SANM Options History — November 2018

In November 2018, SANM traded between $24.88 and $27.16. ATM implied volatility averaged 34.0%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 5.8% (HV 20d: 39.8%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2018-11-23: Highest Volume — 726 contracts
  • 2018-11-12: Largest IV spike — 24.2% change
  • 2018-11-12: Highest IV Rank — 37.2%
  • 2018-11-26: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.03$24.88$27.16$25.74$27.14
Max Pain$25.38$25.00$26.00$25.00$26.00
ATM IV34.0%30.7%39.2%34.3%32.3%
Expected Move9.4%8.3%10.3%9.8%9.3%
HV 20d39.8%24.4%45.4%45.4%24.4%
HV 60d30.7%29.6%32.0%29.6%32.0%
IV Rank25.2%17.5%37.2%25.9%21.2%
IV Percentile66.0%54.4%77.8%68.7%57.9%
Term Structure-1.5%-4.0%0.3%-4.0%-0.7%
VWIV32.8%30.4%35.4%35.4%33.1%
Skew 25d4.0%1.0%5.4%4.0%4.6%
Skew 10d12.5%-1.4%22.3%5.2%16.9%
Call IV 25d30.9%26.9%34.8%34.0%30.3%
Put IV 25d34.8%31.7%38.1%38.0%34.9%
Bid-Ask Spread %55.8427.0795.2792.0766.30
Gamma HHI0.180.120.310.240.13
Net GEX2.5K-21.7K24.0K-18.9K8.5K
Net DEX-176.7K-578.2K202.3K-83.8K-307.3K
Net VEX-4.0K-5.3K-3.3K-5.3K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.510.820.590.82
Total Volume668.476596726658653
Total OI1,864.0481,2722,3212,2661,311

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$25.74$25.0034.3%9.8%45.4%25.9%35.4%4.0%-4.0%-18.9K-83.8K-5.3K0.5992.074132459071,359
2018-11-02$25.88$25.0034.4%9.9%44.0%26.1%33.9%1.0%-2.3%-318-303.1K-5.2K0.5954.174132459591,360
2018-11-05$25.79$25.0036.6%9.2%43.6%31.3%32.8%4.1%-1.6%-2.6K-214.4K-5.0K0.5572.434132279581,360
2018-11-06$25.99$25.0035.7%8.9%43.3%29.0%32.0%3.6%-0.8%5.4K-305.9K-4.8K0.6176.393712279581,363
2018-11-07$26.39$25.0032.2%8.5%42.2%21.1%30.7%5.3%-0.1%24.0K-514.1K-4.5K0.6148.103712279581,363
2018-11-08$26.02$25.0030.8%8.3%42.6%17.9%30.4%2.9%0.3%20.4K-372.1K-4.4K0.5295.274442319581,363
2018-11-09$25.63$25.0031.6%8.5%43.1%19.6%31.4%5.2%-0.2%6.4K-111.6K-4.3K0.5182.524492319131,358
2018-11-12$24.88$25.0039.2%9.3%44.6%37.2%32.1%4.5%-1.0%-21.7K202.3K-3.9K0.5782.534312479181,358
2018-11-13$25.03$25.0038.4%9.2%42.7%35.3%30.7%4.4%-1.0%-12.6K145.4K-3.8K0.5733.204312479161,356
2018-11-14$25.16$25.0032.8%9.4%42.5%22.3%32.2%4.2%-1.9%-2.1K67.6K-3.9K0.5734.244312479211,356
2018-11-15$25.50$25.0032.9%9.4%41.9%22.7%32.1%4.2%-0.8%22.2K-54.7K-3.8K0.5727.074312479211,356
2018-11-16$26.30$25.0030.7%8.8%43.1%17.5%30.9%3.5%-1.0%-2.9K-578.2K-3.8K0.6866.644252879211,356
2018-11-19$26.00$25.0033.3%9.5%43.2%23.5%33.1%3.0%-2.3%-3.4K-28.4K-3.6K0.7239.41347249667605
2018-11-20$25.76$26.0033.5%9.6%43.4%24.1%32.9%5.1%-2.1%-6.1K62.9K-3.7K0.7735.82367283671623
2018-11-21$26.27$26.0034.8%10.0%41.3%27.1%34.2%2.4%-0.7%1.8K-120.0K-3.6K0.6340.07444280691590
2018-11-23$26.27$26.0035.5%10.2%41.3%28.7%35.3%4.3%-2.7%4.1K-138.3K-3.7K0.6357.36445281708582
2018-11-26$26.50$26.0035.8%10.3%36.4%29.2%34.5%5.4%-3.3%5.4K-191.8K-3.5K0.6335.06445281712582
2018-11-27$26.36$26.0033.8%9.7%35.8%24.8%33.4%3.0%-1.7%5.5K-195.3K-3.5K0.6328.51445281712582
2018-11-28$27.16$26.0033.0%9.5%26.7%22.9%34.0%5.1%-1.6%10.6K-373.3K-3.6K0.7846.89364284712582
2018-11-29$26.90$26.0032.6%9.3%24.5%21.9%33.2%3.1%-1.6%8.4K-295.8K-3.3K0.8158.50364294712587
2018-11-30$27.14$26.0032.3%9.3%24.4%21.2%33.1%4.6%-0.7%8.5K-307.3K-3.4K0.8266.30359294714597