SANM Options History — August 2018

In August 2018, SANM traded between $29.40 and $31.40. ATM implied volatility averaged 24.7%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 6.3% (HV 20d: 18.4%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2018-08-10: Highest Volume — 597 contracts
  • 2018-08-13: Largest IV spike — 17.4% change
  • 2018-08-13: Highest IV Rank — 11.1%
  • 2018-08-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.39$29.40$31.40$29.45$30.78
Max Pain$26.52$26.00$30.00$30.00$26.00
ATM IV24.7%23.1%27.6%27.4%23.1%
Expected Move7.0%6.6%7.9%7.9%6.6%
HV 20d18.4%12.7%25.2%25.2%14.3%
HV 60d20.5%19.4%21.1%20.9%19.5%
IV Rank3.3%0.0%11.1%10.3%0.0%
IV Percentile8.1%0.0%37.7%31.7%0.0%
Term Structure0.1%-1.9%1.2%-1.9%0.8%
VWIV22.8%20.3%26.1%26.1%23.0%
Skew 25d2.4%1.4%4.0%3.6%2.0%
Skew 10d8.0%-3.2%15.7%14.2%-2.7%
Call IV 25d23.3%21.3%25.3%25.3%22.1%
Put IV 25d25.8%23.9%29.0%29.0%24.2%
Bid-Ask Spread %42.3819.98106.0934.95106.09
Gamma HHI0.280.120.720.190.24
Net GEX141.4K15.0K333.1K109.1K47.1K
Net DEX-869.2K-1.7M-285.5K-468.9K-675.9K
Net VEX-5.0K-7.1K-3.8K-7.1K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.571.230.760.77
Total Volume471.13279597546279
Total OI2,522.0871,2543,4563,3651,399

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$29.45$30.0027.4%7.9%25.2%10.3%26.1%3.6%-1.9%109.1K-468.9K-7.1K0.7634.953102362,2701,095
2018-08-02$29.55$30.0024.3%7.0%24.2%1.8%24.2%1.4%1.0%119.6K-557.6K-6.9K0.8519.992912462,2761,088
2018-08-03$29.40$30.0025.5%7.3%23.3%5.0%23.3%2.4%0.0%81.4K-285.5K-6.2K0.7530.622521902,2841,082
2018-08-06$29.85$26.0026.4%7.1%22.6%7.5%20.3%3.4%-0.7%155.2K-775.8K-6.4K0.7623.562521912,2771,082
2018-08-07$30.48$26.0027.2%7.2%23.8%9.7%20.4%1.8%-0.6%262.9K-1.6M-6.7K0.5719.983381942,2761,083
2018-08-08$30.53$26.0025.5%6.8%20.0%5.1%20.4%3.0%0.1%304.2K-1.7M-6.6K0.5822.163341942,3691,082
2018-08-09$30.50$26.0024.0%7.1%19.4%1.1%20.7%1.9%-0.1%295.6K-1.6M-6.1K0.7823.013342602,3691,081
2018-08-10$30.18$26.0023.5%7.0%19.8%0.0%21.6%2.8%0.3%234.0K-1.1M-5.7K0.7939.943342632,3691,079
2018-08-13$30.10$26.0027.6%7.2%19.8%11.1%21.7%2.2%-0.2%214.9K-927.7K-4.9K0.7720.783342572,3691,085
2018-08-14$30.25$26.0025.6%6.9%19.8%5.7%21.3%2.2%-0.2%240.6K-1.2M-4.7K0.7620.313402572,3691,085
2018-08-15$30.03$26.0025.6%7.3%18.5%5.6%25.7%4.0%-1.3%219.3K-780.1K-4.5K1.1083.272472722,3591,085
2018-08-16$29.95$26.0024.2%6.9%18.5%1.8%24.1%2.4%0.3%253.0K-721.0K-4.3K1.1975.182472942,3611,095
2018-08-17$30.18$26.0024.0%6.9%18.1%1.3%25.4%2.2%0.5%333.1K-1.1M-4.1K1.2398.242282802,3581,081
2018-08-20$30.30$26.0024.8%7.1%18.0%3.5%25.3%2.2%-0.5%15.0K-395.9K-4.0K0.7180.65261186670584
2018-08-21$30.75$26.0023.9%6.8%18.8%1.0%23.3%2.7%0.0%39.2K-675.1K-4.3K0.6922.50262181775584
2018-08-22$30.73$26.0023.9%6.8%16.7%1.0%23.3%2.2%0.3%40.8K-677.3K-4.1K0.6835.34266181779580
2018-08-23$30.63$26.0023.8%6.8%16.5%0.9%23.7%2.7%-0.1%41.0K-667.8K-4.1K0.6867.87266181785580
2018-08-24$30.63$26.0024.2%6.9%13.2%1.9%23.7%2.5%0.4%39.3K-631.9K-4.1K0.6826.84266181785580
2018-08-27$30.95$26.0023.8%6.8%12.7%0.9%23.3%2.3%0.4%48.1K-809.8K-3.9K0.6930.01264181785580
2018-08-28$31.40$26.0023.7%6.8%13.3%0.6%21.4%1.6%0.9%53.9K-932.2K-3.9K1.0923.06166181787580
2018-08-29$31.28$26.0023.5%6.7%13.4%0.1%20.5%2.6%0.5%54.5K-899.6K-3.8K0.7624.16159121791580
2018-08-30$31.05$26.0023.4%6.7%13.9%0.0%22.8%1.5%1.2%51.1K-819.9K-3.9K0.7746.12158121801594
2018-08-31$30.78$26.0023.1%6.6%14.3%0.0%23.0%2.0%0.8%47.1K-675.9K-3.9K0.77106.09158121805594