SANM Options History — April 2019

In April 2019, SANM traded between $29.38 and $33.98. ATM implied volatility averaged 39.4%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 12.4% (HV 20d: 27.0%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 6.61.

Notable Days

  • 2019-04-30: Highest Volume — 1,270 contracts
  • 2019-04-10: Largest IV spike — 65.3% change
  • 2019-04-29: Highest IV Rank — 82.8%
  • 2019-04-29: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.27$29.38$33.98$29.62$33.98
Max Pain$30.62$28.00$31.00$28.00$30.00
ATM IV39.4%25.2%59.0%26.7%29.4%
Expected Move12.9%8.4%16.9%11.9%8.4%
HV 20d27.0%19.9%58.6%27.2%58.6%
HV 60d37.0%23.7%39.8%39.8%38.4%
IV Rank37.6%5.0%82.8%8.4%14.5%
IV Percentile64.6%15.9%98.8%31.7%51.6%
Term Structure-8.5%-17.9%15.3%14.9%-2.1%
VWIV45.8%32.3%58.8%46.2%32.3%
Skew 25d4.5%-0.2%6.3%1.4%3.3%
Skew 10d8.4%-3.4%14.6%-3.4%8.5%
Call IV 25d41.5%26.6%55.5%26.6%29.3%
Put IV 25d46.1%27.5%61.8%28.0%32.6%
Bid-Ask Spread %40.0128.2059.0542.2459.05
Gamma HHI0.320.140.510.370.17
Net GEX81.4K-15.1K163.6K71.7K74.0K
Net DEX-1.1M-3.3M391.5K391.5K-3.2M
Net VEX-5.5K-7.9K-3.8K-5.5K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.610.0086.5086.500.65
Total Volume194.28631,2701751,270
Total OI2,893.191,1353,7693,2492,633

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-04-01$29.62$28.0026.7%11.9%27.2%8.4%46.2%1.4%14.9%71.7K391.5K-5.5K86.5042.2421732,1871,062
2019-04-02$30.15$30.0026.2%11.8%27.9%7.2%46.8%-0.2%15.3%90.6K126.4K-6.4K21.5039.882432,1881,235
2019-04-03$30.46$30.0026.4%12.1%26.9%7.6%47.1%4.7%-8.6%106.6K-160.1K-6.6K9.2545.344372,1881,271
2019-04-04$30.92$30.0025.7%12.0%26.4%6.1%47.2%4.7%-8.7%128.6K-753.8K-6.8K1.6428.2022362,1901,273
2019-04-05$31.33$30.0025.2%12.1%26.4%5.0%44.9%4.9%-9.0%148.1K-1.3M-7.0K3.3628.6122742,2081,272
2019-04-08$31.18$31.0025.9%12.5%25.5%6.6%41.9%4.5%-10.9%147.0K-880.4K-6.3K2.0029.69122,2081,302
2019-04-09$30.98$31.0025.7%12.6%25.6%6.1%42.3%4.9%-10.3%148.5K-612.1K-5.9K0.5029.04422,2091,302
2019-04-10$31.28$31.0042.5%12.2%25.0%44.7%41.6%4.7%-9.2%157.2K-1.0M-5.9K0.0850.682622,2121,302
2019-04-11$31.70$31.0041.6%11.9%24.6%42.7%43.0%3.8%-9.1%163.6K-1.6M-5.8K3.0437.8527822,2241,324
2019-04-12$32.25$31.0040.7%11.7%25.2%40.6%42.3%4.7%-8.0%143.3K-2.6M-5.7K1.5745.8728442,2271,400
2019-04-15$32.02$31.0044.3%12.7%25.0%49.0%43.0%3.8%-11.6%129.5K-2.3M-4.9K0.0037.455402,2261,435
2019-04-16$32.50$31.0044.5%12.8%25.2%49.4%41.9%5.3%-11.3%49.6K-3.3M-4.4K0.0045.337002,2811,435
2019-04-17$32.25$31.0046.5%13.3%25.5%53.9%44.5%5.6%-14.9%64.9K-3.0M-4.2K0.3538.9166232,2931,435
2019-04-18$32.09$31.0045.0%12.9%24.9%50.5%46.1%5.0%-12.8%108.1K-2.6M-3.9K0.8144.3174602,3211,448
2019-04-22$31.40$31.0047.6%13.6%20.7%56.4%47.4%5.6%-11.4%-1.2K-210.5K-3.8K1.8539.774889466669
2019-04-23$31.87$31.0048.5%13.9%20.5%58.6%48.4%5.6%-11.4%1.5K-302.9K-4.2K1.0047.597777513746
2019-04-24$31.73$31.0049.6%14.2%19.9%61.2%50.1%6.0%-13.1%2.7K-310.9K-4.3K1.3937.515678544756
2019-04-25$30.14$31.0051.2%14.7%27.7%64.9%52.0%4.9%-13.0%-11.1K116.4K-4.3K1.5039.90119178544757
2019-04-26$29.48$31.0055.2%15.8%28.9%74.0%54.4%5.4%-15.3%-15.1K273.7K-5.3K0.4836.52524249649857
2019-04-29$29.38$31.0059.0%16.9%28.9%82.8%58.8%6.3%-17.9%962-147.0K-7.9K1.3636.481421931,032933
2019-04-30$33.98$30.0029.4%8.4%58.6%14.5%32.3%3.3%-2.1%74.0K-3.2M-7.1K0.6559.057705001,3641,269