SANM Options History — April 2017

In April 2017, SANM traded between $37.35 and $40.30. ATM implied volatility averaged 37.3%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 16.5% (HV 20d: 20.8%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.31.

Notable Days

2017-04-28: Highest Volume — 4,649 contracts
2017-04-25: Largest IV drop — 45.8% change
2017-04-24: Highest IV Rank — 54.7%
2017-04-24: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.23	$37.35	$40.30	$39.85	$37.35
Max Pain	$39.74	$38.00	$41.00	$38.00	$40.00
ATM IV	37.3%	26.0%	47.9%	36.3%	27.3%
Expected Move	11.2%	7.4%	13.7%	10.4%	7.8%
HV 20d	20.8%	18.2%	26.1%	18.2%	26.1%
HV 60d	23.7%	22.3%	24.8%	24.5%	23.0%
IV Rank	32.3%	8.1%	54.7%	30.1%	10.9%
IV Percentile	65.1%	13.1%	86.5%	77.4%	31.3%
Term Structure	-3.5%	-10.3%	15.8%	7.4%	-0.6%
VWIV	40.0%	23.6%	50.1%	36.5%	24.0%
Skew 25d	2.8%	-3.4%	5.7%	1.4%	3.9%
Skew 10d	6.4%	-13.2%	17.3%	2.1%	1.3%
Call IV 25d	38.8%	25.8%	48.1%	34.7%	25.8%
Put IV 25d	41.6%	29.0%	52.5%	36.1%	29.7%
Bid-Ask Spread %	65.45	45.45	110.45	101.42	82.22
Gamma HHI	0.22	0.11	0.53	0.17	0.11
Net GEX	-69.2K	-401.0K	46.5K	46.5K	-61.2K
Net DEX	-214.7K	-1.8M	2.5M	-1.8M	685.1K
Net VEX	-9.9K	-13.7K	-7.1K	-8.1K	-10.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.56	4.68	1.08	1.14
Total Volume	1,678.789	707	4,649	707	4,649
Total OI	3,331.632	1,882	4,787	1,882	4,565

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
2017-04-03	$39.85	$38.00	36.3%	10.4%	18.2%	30.1%	36.5%	1.4%	7.4%	46.5K	-1.8M	-8.1K	1.08	101.42	340	367	1,202	680
2017-04-04	$40.30	$38.00	38.9%	11.1%	18.6%	35.5%	38.7%	-3.4%	4.5%	32.1K	-1.7M	-8.9K	1.06	105.87	345	367	1,221	856
2017-04-05	$39.67	$38.00	26.0%	7.5%	19.2%	8.2%	27.2%	0.9%	15.8%	27.4K	-1.4M	-8.6K	1.03	110.45	832	856	1,247	856
2017-04-06	$40.00	$40.00	30.3%	11.7%	19.2%	17.3%	41.1%	4.6%	-5.3%	12.7K	-1.3M	-11.3K	1.21	54.81	715	862	1,679	1,309
2017-04-07	$40.05	$40.00	32.6%	11.7%	18.9%	22.2%	41.8%	2.4%	-4.1%	7.4K	-1.5M	-11.2K	1.18	56.24	720	848	1,680	1,316
2017-04-10	$39.40	$40.00	38.2%	12.3%	19.6%	34.1%	43.0%	2.4%	-7.3%	5.5K	-924.9K	-10.4K	0.57	57.98	757	428	1,685	1,322
2017-04-11	$39.65	$40.00	33.7%	12.5%	19.3%	24.5%	44.0%	4.4%	-7.4%	-10.4K	-849.2K	-10.1K	0.69	55.43	744	517	1,685	1,332
2017-04-12	$38.70	$40.00	43.7%	12.5%	19.8%	45.8%	44.6%	2.8%	-7.9%	-34.2K	-133.2K	-9.7K	0.63	50.13	702	441	1,686	1,424
2017-04-13	$38.67	$40.00	42.8%	12.3%	19.7%	43.9%	44.7%	2.1%	-6.6%	-47.2K	44.7K	-9.2K	0.56	55.81	729	411	1,694	1,426
2017-04-17	$38.55	$40.00	46.3%	13.3%	19.7%	51.3%	46.8%	2.4%	-8.5%	-8.1K	60.5K	-8.8K	0.56	60.59	747	415	1,714	1,441
2017-04-18	$39.13	$40.00	45.7%	13.1%	20.5%	50.0%	46.9%	4.0%	-8.6%	-157.2K	329.8K	-7.6K	0.57	47.14	746	424	1,740	1,443
2017-04-19	$39.65	$40.00	46.0%	13.2%	19.0%	50.6%	46.7%	5.0%	-10.3%	-209.9K	-231.5K	-7.4K	0.59	48.01	745	436	1,740	1,467
2017-04-20	$39.92	$40.00	46.5%	13.3%	18.3%	51.6%	49.4%	5.7%	-9.3%	-248.9K	-819.5K	-7.1K	1.88	51.06	747	1,402	1,738	1,479
2017-04-21	$38.90	$40.00	46.7%	13.4%	20.5%	52.2%	48.0%	0.3%	-10.1%	-401.0K	2.5M	-9.8K	1.24	45.45	1,365	1,689	1,747	2,483
2017-04-24	$40.00	$40.00	47.9%	13.7%	22.9%	54.7%	50.1%	5.5%	-8.4%	-51.4K	115.5K	-13.7K	1.23	49.00	872	1,070	1,291	2,364
2017-04-25	$38.88	$41.00	26.0%	7.4%	25.0%	8.1%	37.7%	4.0%	0.4%	-121.4K	1.5M	-13.5K	2.55	81.71	465	1,187	1,930	2,857
2017-04-26	$38.28	$40.00	27.3%	7.8%	25.5%	10.8%	24.7%	1.8%	-0.5%	-89.5K	1.2M	-11.8K	4.68	46.61	350	1,639	2,038	2,621
2017-04-27	$38.50	$40.00	27.3%	7.8%	25.6%	10.9%	23.6%	2.9%	-0.6%	-6.2K	20.7K	-10.4K	2.52	83.67	559	1,409	2,053	2,290
2017-04-28	$37.35	$40.00	27.3%	7.8%	26.1%	10.9%	24.0%	3.9%	-0.6%	-61.2K	685.1K	-10.4K	1.14	82.22	2,172	2,477	2,281	2,284