SANM Options History — June 2018

In June 2018, SANM traded between $29.33 and $30.53. ATM implied volatility averaged 26.5%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.0% (HV 20d: 18.5%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2018-06-15: Highest Volume — 466 contracts
  • 2018-06-11: Largest IV spike — 18.3% change
  • 2018-06-12: Highest IV Rank — 19.6%
  • 2018-06-11: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.08$29.33$30.53$29.33$29.38
Max Pain$27.48$27.00$30.00$30.00$28.00
ATM IV26.5%23.6%29.8%24.8%27.8%
Expected Move7.7%7.1%9.0%7.1%8.0%
HV 20d18.5%16.6%21.7%18.6%18.9%
HV 60d38.1%37.0%38.9%38.8%37.9%
IV Rank8.9%0.0%19.6%2.9%13.2%
IV Percentile20.3%0.0%48.4%2.8%34.5%
Term Structure7.5%0.4%13.0%1.4%11.4%
VWIV26.2%24.0%29.5%25.5%26.8%
Skew 25d2.8%1.2%5.1%2.2%3.7%
Skew 10d9.9%1.6%23.3%13.3%2.2%
Call IV 25d25.2%23.0%28.3%24.2%26.2%
Put IV 25d28.0%25.6%30.8%26.3%30.0%
Bid-Ask Spread %45.7013.99104.5368.4220.44
Gamma HHI0.170.130.240.170.14
Net GEX46.0K20.7K73.0K42.1K20.7K
Net DEX-871.4K-1.1M-506.1K-660.0K-506.1K
Net VEX-4.9K-5.7K-4.4K-5.4K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.490.850.730.64
Total Volume411.095305466446311
Total OI1,886.4761,6832,0001,9621,863

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$29.33$30.0024.8%7.1%18.6%2.9%25.5%2.2%1.4%42.1K-660.0K-5.4K0.7368.422581881,283679
2018-06-04$29.38$27.0026.6%7.5%18.6%8.5%25.0%1.5%5.0%43.5K-676.9K-5.1K0.7529.452481861,283679
2018-06-05$29.75$27.0023.6%7.4%19.1%0.0%24.7%2.5%5.2%56.5K-908.9K-5.7K0.7346.312481811,285684
2018-06-06$30.20$27.0025.5%7.3%19.0%6.0%24.0%4.1%5.2%62.4K-1.0M-5.3K0.7831.872551991,290688
2018-06-07$30.38$27.0024.6%7.8%18.3%3.0%25.8%2.1%5.3%63.1K-1.1M-5.3K0.7837.102551991,301699
2018-06-08$30.28$27.0023.6%8.7%18.3%0.0%28.8%2.6%2.1%66.3K-1.1M-5.5K0.8095.722552031,301699
2018-06-11$30.33$27.0027.9%9.0%18.3%13.6%27.8%2.1%0.4%70.3K-1.1M-5.1K0.8040.512552031,301694
2018-06-12$30.40$27.0029.8%7.3%18.3%19.6%24.7%2.8%6.1%73.0K-1.1M-4.9K0.7967.032572031,301694
2018-06-13$30.38$27.0029.5%8.5%17.9%18.5%29.3%1.8%1.9%66.9K-1.1M-4.9K0.79104.532572031,299694
2018-06-14$30.40$27.0028.3%8.1%17.6%14.9%26.8%5.1%3.8%72.2K-1.1M-4.8K0.7977.922572031,299694
2018-06-15$30.30$27.0025.2%7.2%17.1%5.0%24.8%2.1%5.7%35.6K-1.1M-4.5K0.7683.372652011,299694
2018-06-18$30.53$27.0025.0%7.2%17.0%4.3%25.1%3.5%12.3%39.9K-948.4K-4.5K0.4929.972051001,069614
2018-06-19$30.40$27.0026.3%7.5%17.0%8.6%24.9%1.4%11.0%37.7K-889.5K-4.4K0.5525.442171191,072614
2018-06-20$30.23$27.0025.2%7.2%17.2%5.0%25.1%3.0%11.4%35.1K-826.8K-4.6K0.5917.142171281,098640
2018-06-21$30.08$28.0024.6%7.1%16.7%3.2%25.0%1.5%13.0%34.7K-799.2K-4.5K0.5988.162171281,092630
2018-06-22$30.50$28.0025.9%7.4%16.6%7.1%25.1%3.1%11.4%37.8K-880.9K-4.5K0.6920.312421661,091630
2018-06-25$29.50$28.0028.5%8.2%20.6%15.3%27.9%4.6%11.6%23.4K-541.9K-4.7K0.8029.612331861,109681
2018-06-26$30.10$28.0027.4%7.9%21.7%12.0%26.7%4.2%11.0%29.4K-721.1K-5.0K0.8515.152111801,131724
2018-06-27$30.15$28.0028.0%8.0%21.7%13.8%26.9%4.5%11.3%31.0K-744.6K-4.9K0.8317.322171801,130725
2018-06-28$29.60$28.0027.8%8.0%19.3%13.3%29.5%1.2%10.8%25.4K-575.5K-4.9K0.8313.992171801,138725
2018-06-29$29.38$28.0027.8%8.0%18.9%13.2%26.8%3.7%11.4%20.7K-506.1K-4.7K0.6420.441901211,138725