SANM Options History — January 2019

In January 2019, SANM traded between $23.36 and $31.86. ATM implied volatility averaged 45.3%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 8.3% (HV 20d: 36.9%). Max pain ranged from $22.00 to $30.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2019-01-29: Highest Volume — 1,267 contracts
  • 2019-01-29: Largest IV drop — 43.2% change
  • 2019-01-28: Highest IV Rank — 82.8%
  • 2019-01-28: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.29$23.36$31.86$24.10$31.27
Max Pain$25.14$22.00$30.00$25.00$30.00
ATM IV45.3%30.8%59.0%39.1%31.3%
Expected Move13.3%8.6%16.9%11.2%8.6%
HV 20d36.9%26.5%60.7%35.3%60.7%
HV 60d36.6%31.0%44.1%35.5%44.1%
IV Rank51.1%17.8%82.8%36.9%19.1%
IV Percentile82.4%44.8%98.8%74.2%47.6%
Term Structure-7.7%-15.3%9.1%9.1%-0.7%
VWIV46.8%31.3%59.4%38.7%31.5%
Skew 25d4.9%1.4%6.9%3.7%4.0%
Skew 10d12.8%-45.7%35.7%7.3%7.0%
Call IV 25d44.7%27.9%56.5%38.8%27.9%
Put IV 25d49.6%31.9%62.4%42.5%31.9%
Bid-Ask Spread %56.2542.2685.0085.0065.64
Gamma HHI0.220.110.350.260.17
Net GEX20.8K-6.9K76.4K21.3K26
Net DEX-296.8K-1.6M502.2K223.3K-1.3M
Net VEX-2.8K-3.6K-2.2K-3.1K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.0021.500.000.58
Total Volume244.90521,267102413
Total OI1,666.7147022,0411,9011,918

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$24.10$25.0039.1%11.2%35.3%36.9%38.7%3.7%9.1%21.3K223.3K-3.1K0.0085.0010201,201700
2019-01-03$23.36$22.0043.8%14.5%34.2%47.7%51.0%4.0%-8.8%5.5K502.2K-2.7K1.1556.861521751,138700
2019-01-04$23.90$23.0040.0%13.8%35.7%39.0%49.9%4.7%-8.0%5.3K415.8K-3.4K1.1658.161601851,138860
2019-01-07$24.25$23.0042.1%14.0%36.1%43.9%0.0%4.1%-7.2%11.5K361.0K-3.2K0.0066.4001001,138869
2019-01-08$24.26$23.0043.2%14.1%35.8%46.4%51.0%4.2%-8.0%17.6K322.9K-3.0K10.1048.61101011,138833
2019-01-09$25.16$23.0048.1%13.8%38.2%57.6%51.9%6.2%-8.1%39.5K-104.8K-3.1K21.5070.37102151,143834
2019-01-10$25.47$26.0046.9%13.5%38.4%55.0%50.5%4.3%-7.7%46.5K-269.2K-3.0K3.5152.77792771,143806
2019-01-11$25.70$26.0044.9%12.9%38.3%50.4%47.0%4.3%-8.3%39.8K-281.8K-2.8K1.2044.18991191,074877
2019-01-14$25.53$25.0046.5%13.3%36.9%54.0%0.0%6.8%-9.9%45.9K-194.3K-2.7K0.0042.26201,094916
2019-01-15$25.53$25.0046.8%13.4%35.3%54.7%46.4%6.9%-10.8%60.0K-175.0K-2.5K0.0147.4115511,096916
2019-01-16$25.56$25.0046.7%13.4%33.5%54.5%45.5%6.1%-10.7%62.4K-246.9K-2.6K0.0950.45161141,126915
2019-01-17$25.61$25.0048.0%13.8%31.3%57.4%47.3%5.7%-10.6%76.4K-298.3K-2.5K0.2354.2661141,126903
2019-01-18$26.30$25.0047.0%13.5%28.9%55.2%47.1%1.4%-12.1%-6.0K-951.5K-2.2K0.7152.7228201,131898
2019-01-22$25.75$25.0052.3%15.0%29.3%67.3%50.3%5.8%-8.5%-6.9K-128.3K-2.2K0.1355.827510268434
2019-01-23$25.70$25.0052.5%15.0%27.3%67.7%49.4%6.6%-10.6%-3.6K-158.2K-2.5K0.1352.127710341442
2019-01-24$26.49$25.0053.3%15.3%28.2%69.7%51.9%5.5%-10.9%-469-267.2K-2.4K0.5750.768347343442
2019-01-25$27.27$26.0054.3%15.6%26.5%71.9%53.6%4.3%-11.4%-469-330.5K-2.5K0.4845.2211254348479
2019-01-28$27.23$27.0059.0%16.9%26.7%82.8%59.4%5.8%-15.3%1.2K-364.4K-2.7K0.6248.2812879429520
2019-01-29$31.86$27.0033.5%9.6%59.6%24.1%35.1%3.8%-2.6%10.9K-1.5M-2.3K1.1360.28596671574912
2019-01-30$31.76$27.0030.8%8.8%59.8%17.8%31.3%4.0%-1.4%9.7K-1.6M-3.3K0.7273.783182307501,088
2019-01-31$31.27$30.0031.3%8.6%60.7%19.1%31.5%4.0%-0.7%26-1.3M-3.6K0.5865.642611527541,164