SANM Options History — May 2019

In May 2019, SANM traded between $26.53 and $34.41. ATM implied volatility averaged 31.7%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 26.9% (HV 20d: 58.5%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.53.

Notable Days

  • 2019-05-01: Highest Volume — 1,346 contracts
  • 2019-05-13: Largest IV spike — 24.9% change
  • 2019-05-13: Highest IV Rank — 38.3%
  • 2019-05-13: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.63$26.53$34.41$33.77$26.53
Max Pain$30.14$30.00$31.00$31.00$30.00
ATM IV31.7%26.5%39.7%28.5%33.4%
Expected Move8.7%7.6%9.6%8.2%9.6%
HV 20d58.5%32.9%65.5%58.6%34.2%
HV 60d40.8%38.3%42.9%38.3%42.9%
IV Rank19.8%8.0%38.3%12.6%23.9%
IV Percentile56.7%31.0%73.0%49.2%62.3%
Term Structure-0.4%-2.7%0.7%-2.7%0.7%
VWIV30.1%27.0%34.1%27.0%33.2%
Skew 25d3.9%1.8%5.9%1.8%5.6%
Skew 10d8.3%-0.6%19.2%-0.6%6.2%
Call IV 25d28.9%25.3%32.0%28.0%31.7%
Put IV 25d32.8%29.1%37.2%29.8%37.2%
Bid-Ask Spread %65.3947.8682.2882.2870.49
Gamma HHI0.190.130.340.180.19
Net GEX43.1K-4.6K97.3K74.4K-4.6K
Net DEX-855.5K-2.9M718.0K-2.4M718.0K
Net VEX-6.1K-7.3K-3.8K-7.0K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.0025.500.630.83
Total Volume273.36491,3461,34666
Total OI2,175.1821,4262,6272,5821,593

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$33.77$31.0028.5%8.2%58.6%12.6%27.0%1.8%-2.7%74.4K-2.4M-7.0K0.6382.288265201,2611,321
2019-05-02$33.30$31.0028.1%8.0%59.0%11.5%31.3%4.6%-1.6%84.6K-2.2M-7.2K0.7579.636935201,3381,278
2019-05-03$34.20$31.0026.5%7.6%59.4%8.0%30.2%3.9%-0.1%95.7K-2.7M-6.7K0.7175.296764781,3521,275
2019-05-06$34.41$30.0029.6%7.9%59.3%15.2%27.7%2.8%-0.3%97.3K-2.9M-6.4K0.0347.863111,3421,273
2019-05-07$33.10$30.0034.2%8.8%61.3%25.7%29.7%4.2%-1.2%74.3K-2.0M-7.3K0.3548.1143151,3481,273
2019-05-08$32.40$30.0035.2%8.4%61.8%28.0%29.2%3.0%-0.3%76.9K-1.8M-7.1K0.7555.6863471,3581,266
2019-05-09$32.27$30.0035.7%8.7%61.8%29.0%30.3%4.4%-0.6%75.5K-1.6M-7.1K1.5654.27941471,3711,251
2019-05-10$31.99$30.0031.8%8.4%61.7%20.1%28.4%4.0%-0.5%83.3K-1.5M-6.8K0.1058.852121,3711,217
2019-05-13$30.70$30.0039.7%9.6%63.1%38.3%34.1%3.1%-2.0%25.8K-664.0K-6.6K11.3356.0491021,3711,217
2019-05-14$30.78$30.0035.0%8.7%63.1%27.5%27.7%3.4%0.0%26.8K-717.9K-6.5K2.1555.182244811,3641,261
2019-05-15$31.20$30.0029.5%8.5%63.0%14.8%0.0%3.8%0.6%61.8K-991.6K-6.3K25.5066.082511,3571,261
2019-05-16$31.36$30.0029.3%8.4%63.0%14.4%28.8%1.8%0.6%77.0K-1.1M-6.2K2.6163.3628731,3581,260
2019-05-17$29.79$30.0029.7%8.5%65.5%15.3%29.1%3.0%-0.1%7.4K180.0K-5.9K2.5276.8429731,3481,259
2019-05-20$29.52$30.0030.2%8.7%65.2%16.4%30.1%4.1%-0.2%16.7K-203.1K-5.5K0.0063.49880898528
2019-05-21$29.57$30.0028.9%8.3%64.9%13.4%28.9%4.2%0.6%25.1K-339.4K-5.9K0.3864.189034984528
2019-05-22$29.35$30.0029.9%8.6%64.9%15.9%27.9%4.1%-0.5%20.4K-179.7K-6.1K0.3864.609034986561
2019-05-23$28.03$30.0032.9%9.4%64.4%22.6%30.5%4.4%-0.3%9.1K243.3K-5.4K0.3366.4010334997561
2019-05-24$28.22$30.0031.9%9.2%64.1%20.4%30.6%4.2%-0.3%9.9K202.0K-5.4K0.4471.1810345997561
2019-05-28$28.16$30.0032.0%9.2%64.1%20.6%32.2%4.2%-0.6%7.6K248.1K-5.2K0.5073.9863997568
2019-05-29$27.60$30.0032.8%9.4%32.9%22.4%32.6%5.0%-0.4%2.4K442.5K-4.7K2.8372.426171,003569
2019-05-30$27.51$30.0031.9%9.1%32.9%20.3%32.3%5.9%-0.0%605491.5K-4.5K1.0072.2923231,003569
2019-05-31$26.53$30.0033.4%9.6%34.2%23.9%33.2%5.6%0.7%-4.6K718.0K-3.8K0.8370.4936301,010583