SANM Options History — May 2018

In May 2018, SANM traded between $28.90 and $30.68. ATM implied volatility averaged 27.3%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 18.8% (HV 20d: 46.0%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2018-05-03: Highest Volume — 1,906 contracts
  • 2018-05-29: Largest IV spike — 8.8% change
  • 2018-05-01: Highest IV Rank — 23.9%
  • 2018-05-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.01$28.90$30.68$30.23$28.90
Max Pain$30.14$29.00$31.00$29.00$30.00
ATM IV27.3%23.9%31.6%31.6%26.6%
Expected Move7.8%6.9%9.0%9.0%7.6%
HV 20d46.0%14.5%60.8%60.4%18.3%
HV 60d39.4%38.4%40.6%40.6%38.7%
IV Rank10.3%0.0%23.9%23.9%8.4%
IV Percentile23.5%0.0%58.3%58.3%16.3%
Term Structure0.3%-1.2%5.1%-1.2%-0.1%
VWIV25.8%22.1%31.7%31.0%26.5%
Skew 25d3.6%0.1%6.2%4.7%0.1%
Skew 10d9.9%2.9%20.6%20.6%2.9%
Call IV 25d25.7%22.6%29.4%29.4%26.8%
Put IV 25d29.3%26.3%34.2%34.2%26.9%
Bid-Ask Spread %31.2815.9266.7016.7541.03
Gamma HHI0.270.120.710.130.16
Net GEX90.1K34.1K283.1K40.3K34.1K
Net DEX-1.3M-2.2M-548.1K-1.1M-548.1K
Net VEX-6.4K-8.0K-5.0K-8.0K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.270.860.270.72
Total Volume974.8184351,9061,508450
Total OI2,914.51,8163,7123,1561,960

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$30.23$29.0031.6%9.0%60.4%23.9%31.0%4.7%-1.2%40.3K-1.1M-8.0K0.2716.751,1843241,8141,342
2018-05-02$30.33$29.0030.2%8.7%60.4%19.6%31.4%3.2%-0.3%42.8K-1.2M-7.9K0.2730.261,1843241,8161,345
2018-05-03$29.88$31.0029.8%8.4%60.8%18.4%23.0%3.4%0.2%37.2K-947.0K-7.5K0.3419.771,4184881,8161,343
2018-05-04$29.93$31.0029.3%8.3%60.2%16.5%23.0%2.7%-0.8%74.3K-1.3M-8.0K0.4619.111,0624882,0811,513
2018-05-07$29.75$31.0029.8%8.2%60.4%18.4%24.2%3.9%-0.3%72.7K-1.1M-7.6K0.4327.458093492,0851,513
2018-05-08$30.23$31.0030.4%8.3%60.4%20.2%28.9%2.4%-0.2%93.0K-1.5M-7.5K0.4365.998093492,0941,509
2018-05-09$30.68$31.0027.9%8.0%60.3%12.2%31.7%4.6%-0.4%101.2K-1.8M-7.2K0.4366.708113462,0941,509
2018-05-10$30.55$30.0027.2%7.8%60.4%10.1%22.1%3.8%-0.1%117.1K-1.9M-6.9K0.4623.218263812,0971,507
2018-05-11$30.55$30.0026.9%7.7%58.9%9.0%23.8%4.7%0.1%130.1K-1.8M-6.7K0.5248.017253762,1041,466
2018-05-14$30.43$30.0027.4%7.9%58.6%10.6%22.8%3.3%0.3%152.6K-1.8M-6.2K0.5319.977253812,0991,465
2018-05-15$30.13$30.0027.0%7.8%58.7%9.5%24.8%4.2%-0.2%178.4K-1.7M-6.1K0.5143.187353782,0991,446
2018-05-16$30.40$30.0027.0%7.7%58.5%9.2%27.0%2.7%-0.3%229.9K-2.2M-6.3K0.5721.307304152,2331,442
2018-05-17$30.05$30.0025.4%7.3%58.2%4.1%25.7%2.7%0.6%283.1K-1.8M-6.0K0.7126.395924182,2331,472
2018-05-18$29.80$30.0025.6%7.3%57.5%5.0%26.1%4.9%1.3%50.6K-960.0K-5.7K0.7126.655874172,2341,478
2018-05-21$29.95$30.0025.9%7.4%57.4%5.8%25.8%4.0%-0.1%55.4K-1.0M-5.6K0.7135.292541811,240587
2018-05-22$30.05$30.0026.0%7.4%19.8%6.0%25.1%4.1%0.6%57.2K-1.0M-5.6K0.7122.102541811,262601
2018-05-23$29.70$30.0023.9%6.9%18.3%0.0%24.0%2.8%5.1%54.4K-887.8K-5.5K0.4757.623931831,262601
2018-05-24$29.35$30.0025.9%7.4%18.3%6.4%24.0%4.1%0.6%40.7K-719.5K-5.1K0.4719.243951851,218598
2018-05-25$29.60$30.0024.4%7.0%16.3%1.4%24.3%3.1%1.3%43.0K-761.4K-5.2K0.7022.102651851,216601
2018-05-29$29.80$30.0026.5%7.6%16.2%8.2%26.1%6.2%-0.3%45.7K-809.4K-5.0K0.8620.092402071,221601
2018-05-30$29.85$30.0025.4%7.3%14.5%4.6%26.1%4.0%0.4%48.4K-849.5K-5.3K0.7515.922531891,249653
2018-05-31$28.90$30.0026.6%7.6%18.3%8.4%26.5%0.1%-0.1%34.1K-548.1K-5.2K0.7241.032621881,278682