SANM Options History — August 2019

In August 2019, SANM traded between $27.78 and $31.39. ATM implied volatility averaged 35.0%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 4.5% (HV 20d: 30.5%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2019-08-01: Highest Volume — 679 contracts
  • 2019-08-05: Largest IV spike — 26.5% change
  • 2019-08-05: Highest IV Rank — 47.5%
  • 2019-08-07: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.65$27.78$31.39$31.39$28.84
Max Pain$30.00$29.00$31.00$29.00$30.00
ATM IV35.0%30.2%43.7%32.5%32.9%
Expected Move9.5%8.7%10.2%9.3%9.4%
HV 20d30.5%25.3%36.5%25.3%36.3%
HV 60d28.0%26.6%29.4%28.7%27.8%
IV Rank27.5%16.5%47.5%21.7%22.6%
IV Percentile59.7%39.3%79.0%56.3%54.0%
Term Structure-0.8%-3.6%0.5%-2.8%0.4%
VWIV30.5%21.2%36.3%31.4%31.9%
Skew 25d4.6%3.1%6.3%3.2%3.9%
Skew 10d11.2%7.6%16.0%14.0%15.1%
Call IV 25d31.0%27.6%33.5%31.0%31.4%
Put IV 25d35.6%31.7%38.7%34.1%35.2%
Bid-Ask Spread %55.5641.2169.2751.9565.46
Gamma HHI0.260.200.320.300.30
Net GEX74.0K30.8K130.3K62.2K60.4K
Net DEX-1.1M-2.5M258.9K-2.3M-297.7K
Net VEX-8.6K-9.8K-6.4K-9.0K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.003.390.200.00
Total Volume116.364067967911
Total OI2,9382,2533,9473,1112,372

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$31.39$29.0032.5%9.3%25.3%21.7%31.4%3.2%-2.8%62.2K-2.3M-9.0K0.2051.955681111,8471,264
2019-08-02$30.90$29.0034.5%9.9%25.7%26.4%33.3%4.7%-3.6%65.4K-1.9M-9.3K1.8146.5916291,9471,260
2019-08-05$30.10$31.0043.7%10.0%27.3%47.5%32.2%5.1%-1.0%43.0K-1.1M-9.1K1.2946.5666851,9371,274
2019-08-06$29.48$31.0040.7%9.8%28.2%40.7%34.1%4.1%-0.7%30.8K-533.7K-8.6K0.4042.0881321,9331,281
2019-08-07$29.39$30.0042.8%10.2%27.6%45.5%0.0%3.7%-1.4%35.3K-589.3K-8.5K0.6541.2123151,9781,235
2019-08-08$30.27$30.0034.3%9.5%27.5%25.8%31.8%5.2%-0.8%65.6K-1.6M-8.3K0.0744.83333231,9821,197
2019-08-09$30.18$30.0035.7%9.4%27.5%29.1%28.6%6.3%-0.5%98.4K-1.9M-9.1K0.2051.25152302,2621,177
2019-08-12$29.85$30.0039.7%9.8%27.8%38.2%0.0%6.3%-0.5%106.4K-1.8M-9.4K0.2249.1660132,4501,173
2019-08-13$30.38$30.0039.4%9.4%27.4%37.6%31.7%4.8%-0.5%130.3K-2.5M-9.2K0.2059.34245502,4261,161
2019-08-14$29.57$30.0034.1%9.8%29.0%25.5%35.9%5.9%-0.6%108.4K-1.6M-9.4K3.3958.21592002,5751,211
2019-08-15$29.21$30.0035.5%10.2%29.3%28.7%36.3%4.5%-1.8%93.3K-978.5K-9.4K1.0458.3857592,5811,343
2019-08-16$30.14$30.0031.5%9.0%31.0%19.3%29.4%5.1%-0.2%119.9K-2.5M-9.8K0.2055.8751102,6141,333
2019-08-19$30.46$30.0031.6%9.0%31.2%19.5%29.0%4.8%-0.2%96.7K-1.6M-9.7K0.0056.49701,632621
2019-08-20$29.78$30.0031.2%8.9%31.9%18.7%21.2%4.8%-0.3%83.7K-1.1M-9.2K1.0056.7720201,639621
2019-08-21$30.20$30.0030.3%8.7%31.1%16.7%29.3%4.1%0.5%94.9K-1.3M-9.3K0.0067.39301,659641
2019-08-22$30.30$30.0030.2%8.7%30.9%16.5%29.3%3.1%0.4%97.1K-1.4M-9.3K0.6256.5642261,659641
2019-08-23$28.59$30.0033.4%9.6%35.7%23.8%0.0%5.4%-0.2%53.2K-181.7K-7.9K0.0054.721201,681655
2019-08-26$28.56$30.0034.1%9.8%34.5%25.4%25.4%3.3%-2.2%52.4K-165.9K-7.6K0.0061.44701,681655
2019-08-27$27.78$30.0034.9%10.0%35.0%27.3%0.0%5.8%-1.2%33.3K258.9K-6.4K0.0061.64001,688654
2019-08-28$28.04$30.0034.6%9.9%34.7%26.7%30.2%3.8%0.2%39.2K104.5K-6.7K0.7167.2614101,688653
2019-08-29$28.84$30.0032.1%9.2%36.5%20.9%28.6%3.9%-0.2%58.2K-259.4K-7.4K0.0069.272001,702653
2019-08-30$28.84$30.0032.9%9.4%36.3%22.6%31.9%3.9%0.4%60.4K-297.7K-7.4K0.0065.461101,719653