SANM Options History — April 2018

In April 2018, SANM traded between $25.98 and $31.90. ATM implied volatility averaged 39.9%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 6.3% (HV 20d: 33.6%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2018-04-24: Highest Volume — 2,227 contracts
  • 2018-04-24: Largest IV drop — 33.4% change
  • 2018-04-23: Highest IV Rank — 85.3%
  • 2018-04-23: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.14$25.98$31.90$25.98$29.65
Max Pain$27.62$26.00$30.00$28.00$29.00
ATM IV39.9%30.4%50.8%38.9%30.8%
Expected Move11.9%8.7%14.6%11.2%8.8%
HV 20d33.6%23.0%60.3%24.2%60.3%
HV 60d51.2%30.1%62.7%61.8%40.5%
IV Rank50.6%20.2%85.3%47.4%21.3%
IV Percentile77.8%54.0%98.4%77.8%55.2%
Term Structure-4.8%-12.5%10.5%10.5%-0.7%
VWIV43.3%31.3%50.6%41.5%31.3%
Skew 25d4.8%-0.8%13.4%-0.8%4.5%
Skew 10d9.5%-6.9%16.4%4.0%7.3%
Call IV 25d40.0%29.3%48.5%44.7%29.9%
Put IV 25d44.8%32.5%54.6%43.8%34.4%
Bid-Ask Spread %43.079.57102.94102.2320.22
Gamma HHI0.150.110.180.160.12
Net GEX4.1K-20.8K44.6K-19.9K25.2K
Net DEX-261.8K-1.8M742.5K742.5K-735.8K
Net VEX-6.8K-8.7K-6.1K-6.3K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.231.010.830.23
Total Volume1,116.7626922,2277381,680
Total OI2,619.8571,8423,2182,2493,137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$25.98$28.0038.9%11.2%24.2%47.4%41.5%-0.8%10.5%-19.9K742.5K-6.3K0.83102.234033351,1441,105
2018-04-03$26.40$28.0036.9%10.6%24.2%40.9%37.1%4.1%8.2%-20.8K635.8K-6.3K0.7783.244523461,1481,116
2018-04-04$26.75$28.0036.8%10.6%23.1%40.7%43.5%13.4%8.9%-18.7K457.7K-6.6K0.77102.944523461,2031,138
2018-04-05$26.70$26.0034.5%12.6%23.1%33.5%45.6%4.4%-5.7%-15.6K412.6K-6.6K0.7655.564533461,2041,138
2018-04-06$26.25$26.0037.7%13.1%23.5%43.4%47.2%6.0%-7.5%-18.9K660.1K-6.2K0.5069.144622301,2131,138
2018-04-09$26.30$26.0040.1%13.4%23.0%51.3%47.0%3.6%-7.3%-20.0K571.2K-6.1K0.5962.834722791,2211,133
2018-04-10$26.73$26.0036.8%13.2%23.9%40.7%47.9%5.9%-9.3%-16.9K338.3K-6.1K0.6235.474722931,2191,158
2018-04-11$27.18$26.0046.0%13.2%25.0%70.0%47.2%4.9%-8.4%-8.2K60.8K-6.1K0.9138.264544111,2421,158
2018-04-12$27.50$26.0046.0%13.2%24.3%70.0%48.8%6.0%-9.5%-5.9K-63.9K-6.5K0.7628.375464161,2501,318
2018-04-13$28.65$26.0044.8%12.9%28.4%66.3%48.9%5.7%-9.5%17.9K-658.2K-6.5K1.0134.435265311,3761,318
2018-04-16$28.20$28.0046.9%13.4%27.9%72.8%48.6%5.1%-11.5%9.4K-444.1K-6.7K0.9832.125024941,3821,438
2018-04-17$28.43$28.0045.3%13.0%27.6%67.7%48.1%5.0%-9.4%16.1K-589.1K-6.7K0.9445.005294961,3831,458
2018-04-18$28.95$28.0044.9%12.9%27.8%66.5%48.5%6.3%-11.7%27.1K-857.4K-6.5K0.9435.975395061,3711,457
2018-04-19$28.38$28.0046.7%13.4%28.9%72.4%49.6%4.4%-12.5%6.4K-491.3K-6.8K0.8828.255805101,3901,484
2018-04-20$27.73$28.0047.4%13.6%27.8%74.5%48.7%5.5%-12.3%-2.2K-104.2K-6.7K0.5830.815693281,4171,494
2018-04-23$27.50$28.0050.8%14.6%26.1%85.3%50.6%6.1%-11.2%-8.7K-53.0K-6.7K0.6530.88486316889953
2018-04-24$31.90$28.0033.9%9.7%58.0%31.2%34.5%1.7%-1.3%28.2K-1.8M-6.1K0.509.571,4807471,0231,237
2018-04-25$31.10$30.0032.4%9.3%58.9%26.5%32.1%2.1%-1.0%44.6K-1.5M-8.7K0.3120.561,5244761,7081,454
2018-04-26$30.73$30.0030.4%8.7%59.0%20.2%31.7%3.8%-0.3%37.2K-1.2M-8.7K0.2919.701,3693991,7781,440
2018-04-27$29.93$29.0030.4%8.7%60.3%20.4%31.8%3.2%-0.4%29.2K-889.0K-8.4K0.2618.961,3473501,7941,390
2018-04-30$29.65$29.0030.8%8.8%60.3%21.3%31.3%4.5%-0.7%25.2K-735.8K-7.7K0.2320.221,3633171,7941,343