SANM Options History — March 2019

In March 2019, SANM traded between $28.62 and $31.79. ATM implied volatility averaged 28.6%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 7.9% (HV 20d: 20.6%). Max pain ranged from $25.00 to $33.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2019-03-01: Highest Volume — 808 contracts
  • 2019-03-12: Largest IV drop — 12.8% change
  • 2019-03-11: Highest IV Rank — 21.9%
  • 2019-03-26: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.19$28.62$31.79$31.79$28.88
Max Pain$28.70$25.00$33.00$33.00$25.00
ATM IV28.6%25.9%32.6%25.9%27.7%
Expected Move10.4%7.4%12.5%7.4%12.2%
HV 20d20.6%16.2%25.3%16.2%25.0%
HV 60d41.2%39.4%42.9%42.9%40.2%
IV Rank12.7%6.5%21.9%6.5%10.7%
IV Percentile41.3%22.2%55.6%22.2%39.7%
Term Structure9.5%0.9%14.8%0.9%14.7%
VWIV35.9%21.1%45.6%23.6%42.2%
Skew 25d3.3%2.2%5.2%4.0%2.2%
Skew 10d8.7%-7.8%18.3%13.0%3.8%
Call IV 25d27.1%24.1%30.2%24.1%27.7%
Put IV 25d30.4%28.0%32.9%28.0%30.0%
Bid-Ask Spread %53.5519.5292.0281.3463.28
Gamma HHI0.270.160.420.210.30
Net GEX60.3K-1.7K127.1K-1.7K39.4K
Net DEX-3.1K-944.9K890.0K-522.4K890.0K
Net VEX-7.1K-8.6K-4.6K-7.8K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.0011.001.201.67
Total Volume160.429180880864
Total OI3,072.9052,4903,4772,4903,180

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$31.79$33.0025.9%7.4%16.2%6.5%23.6%4.0%0.9%-1.7K-522.4K-7.8K1.2081.343684401,3031,187
2019-03-04$31.72$33.0027.9%8.0%16.2%11.1%34.0%3.8%6.0%29.8K-669.0K-8.5K0.0085.68101,6241,187
2019-03-05$31.25$33.0029.3%8.4%16.3%14.4%30.8%3.0%6.6%21.4K-312.9K-8.0K0.1192.021921,6241,187
2019-03-06$30.52$33.0030.9%8.9%17.0%18.2%25.9%3.6%5.9%11.1K187.1K-7.3K0.1784.352441,6381,189
2019-03-07$29.93$33.0029.5%8.5%17.7%15.0%27.1%5.2%5.7%5.7K636.9K-6.2K0.0390.29483131,6381,191
2019-03-08$29.69$32.0029.0%8.3%17.3%13.7%21.1%3.7%5.8%55.9K238.5K-7.8K0.3189.32298932,0521,194
2019-03-11$30.36$29.0032.6%9.9%19.1%21.9%0.0%3.1%6.3%89.6K-99.0K-8.1K0.4853.2469332,1411,244
2019-03-12$30.45$29.0028.4%9.9%19.2%12.3%0.0%2.6%6.1%100.0K-202.1K-8.1K11.0051.181112,1541,236
2019-03-13$31.02$29.0026.6%9.8%20.2%8.3%35.4%3.6%7.0%127.1K-740.3K-8.6K0.2547.9685212,2031,237
2019-03-14$30.52$29.0027.2%9.8%20.8%9.7%35.5%3.3%6.6%121.4K-257.2K-8.1K0.5550.0082452,2131,237
2019-03-15$30.66$29.0026.8%9.7%20.6%8.5%35.3%2.2%7.6%82.7K-347.1K-8.1K0.5552.6186472,2131,264
2019-03-18$30.37$0.0029.5%12.0%20.7%14.8%40.4%4.2%12.7%73.9K-299.0K-7.5K0.6130.1318111,861948
2019-03-19$30.21$32.0026.5%11.6%20.5%8.0%39.6%3.6%14.4%73.9K-158.3K-7.2K0.3824.26135511,873955
2019-03-20$30.28$25.0028.4%11.4%20.1%12.4%40.7%2.6%11.4%79.6K-351.4K-7.8K0.3551.38146511,993993
2019-03-21$30.88$25.0027.0%11.6%21.4%9.0%43.9%2.3%13.8%105.3K-944.9K-8.5K0.4019.52128512,040993
2019-03-22$29.59$25.0028.6%12.0%25.3%12.8%45.6%3.2%13.8%65.8K183.5K-6.7K0.4536.99113512,062993
2019-03-25$29.28$25.0031.1%12.4%25.0%18.5%0.0%2.7%12.2%55.0K450.1K-5.8K0.0925.133332,061993
2019-03-26$28.96$25.0030.5%12.5%25.0%17.1%42.4%3.4%12.9%47.9K618.6K-5.5K0.2726.7462172,0941,002
2019-03-27$28.62$25.0027.9%12.2%24.4%11.1%40.6%4.4%14.7%39.2K840.4K-4.9K0.6234.5865402,1521,002
2019-03-28$28.93$25.0028.4%12.3%25.1%12.3%41.6%3.2%14.8%44.4K792.7K-5.0K0.6234.4665402,1551,025
2019-03-29$28.88$25.0027.7%12.2%25.0%10.7%42.2%2.2%14.7%39.4K890.0K-4.6K1.6763.2824402,1551,025