.0K-786.4K-7.7K1.2398.823734571,3161,688
2018-03-12$28.73$28.0052.8%9.8%22.7%91.7%35.9%5.4%3.6%26.2K-870.1K-7.3K1.2295.263744571,3061,688
2018-03-13$28.58$28.0039.6%9.1%22.8%49.5%33.1%3.3%4.1%31.0K-881.8K-6.7K1.1985.313874611,3061,688
2018-03-14$27.95$28.0033.1%9.5%24.8%28.7%33.1%1.2%4.9%41.3K-487.5K-6.7K0.9876.483823731,3271,692
2018-03-15$27.80$28.0032.8%9.4%24.7%27.9%32.8%4.5%4.4%33.8K-477.9K-6.6K0.9776.483963831,3241,692
2018-03-16$28.43$28.0029.6%8.5%25.0%17.6%31.1%4.9%6.1%-85-874.4K-6.7K0.8980.904313831,3371,705
2018-03-19$28.05$28.0032.9%9.4%25.1%28.1%34.4%5.2%8.7%-3.7K-43.7K-6.4K0.7288.35337243942902
2018-03-20$27.70$28.0030.7%8.8%25.7%21.1%31.0%3.6%9.5%-3.3K1.1K-6.2K0.6774.25329220958900
2018-03-21$27.70$28.0030.8%8.8%25.7%21.5%38.6%1.5%8.6%-2.8K-26.3K-6.3K0.6088.06406244972923
2018-03-22$26.85$28.0033.8%9.7%28.1%30.9%36.3%1.5%6.1%-6.3K274.5K-6.5K0.6699.644062681,052940
2018-03-23$26.15$28.0037.2%10.7%29.6%42.0%36.5%3.8%4.8%-12.7K588.1K-6.5K1.0388.003783901,052984
2018-03-26$26.50$28.0033.9%9.7%26.8%31.4%34.6%2.9%9.3%-22.1K639.2K-6.8K1.0278.153773851,0921,135
2018-03-27$26.18$28.0037.8%10.8%27.0%43.7%38.5%4.4%6.3%-22.5K695.2K-6.9K1.0196.563813851,1101,154
2018-03-28$25.93$28.0037.0%10.6%27.1%41.1%38.0%5.3%8.1%-24.6K813.8K-6.6K0.8384.123793141,1151,154
2018-03-29$26.15$28.0035.3%10.1%27.4%35.9%36.0%3.1%8.8%-25.1K677.0K-6.7K0.8491.544033391,1171,161