SANM Options History — July 2017

In July 2017, SANM traded between $35.88 and $42.83. ATM implied volatility averaged 40.5%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 2.0% (HV 20d: 38.5%). Max pain ranged from $35.00 to $42.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.21.

Notable Days

2017-07-25: Highest Volume — 1,441 contracts
2017-07-25: Largest IV drop — 39.0% change
2017-07-05: Highest IV Rank — 50.8%
2017-07-05: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.11	$35.88	$42.83	$38.95	$35.98
Max Pain	$37.80	$35.00	$42.00	$37.00	$38.00
ATM IV	40.5%	27.2%	46.1%	45.3%	29.0%
Expected Move	11.6%	7.8%	13.2%	13.0%	8.3%
HV 20d	38.5%	31.2%	56.4%	32.8%	54.9%
HV 60d	30.9%	27.4%	39.1%	27.9%	38.9%
IV Rank	38.9%	10.7%	50.8%	49.1%	14.5%
IV Percentile	73.4%	32.1%	84.1%	82.9%	56.7%
Term Structure	-6.5%	-10.6%	0.3%	-1.4%	-0.2%
VWIV	41.5%	26.7%	49.4%	42.4%	29.7%
Skew 25d	4.1%	1.5%	10.3%	4.3%	2.5%
Skew 10d	11.1%	-6.9%	49.7%	4.7%	0.6%
Call IV 25d	39.4%	28.6%	44.5%	38.7%	29.1%
Put IV 25d	43.5%	30.3%	51.2%	43.1%	31.7%
Bid-Ask Spread %	45.10	22.02	108.44	102.49	44.14
Gamma HHI	0.20	0.12	0.36	0.22	0.14
Net GEX	27.2K	-14.2K	91.3K	-1.9K	24.1K
Net DEX	-1.2M	-3.0M	732.9K	-954.7K	245.3K
Net VEX	-5.5K	-7.9K	-3.9K	-6.4K	-7.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.61	1.57	1.40	1.57
Total Volume	997.35	832	1,441	915	832
Total OI	1,969.4	731	2,328	1,993	2,124

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
2017-07-03	$38.95	$37.00	45.3%	13.0%	32.8%	49.1%	42.4%	4.3%	-1.4%	-1.9K	-954.7K	-6.4K	1.40	102.49	381	534	923	1,070
2017-07-05	$38.30	$37.00	46.1%	13.2%	33.4%	50.8%	49.4%	10.3%	-1.8%	-2.3K	-600.2K	-6.4K	1.45	108.44	381	554	965	1,071
2017-07-06	$37.48	$35.00	44.5%	12.8%	34.3%	47.5%	45.0%	4.2%	-8.1%	-14.2K	-389.6K	-6.3K	1.46	30.35	379	554	965	1,076
2017-07-07	$38.13	$35.00	42.9%	12.5%	33.0%	44.1%	44.4%	4.5%	-9.4%	514	-758.0K	-6.2K	1.46	27.34	380	554	965	1,076
2017-07-10	$38.83	$35.00	45.3%	12.4%	32.7%	49.2%	45.5%	4.5%	-7.6%	9.5K	-1.1M	-5.8K	1.36	38.87	400	544	966	1,076
2017-07-11	$38.98	$35.00	45.6%	12.7%	32.4%	49.8%	47.5%	5.7%	-9.7%	13.3K	-1.1M	-5.5K	1.37	26.70	383	526	965	1,086
2017-07-12	$39.78	$35.00	43.2%	12.4%	33.1%	44.6%	46.3%	6.0%	-7.6%	24.2K	-1.6M	-5.0K	1.26	31.79	408	516	963	1,088
2017-07-13	$39.50	$35.00	43.2%	12.4%	33.2%	44.7%	46.1%	3.3%	-7.5%	34.9K	-1.6M	-5.0K	1.30	27.70	406	526	991	1,088
2017-07-14	$40.30	$35.00	43.2%	12.4%	33.6%	44.7%	44.2%	4.7%	-8.2%	53.8K	-2.1M	-4.4K	1.41	25.96	387	546	998	1,088
2017-07-17	$41.28	$39.00	43.9%	12.6%	33.3%	46.1%	44.0%	3.8%	-8.7%	61.5K	-2.5M	-4.0K	1.33	30.24	404	536	1,023	1,108
2017-07-18	$40.88	$39.00	45.4%	13.0%	33.6%	49.4%	47.4%	4.7%	-10.6%	91.3K	-2.6M	-3.9K	1.27	24.29	425	538	1,055	1,118
2017-07-19	$41.50	$39.00	45.0%	12.9%	32.4%	48.6%	46.2%	4.0%	-10.0%	55.6K	-3.0M	-4.0K	1.34	22.02	415	556	1,075	1,120
2017-07-20	$41.73	$40.00	44.8%	12.8%	31.6%	48.1%	45.6%	3.1%	-9.9%	52.9K	-3.0M	-4.2K	1.16	34.93	482	557	1,114	1,145
2017-07-21	$41.40	$40.00	45.1%	12.9%	31.9%	48.7%	44.9%	4.0%	-9.8%	38.2K	-3.0M	-4.5K	1.28	26.48	446	571	1,182	1,146
2017-07-24	$42.83	$42.00	44.6%	12.8%	31.2%	47.6%	46.2%	4.1%	-8.3%	38.9K	-1.3M	-4.7K	0.62	29.46	597	373	600	131
2017-07-25	$37.67	$42.00	27.2%	7.8%	56.4%	10.7%	26.7%	2.5%	-6.9%	25.8K	170.7K	-5.8K	0.61	33.87	893	548	999	502
2017-07-26	$36.25	$40.00	29.6%	8.5%	56.1%	15.7%	30.0%	2.2%	-3.2%	2.0K	732.9K	-5.5K	0.72	87.30	723	522	1,012	588
2017-07-27	$36.45	$40.00	28.4%	8.2%	55.3%	13.4%	29.1%	1.5%	-1.1%	16.0K	542.2K	-6.6K	0.90	62.86	588	529	1,166	640
2017-07-28	$35.88	$38.00	27.6%	7.9%	55.0%	11.5%	28.8%	1.6%	0.3%	20.5K	353.3K	-7.8K	1.01	86.78	524	529	1,419	701
2017-07-31	$35.98	$38.00	29.0%	8.3%	54.9%	14.5%	29.7%	2.5%	-0.2%	24.1K	245.3K	-7.9K	1.57	44.14	324	508	1,424	700