SANM Options History — October 2019

In October 2019, SANM traded between $29.44 and $32.47. ATM implied volatility averaged 43.3%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 14.4% (HV 20d: 28.8%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.83.

Notable Days

  • 2019-10-28: Highest Volume — 579 contracts
  • 2019-10-29: Largest IV drop — 46.7% change
  • 2019-10-28: Highest IV Rank — 79.2%
  • 2019-10-28: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.97$29.44$32.47$31.60$30.71
Max Pain$31.70$31.00$32.00$31.00$31.00
ATM IV43.3%29.2%57.8%31.9%29.2%
Expected Move13.1%8.4%16.6%9.1%8.4%
HV 20d28.8%24.7%32.0%31.1%29.4%
HV 60d32.1%30.9%32.8%31.3%32.0%
IV Rank44.8%13.1%79.2%17.8%13.1%
IV Percentile73.0%20.2%98.0%42.9%20.2%
Term Structure-7.5%-17.6%14.6%14.6%-0.7%
VWIV45.3%29.2%58.4%35.4%29.2%
Skew 25d5.7%3.4%8.0%4.3%3.5%
Skew 10d13.9%-4.8%30.7%-4.8%7.4%
Call IV 25d43.0%27.8%54.5%31.3%27.8%
Put IV 25d48.7%31.2%59.9%35.6%31.2%
Bid-Ask Spread %50.3031.9786.8986.8953.07
Gamma HHI0.240.170.330.250.27
Net GEX41.3K-22.5K116.6K75.4K-19.3K
Net DEX-704.1K-1.4M-155.7K-1.4M-277.1K
Net VEX-4.3K-5.0K-3.4K-5.0K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.0024.334.570.24
Total Volume8415793977
Total OI1,481.0438782,0491,5431,646

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$31.60$31.0031.9%9.1%31.1%17.8%35.4%4.3%14.6%75.4K-1.4M-5.0K4.5786.897321,069474
2019-10-02$31.05$31.0035.6%10.2%32.0%26.3%38.2%7.4%12.8%64.8K-1.1M-5.0K0.8084.44541,069489
2019-10-03$30.69$32.0035.7%13.8%27.8%26.6%0.0%5.8%-9.5%58.5K-859.8K-4.9K0.0055.37601,069493
2019-10-04$31.09$32.0033.4%13.8%27.9%21.1%57.5%5.9%-9.4%67.0K-1.1M-4.8K0.1356.50811,068493
2019-10-07$30.72$32.0035.3%14.0%24.7%25.6%46.3%4.1%-9.6%61.5K-920.9K-4.5K2.5053.1316401,068494
2019-10-08$29.44$32.0038.2%14.4%28.1%32.4%48.1%4.2%-10.8%25.0K-159.8K-3.9K0.7054.351071,084494
2019-10-09$29.94$32.0049.9%14.3%26.5%60.4%48.3%8.0%-9.9%37.0K-355.7K-4.0K0.0056.081101,079493
2019-10-10$29.74$32.0050.0%14.3%26.4%60.7%47.5%5.1%-9.0%25.7K-221.1K-3.8K0.0054.133601,082493
2019-10-11$30.56$32.0047.5%13.6%28.7%54.7%46.7%7.3%-8.1%64.9K-750.3K-3.9K0.0047.31101,090493
2019-10-14$30.26$32.0049.3%14.1%28.8%59.0%47.6%6.9%-11.6%44.5K-491.7K-3.4K1.1645.281211401,081493
2019-10-15$30.76$32.0047.9%13.7%29.5%55.7%46.4%6.9%-11.7%82.3K-782.3K-4.2K0.0048.711101,191633
2019-10-16$31.01$32.0046.9%13.4%29.8%53.1%47.9%5.7%-10.8%116.6K-1.0M-4.0K24.3341.0292191,193632
2019-10-17$31.10$32.0046.8%13.4%29.8%53.1%44.7%6.3%-10.4%94.6K-826.6K-4.2K0.0041.333101,202847
2019-10-18$31.46$32.0047.0%13.5%28.8%53.6%45.1%4.3%-11.1%62.7K-1.3M-3.9K0.0042.482501,186847
2019-10-21$32.14$32.0048.0%13.8%29.1%55.9%47.8%6.8%-9.5%18.0K-737.6K-3.7K0.4340.784419549329
2019-10-22$32.47$32.0049.1%14.1%29.0%58.4%48.6%6.4%-10.5%21.1K-859.5K-4.0K0.5049.37126593348
2019-10-23$31.48$32.0050.6%14.5%29.1%62.1%50.8%6.5%-11.6%18.3K-634.3K-4.0K3.6735.52622601344
2019-10-24$31.45$32.0051.4%14.7%29.0%64.1%50.5%8.0%-12.8%16.8K-598.6K-4.1K0.6834.942215606366
2019-10-25$31.46$31.0052.6%15.1%28.8%66.9%50.8%5.5%-13.0%19.4K-638.5K-4.1K0.0235.80581627360
2019-10-28$31.79$31.0057.8%16.6%28.9%79.2%58.4%5.4%-17.6%24.5K-796.0K-4.1K1.4331.97238341675361
2019-10-29$30.77$31.0030.8%8.8%30.2%14.8%31.2%3.9%-1.4%-5.9K-306.5K-4.9K0.7048.23182127891723
2019-10-30$30.55$31.0029.8%8.5%29.7%14.8%30.5%3.4%-0.7%-22.5K-155.7K-4.8K0.2960.24175900746
2019-10-31$30.71$31.0029.2%8.4%29.4%13.1%29.2%3.5%-0.7%-19.3K-277.1K-4.7K0.2453.076215900746