SANM Options History — February 2017

In February 2017, SANM traded between $38.98 and $41.08. ATM implied volatility averaged 27.4%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.2% (HV 20d: 27.2%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.08.

Notable Days

2017-02-01: Highest Volume — 2,168 contracts
2017-02-06: Largest IV spike — 9.8% change
2017-02-06: Highest IV Rank — 14.1%
2017-02-06: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.19	$38.98	$41.08	$39.23	$38.98
Max Pain	$38.32	$37.00	$40.00	$38.00	$40.00
ATM IV	27.4%	25.9%	28.8%	28.1%	28.6%
Expected Move	7.9%	7.4%	8.2%	8.1%	8.2%
HV 20d	27.2%	21.7%	32.1%	32.1%	27.8%
HV 60d	26.1%	25.0%	27.1%	27.1%	26.4%
IV Rank	11.2%	8.0%	14.1%	12.7%	13.8%
IV Percentile	29.5%	11.9%	44.0%	33.3%	44.0%
Term Structure	2.0%	0.2%	3.4%	0.2%	1.4%
VWIV	29.0%	27.4%	31.1%	29.2%	30.4%
Skew 25d	2.5%	1.2%	3.4%	1.2%	2.9%
Skew 10d	6.9%	-3.2%	14.9%	8.2%	1.7%
Call IV 25d	27.7%	26.3%	29.2%	29.2%	28.8%
Put IV 25d	30.2%	28.8%	31.8%	30.4%	31.8%
Bid-Ask Spread %	74.91	50.69	97.99	94.81	87.49
Gamma HHI	0.29	0.14	0.45	0.36	0.14
Net GEX	407.2K	18.8K	1.1M	153.7K	18.8K
Net DEX	-4.8M	-8.4M	-1.4M	-3.4M	-1.4M
Net VEX	-8.9K	-11.7K	-6.7K	-11.3K	-8.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.46	1.32	0.94	0.74
Total Volume	1,030.316	567	2,168	2,168	725
Total OI	3,674.526	1,643	4,909	4,166	2,000

Daily Data (19 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
2017-02-01	$39.23	$38.00	28.1%	8.1%	32.1%	12.7%	29.2%	1.2%	0.2%	153.7K	-3.4M	-11.3K	0.94	94.81	1,119	1,049	2,256	1,910
2017-02-02	$39.80	$37.00	27.7%	8.1%	32.0%	11.8%	31.1%	3.4%	2.4%	423.8K	-5.3M	-11.7K	0.46	50.98	1,189	543	2,847	1,462
2017-02-03	$40.50	$37.00	26.2%	8.0%	29.8%	8.6%	29.4%	2.6%	1.8%	492.3K	-6.4M	-11.7K	1.09	70.22	563	615	2,879	1,526
2017-02-06	$40.08	$37.00	28.8%	8.2%	30.4%	14.1%	29.5%	2.9%	0.4%	522.0K	-6.1M	-10.6K	1.07	60.73	581	624	2,963	1,513
2017-02-07	$39.90	$38.00	27.9%	8.1%	30.2%	12.1%	30.0%	1.6%	1.0%	507.1K	-5.5M	-11.2K	1.25	58.10	490	613	2,997	1,586
2017-02-08	$39.40	$38.00	28.1%	8.1%	29.2%	12.6%	29.3%	1.8%	1.3%	494.4K	-4.6M	-10.5K	1.27	50.69	484	614	2,983	1,614
2017-02-09	$39.75	$38.00	26.9%	7.7%	28.9%	10.2%	29.1%	1.7%	3.4%	575.8K	-5.1M	-10.4K	1.13	65.59	452	509	3,005	1,622
2017-02-10	$40.17	$38.00	27.7%	7.9%	28.6%	11.8%	28.1%	3.1%	2.9%	691.7K	-6.0M	-9.9K	1.15	65.34	443	509	3,021	1,624
2017-02-13	$40.70	$38.00	27.3%	7.8%	28.4%	10.9%	29.3%	2.9%	2.2%	847.5K	-7.4M	-8.0K	1.16	67.22	439	509	3,021	1,624
2017-02-14	$40.38	$39.00	27.6%	7.9%	25.9%	11.5%	29.7%	3.2%	3.2%	847.0K	-6.5M	-7.7K	1.32	80.99	390	513	2,955	1,626
2017-02-15	$41.08	$38.00	26.6%	7.6%	26.1%	9.4%	27.9%	3.1%	3.1%	818.5K	-8.4M	-6.8K	1.28	76.21	384	490	2,944	1,632
2017-02-16	$40.55	$38.00	25.9%	7.4%	26.5%	8.0%	27.4%	2.5%	3.4%	1.1M	-7.1M	-6.7K	1.19	78.60	563	668	2,938	1,635
2017-02-17	$40.50	$39.00	27.4%	7.9%	26.4%	11.1%	28.0%	3.1%	1.4%	35.2K	-7.2M	-7.4K	1.25	71.51	535	670	3,095	1,814
2017-02-21	$40.48	$39.00	27.2%	7.8%	24.1%	10.7%	28.9%	1.9%	2.9%	37.0K	-2.1M	-7.3K	1.13	88.59	266	301	1,026	617
2017-02-22	$40.48	$39.00	27.8%	8.0%	23.3%	12.0%	29.2%	2.9%	1.8%	37.2K	-2.1M	-7.3K	1.12	97.99	284	318	1,042	624
2017-02-23	$40.55	$39.00	26.6%	7.6%	22.7%	9.4%	28.0%	2.2%	2.4%	39.3K	-2.1M	-7.3K	0.89	84.42	353	314	1,056	636
2017-02-24	$40.40	$39.00	27.6%	7.9%	22.4%	11.6%	28.7%	1.6%	1.3%	47.8K	-2.3M	-7.9K	0.85	82.16	398	338	1,163	669
2017-02-27	$40.75	$39.00	27.1%	7.8%	21.7%	10.6%	29.0%	3.0%	1.6%	49.1K	-2.5M	-7.8K	1.19	91.61	329	392	1,184	707
2017-02-28	$38.98	$40.00	28.6%	8.2%	27.8%	13.8%	30.4%	2.9%	1.4%	18.8K	-1.4M	-8.3K	0.74	87.49	417	308	1,230	770