SANM Options History — July 2019

In July 2019, SANM traded between $29.70 and $32.91. ATM implied volatility averaged 42.8%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 22.4% (HV 20d: 20.4%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2019-07-30: Highest Volume — 1,032 contracts
  • 2019-07-10: Largest IV spike — 89.3% change
  • 2019-07-29: Highest IV Rank — 84.0%
  • 2019-07-29: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.89$29.70$32.91$30.57$31.99
Max Pain$28.91$28.00$30.00$30.00$29.00
ATM IV42.8%24.6%59.6%27.8%28.9%
Expected Move13.1%7.6%17.1%8.0%8.3%
HV 20d20.4%18.2%24.4%23.0%24.4%
HV 60d39.7%29.0%43.3%42.8%29.5%
IV Rank45.4%3.5%84.0%11.0%13.6%
IV Percentile68.9%7.5%99.2%32.9%38.1%
Term Structure-7.8%-20.7%19.0%16.9%-1.4%
VWIV47.4%26.9%58.7%27.8%28.7%
Skew 25d4.2%1.7%7.2%2.8%3.4%
Skew 10d10.3%-1.6%17.4%8.7%13.4%
Call IV 25d44.1%26.2%56.1%27.5%27.7%
Put IV 25d48.3%28.6%59.4%30.3%31.1%
Bid-Ask Spread %43.0323.4291.6083.9852.63
Gamma HHI0.250.190.520.210.33
Net GEX85.3K34.3K211.7K99.2K71.9K
Net DEX-2.1M-4.1M-1.2M-1.9M-2.9M
Net VEX-7.3K-9.7K-5.5K-6.4K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.005.580.570.17
Total Volume449.591301,032116636
Total OI2,386.4091,6073,2801,9573,115

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$30.57$30.0027.8%8.0%23.0%11.0%27.8%2.8%16.9%99.2K-1.9M-6.4K0.5783.9874421,474483
2019-07-02$30.27$30.0029.1%8.3%18.8%13.9%28.0%2.3%17.2%90.8K-1.6M-6.5K0.1591.60181271,458521
2019-07-03$30.63$30.0026.5%7.6%18.2%8.0%26.9%2.4%19.0%119.2K-2.0M-6.6K0.2381.22177411,571529
2019-07-05$30.34$28.0025.8%13.4%18.9%6.2%47.2%4.3%-10.8%115.7K-1.8M-6.4K0.7332.212111551,584539
2019-07-08$30.06$28.0026.3%13.5%19.4%7.5%47.6%5.2%-11.4%89.9K-1.6M-6.3K3.1824.84381211,609650
2019-07-09$30.22$28.0024.6%13.8%18.8%3.5%50.2%6.2%-11.3%80.5K-1.7M-6.4K5.5826.79362011,643771
2019-07-10$30.64$28.0046.5%13.3%18.9%54.0%49.0%4.4%-10.5%112.1K-2.0M-6.5K1.6834.941222051,642851
2019-07-11$29.70$28.0048.0%13.8%21.3%57.5%49.1%4.3%-11.4%34.3K-1.2M-6.5K1.5423.421362091,630854
2019-07-12$29.89$29.0049.0%14.0%21.2%59.7%50.1%5.7%-12.2%50.0K-1.4M-6.4K1.5025.721392091,642888
2019-07-15$29.81$29.0050.6%14.5%19.6%63.3%55.0%7.2%-13.8%35.2K-1.2M-6.0K0.0032.010301,640888
2019-07-16$30.46$29.0049.8%14.3%20.7%61.6%54.3%4.6%-12.7%110.6K-1.8M-5.8K1.3333.3030401,640918
2019-07-17$30.43$29.0052.3%15.0%20.1%67.3%54.8%4.9%-14.9%97.1K-1.8M-5.7K1.1831.1939461,640938
2019-07-18$30.41$29.0052.8%15.1%19.9%68.4%54.9%4.3%-14.4%106.7K-1.8M-5.5K0.1137.71472521,634944
2019-07-19$30.90$29.0049.6%14.2%19.5%61.2%52.1%1.7%-13.1%211.7K-2.7M-7.5K0.3747.975812141,917946
2019-07-22$30.89$29.0052.6%15.1%19.5%68.0%53.7%2.7%-10.7%49.0K-1.7M-6.7K0.0041.3152801,108499
2019-07-23$31.20$29.0052.9%15.2%19.3%68.7%56.4%5.3%-12.2%64.1K-2.3M-9.3K0.1947.145371011,468599
2019-07-24$31.93$29.0052.7%15.1%20.3%68.2%56.6%5.6%-13.3%67.0K-2.7M-9.1K0.3037.015651711,479600
2019-07-25$31.53$29.0053.9%15.5%20.8%71.1%56.1%5.7%-14.5%63.7K-2.4M-9.4K0.2638.756031561,476670
2019-07-26$32.14$29.0053.7%15.4%21.6%70.5%55.0%4.2%-15.1%58.4K-2.7M-9.5K0.3338.846432131,488777
2019-07-29$32.76$29.0059.6%17.1%22.2%84.0%58.7%3.3%-20.7%58.1K-3.1M-9.7K0.7824.414943841,585913
2019-07-30$32.91$29.0027.7%7.9%22.0%10.6%29.8%2.8%-1.1%92.2K-4.1M-9.2K0.2859.678062262,0061,274
2019-07-31$31.99$29.0028.9%8.3%24.4%13.6%28.7%3.4%-1.4%71.9K-2.9M-8.8K0.1752.63545911,8511,264