SANM Options History — January 2017

In January 2017, SANM traded between $34.55 and $38.95. ATM implied volatility averaged 45.0%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 19.8% (HV 20d: 25.2%). Max pain ranged from $29.00 to $38.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.97.

Notable Days

2017-01-27: Highest Volume — 2,582 contracts
2017-01-11: Largest IV spike — 69.8% change
2017-01-30: Highest IV Rank — 81.9%
2017-01-30: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.06	$34.55	$38.95	$35.95	$38.95
Max Pain	$37.15	$29.00	$38.00	$29.00	$38.00
ATM IV	45.0%	27.1%	60.7%	29.7%	28.6%
Expected Move	14.0%	7.9%	17.4%	8.5%	8.2%
HV 20d	25.2%	19.7%	32.9%	20.4%	32.9%
HV 60d	26.7%	25.3%	27.7%	26.8%	27.1%
IV Rank	48.5%	10.4%	81.9%	16.1%	13.7%
IV Percentile	74.8%	25.4%	98.8%	46.0%	36.5%
Term Structure	-8.2%	-17.9%	20.4%	16.2%	-0.2%
VWIV	49.2%	30.6%	61.0%	30.6%	30.6%
Skew 25d	4.2%	1.7%	6.9%	2.0%	4.2%
Skew 10d	8.3%	-9.2%	19.3%	-9.2%	10.0%
Call IV 25d	47.6%	27.4%	60.1%	30.1%	27.8%
Put IV 25d	51.8%	31.3%	62.7%	32.1%	32.0%
Bid-Ask Spread %	59.44	40.82	107.95	95.74	70.68
Gamma HHI	0.26	0.18	0.40	0.18	0.38
Net GEX	-745	-28.4K	179.0K	-752	179.0K
Net DEX	-971.1K	-3.1M	610.4K	-1.4M	-3.1M
Net VEX	-8.1K	-11.5K	-7.1K	-7.8K	-11.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.22	1.49	0.70	1.49
Total Volume	833.9	564	2,582	584	1,996
Total OI	2,380.45	1,631	3,926	2,224	3,926

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-01-03	$35.95	$29.00	29.7%	8.5%	20.4%	16.1%	30.6%	2.0%	16.2%	-752	-1.4M	-7.8K	0.70	95.74	344	240	1,156	1,068
2017-01-04	$36.55	$30.00	27.5%	7.9%	19.7%	11.3%	31.2%	3.9%	20.4%	943	-1.7M	-8.0K	0.78	107.95	338	262	1,171	1,083
2017-01-05	$35.50	$38.00	29.0%	14.0%	22.7%	14.6%	48.2%	1.7%	-9.4%	-4.2K	-1.3M	-7.8K	0.78	40.82	338	262	1,197	1,106
2017-01-06	$35.58	$38.00	27.1%	13.7%	20.3%	10.4%	47.7%	3.8%	-9.6%	-3.7K	-1.2M	-7.8K	0.74	41.36	346	256	1,198	1,107
2017-01-09	$35.33	$38.00	29.6%	13.9%	20.4%	15.7%	47.6%	4.3%	-9.3%	-6.7K	-1.1M	-7.5K	0.82	48.43	312	256	1,216	1,110
2017-01-10	$36.50	$38.00	29.7%	14.4%	23.5%	16.0%	49.1%	3.9%	-11.2%	-1.2K	-1.7M	-7.6K	1.14	55.47	320	365	1,221	1,108
2017-01-11	$36.20	$38.00	50.4%	14.4%	23.6%	59.9%	49.7%	3.9%	-9.7%	-13.5K	-1.3M	-8.2K	1.15	48.42	318	365	1,228	1,253
2017-01-12	$35.90	$38.00	50.5%	14.5%	23.9%	60.2%	48.2%	6.2%	-12.6%	-16.4K	-1.1M	-8.0K	1.12	48.98	328	366	1,235	1,255
2017-01-13	$36.50	$38.00	50.6%	14.5%	24.5%	60.3%	49.1%	4.8%	-12.1%	-10.1K	-1.5M	-8.3K	1.14	51.76	320	366	1,261	1,260
2017-01-17	$35.45	$38.00	52.5%	15.0%	26.2%	64.3%	51.6%	2.9%	-12.1%	-28.4K	-802.8K	-7.6K	1.10	52.24	325	359	1,220	1,260
2017-01-18	$35.78	$38.00	52.0%	14.9%	26.4%	63.4%	50.4%	4.2%	-11.0%	-19.1K	-877.7K	-7.5K	1.05	57.63	342	359	1,225	1,262
2017-01-19	$35.45	$38.00	53.8%	15.4%	26.6%	67.1%	51.8%	4.9%	-11.5%	-23.5K	-724.2K	-7.5K	1.13	58.17	351	395	1,261	1,262
2017-01-20	$35.35	$38.00	53.9%	15.5%	25.2%	67.4%	52.0%	3.5%	-13.1%	-21.7K	-662.3K	-7.4K	1.21	58.21	341	412	1,267	1,276
2017-01-23	$34.55	$38.00	53.5%	15.3%	26.0%	66.6%	61.0%	4.0%	-10.6%	-17.3K	610.4K	-7.1K	1.15	61.82	309	355	772	859
2017-01-24	$35.45	$38.00	54.6%	15.7%	27.4%	69.0%	55.6%	6.9%	-12.1%	-20.8K	295.4K	-7.7K	1.22	68.80	293	358	867	960
2017-01-25	$36.24	$38.00	54.9%	15.7%	28.5%	69.5%	56.4%	6.5%	-12.6%	-17.7K	-119.9K	-8.0K	0.81	56.50	312	252	906	961
2017-01-26	$35.98	$38.00	55.0%	15.8%	28.3%	69.7%	56.2%	4.2%	-12.2%	-17.6K	9.9K	-8.0K	0.72	65.01	344	247	926	994
2017-01-27	$36.75	$38.00	56.6%	16.2%	28.8%	73.1%	56.6%	4.9%	-14.2%	-20.0K	-299.0K	-8.1K	0.22	52.39	2,109	473	929	994
2017-01-30	$37.20	$38.00	60.7%	17.4%	28.9%	81.9%	60.5%	2.6%	-17.9%	47.8K	-1.4M	-11.5K	0.89	48.47	553	491	1,917	1,332
2017-01-31	$38.95	$38.00	28.6%	8.2%	32.9%	13.7%	30.6%	4.2%	-0.2%	179.0K	-3.1M	-11.0K	1.49	70.68	801	1,195	2,190	1,736