SANM Options History — July 2018

In July 2018, SANM traded between $29.20 and $31.40. ATM implied volatility averaged 40.5%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 16.6% (HV 20d: 23.9%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2018-07-30: Highest Volume — 1,054 contracts
  • 2018-07-11: Largest IV spike — 61.2% change
  • 2018-07-30: Highest IV Rank — 100.0%
  • 2018-07-30: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.38$29.20$31.40$29.60$29.23
Max Pain$29.62$28.00$30.00$28.00$30.00
ATM IV40.5%26.3%60.5%26.6%27.6%
Expected Move12.4%7.6%17.3%7.6%7.9%
HV 20d23.9%18.7%26.9%19.1%25.2%
HV 60d30.4%20.1%38.0%37.7%20.8%
IV Rank52.5%8.3%100.0%9.4%10.8%
IV Percentile67.6%15.5%100.0%21.0%34.5%
Term Structure-8.8%-20.0%13.4%13.4%-2.0%
VWIV44.2%26.3%61.2%26.3%28.8%
Skew 25d4.3%1.0%6.9%3.5%1.0%
Skew 10d9.4%1.2%28.7%5.3%7.5%
Call IV 25d41.5%26.9%60.8%26.9%27.6%
Put IV 25d45.8%28.5%62.2%30.5%28.5%
Bid-Ask Spread %30.176.2649.9921.206.26
Gamma HHI0.200.140.320.140.19
Net GEX46.1K20.0K104.7K21.6K92.4K
Net DEX-881.6K-1.8M-404.0K-532.3K-404.0K
Net VEX-5.9K-7.8K-4.6K-4.6K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.142.780.760.79
Total Volume570.7623371,054337615
Total OI2,187.7621,6863,3371,9013,337

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$29.60$28.0026.6%7.6%19.1%9.4%26.3%3.5%13.4%21.6K-532.3K-4.6K0.7621.201911461,154747
2018-07-03$29.35$28.0027.2%7.8%18.7%11.2%28.2%1.5%12.2%20.0K-477.0K-4.7K0.7740.311911471,156758
2018-07-05$29.93$30.0026.3%11.7%19.3%8.3%43.3%5.3%-8.0%24.3K-600.3K-4.6K1.0533.342492611,156761
2018-07-06$30.43$30.0026.5%11.4%20.1%9.2%43.1%5.3%-7.8%23.8K-734.1K-5.3K1.0422.742582681,167878
2018-07-09$31.10$30.0026.6%11.6%21.5%9.6%41.7%5.1%-8.8%32.2K-947.2K-5.0K0.4520.342651191,157870
2018-07-10$31.35$30.0026.4%12.0%21.6%8.9%41.3%5.2%-9.0%51.4K-1.1M-5.3K0.3848.183171191,159891
2018-07-11$30.25$29.0042.6%12.2%25.4%59.7%42.2%3.4%-9.6%27.4K-783.8K-5.3K0.3749.993021131,218891
2018-07-12$30.65$29.0042.0%12.0%25.8%57.8%42.7%4.9%-10.0%31.4K-848.3K-5.3K0.3749.243021131,217889
2018-07-13$30.70$29.0042.5%12.2%25.8%59.6%42.4%6.0%-10.2%30.8K-891.8K-5.1K0.4531.182571161,217889
2018-07-16$30.65$30.0043.1%12.4%25.8%61.5%43.9%4.3%-11.4%29.8K-857.1K-5.0K0.4524.462571161,218894
2018-07-17$30.75$30.0043.1%12.4%25.7%61.3%44.3%6.1%-10.9%32.4K-901.8K-4.9K0.4325.592541101,218894
2018-07-18$31.33$30.0045.1%12.9%26.4%67.5%43.0%6.1%-12.1%43.4K-1.1M-4.8K0.1448.357621091,218891
2018-07-19$31.40$30.0045.0%12.9%26.3%67.2%44.7%6.4%-12.3%97.8K-1.8M-6.5K0.3923.712781091,705891
2018-07-20$30.90$29.0044.9%12.9%26.9%67.1%45.2%4.0%-13.1%104.7K-1.6M-6.4K0.5226.253061601,718891
2018-07-23$30.70$30.0049.6%14.2%26.6%81.7%54.1%6.9%-12.0%67.1K-1.1M-6.6K2.7827.162266281,163523
2018-07-24$30.68$30.0049.0%14.0%23.5%79.9%51.7%4.6%-12.5%44.9K-983.3K-7.8K1.9421.432524881,2411,024
2018-07-25$29.98$30.0050.4%14.4%24.1%84.2%51.7%4.3%-12.2%45.2K-684.9K-7.2K2.4745.122125231,260806
2018-07-26$30.28$30.0051.4%14.8%24.3%87.6%52.5%3.5%-13.2%47.6K-802.8K-7.3K1.1617.754415121,259829
2018-07-27$29.50$30.0055.0%15.8%25.3%98.9%54.9%1.7%-14.8%54.5K-729.8K-7.7K0.7624.434773631,519836
2018-07-30$29.20$30.0060.5%17.3%25.4%100.0%61.2%1.4%-20.0%45.6K-553.4K-7.5K0.4726.487193351,567866
2018-07-31$29.23$30.0027.6%7.9%25.2%10.8%28.8%1.0%-2.0%92.4K-404.0K-7.3K0.796.263442712,2461,091