SANM Options History — October 2018

In October 2018, SANM traded between $22.73 and $27.09. ATM implied volatility averaged 43.4%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 16.8% (HV 20d: 26.6%). Max pain ranged from $24.00 to $30.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2018-10-05: Highest Volume — 1,605 contracts
  • 2018-10-10: Largest IV spike — 45.7% change
  • 2018-10-29: Highest IV Rank — 100.0%
  • 2018-10-29: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.92$22.73$27.09$26.99$25.43
Max Pain$26.13$24.00$30.00$30.00$25.00
ATM IV43.4%24.4%66.5%24.4%36.8%
Expected Move13.1%7.0%19.1%7.0%10.5%
HV 20d26.6%19.6%45.8%19.8%45.8%
HV 60d21.3%18.6%29.4%20.0%29.4%
IV Rank53.2%3.6%100.0%3.6%31.6%
IV Percentile76.3%9.1%100.0%9.1%73.4%
Term Structure-8.6%-17.5%13.9%13.2%-3.8%
VWIV46.6%24.6%66.0%24.6%37.4%
Skew 25d5.4%0.1%8.8%0.1%6.9%
Skew 10d12.7%1.3%33.8%1.3%10.1%
Call IV 25d43.4%22.9%62.8%24.8%33.2%
Put IV 25d48.8%24.9%71.6%24.9%40.0%
Bid-Ask Spread %34.1713.3575.5930.9675.59
Gamma HHI0.370.150.570.160.28
Net GEX-94.4K-184.9K-26.5K-54.1K-26.5K
Net DEX1.5M71.6K3.1M883.1K71.6K
Net VEX-5.5K-7.1K-3.7K-3.7K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.562.060.560.61
Total Volume1,024.2616411,605802660
Total OI2,681.6961,9093,7481,9092,270

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$26.99$30.0024.4%7.0%19.8%3.6%24.6%0.1%13.2%-54.1K883.1K-3.7K0.5630.96513289978931
2018-10-02$27.04$30.0025.2%7.2%19.6%5.6%26.4%0.1%13.9%-55.3K912.2K-4.6K0.5623.915162891,0781,061
2018-10-03$27.09$30.0025.3%7.2%19.7%5.9%25.3%4.1%12.3%-57.6K900.1K-4.5K0.6913.355133551,0781,060
2018-10-04$26.44$27.0026.8%11.5%20.7%10.1%39.9%4.7%-9.0%-59.1K1.1M-4.3K0.6920.925133551,0821,047
2018-10-05$25.61$27.0028.8%11.9%22.7%15.4%44.2%4.7%-8.2%-54.5K1.4M-3.8K2.0656.925251,0801,0871,041
2018-10-08$25.21$27.0032.6%12.5%22.0%25.4%45.8%5.9%-9.7%-167.8K2.3M-5.2K0.9049.345344831,1311,853
2018-10-09$24.87$27.0030.9%12.8%21.9%21.1%46.3%6.3%-10.5%-180.6K2.6M-5.3K0.8943.815354751,1661,990
2018-10-10$24.22$27.0045.1%12.9%22.3%58.9%42.6%6.1%-9.8%-168.7K3.1M-4.7K0.8132.213723031,1631,996
2018-10-11$24.11$26.0047.2%13.5%22.0%64.5%45.2%7.5%-12.1%-158.6K3.0M-4.6K0.8130.803733031,1941,952
2018-10-12$24.17$26.0046.9%13.5%22.4%63.8%45.3%6.5%-11.1%-178.3K3.1M-4.5K0.6533.364803111,1951,953
2018-10-15$24.10$25.0048.9%14.0%22.1%69.1%49.9%5.5%-13.1%-168.5K3.0M-4.7K1.0526.055996271,3591,968
2018-10-16$25.00$25.0048.3%13.8%27.3%67.4%50.1%4.7%-13.5%-155.7K1.6M-6.9K1.4925.846169171,5902,121
2018-10-17$25.30$25.0048.9%14.0%28.1%69.2%51.9%5.3%-14.0%-161.3K1.1M-7.1K1.4830.366199171,6282,120
2018-10-18$24.74$25.0049.5%14.2%28.0%70.7%52.1%5.2%-13.5%-184.9K1.8M-7.0K1.5026.746119171,6232,120
2018-10-19$24.56$25.0049.9%14.3%27.2%71.7%52.1%4.3%-14.6%-41.3K2.1M-6.5K1.3824.706208551,6192,120
2018-10-22$24.88$25.0051.3%14.7%28.1%75.5%53.3%5.0%-12.1%-37.8K488.4K-6.4K1.9722.523837537941,328
2018-10-23$24.97$25.0053.8%15.4%26.9%82.2%56.1%6.6%-13.7%-36.0K475.8K-6.4K1.9625.503867588051,328
2018-10-24$24.05$25.0054.5%15.6%28.5%84.2%56.7%5.6%-14.2%-44.0K809.2K-6.2K2.0223.043727518091,333
2018-10-25$24.19$25.0055.5%15.9%28.9%86.8%57.7%6.7%-14.7%-43.1K780.2K-6.2K2.0020.463757518111,339
2018-10-26$23.05$25.0059.5%17.1%32.1%97.4%59.1%6.8%-14.8%-46.8K1.1M-5.8K0.8120.473652978181,339
2018-10-29$22.73$25.0066.5%19.1%31.5%100.0%66.0%8.8%-17.5%-43.2K1.1M-5.6K0.7868.853662858201,323
2018-10-30$24.52$24.0042.0%12.1%43.5%43.7%43.4%6.7%-6.5%-47.4K592.6K-5.7K0.5660.184112308781,380
2018-10-31$25.43$25.0036.8%10.5%45.8%31.6%37.4%6.9%-3.8%-26.5K71.6K-5.5K0.6175.594112499101,360