SANM Options History — September 2017

In September 2017, SANM traded between $36.05 and $38.00. ATM implied volatility averaged 28.1%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.5% (HV 20d: 19.7%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.49.

Notable Days

2017-09-12: Highest Volume — 759 contracts
2017-09-11: Largest IV spike — 20.3% change
2017-09-11: Highest IV Rank — 24.9%
2017-09-07: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.99	$36.05	$38.00	$37.63	$37.20
Max Pain	$37.05	$37.00	$38.00	$38.00	$37.00
ATM IV	28.1%	25.7%	33.9%	25.7%	27.3%
Expected Move	7.9%	7.4%	8.4%	7.4%	7.8%
HV 20d	19.7%	14.2%	22.6%	21.5%	22.6%
HV 60d	37.0%	35.4%	38.1%	38.1%	35.8%
IV Rank	12.7%	7.5%	24.9%	7.5%	10.9%
IV Percentile	36.7%	7.1%	71.4%	7.1%	23.0%
Term Structure	8.1%	1.6%	13.6%	1.6%	13.6%
VWIV	27.0%	24.4%	31.9%	25.2%	25.9%
Skew 25d	2.7%	1.9%	3.6%	2.1%	3.0%
Skew 10d	6.1%	-3.8%	15.5%	4.7%	-2.9%
Call IV 25d	27.0%	25.9%	28.2%	25.9%	27.1%
Put IV 25d	29.7%	28.0%	31.0%	28.0%	30.1%
Bid-Ask Spread %	50.64	34.67	96.08	44.04	69.42
Gamma HHI	0.22	0.16	0.53	0.18	0.23
Net GEX	27.5K	-137.6K	65.5K	46.3K	60.0K
Net DEX	-545.1K	-1.0M	196.2K	-797.1K	-772.1K
Net VEX	-7.3K	-8.7K	-6.4K	-8.7K	-6.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.37	0.72	0.44	0.37
Total Volume	623.35	556	759	613	573
Total OI	1,619.65	1,380	1,882	1,781	1,457

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
2017-09-01	$37.63	$38.00	25.7%	7.4%	21.5%	7.5%	25.2%	2.1%	1.6%	46.3K	-797.1K	-8.7K	0.44	44.04	425	188	1,220	561
2017-09-05	$37.08	$37.00	29.5%	8.2%	22.3%	15.7%	28.3%	2.9%	4.6%	33.1K	-481.0K	-8.2K	0.44	37.14	423	187	1,217	561
2017-09-06	$36.63	$37.00	29.2%	8.1%	22.6%	14.9%	27.1%	2.7%	5.1%	22.0K	-217.9K	-7.7K	0.45	36.82	432	195	1,219	563
2017-09-07	$36.42	$37.00	29.1%	8.4%	21.9%	14.7%	27.7%	2.4%	3.4%	8.1K	-41.1K	-7.5K	0.48	38.48	428	205	1,219	583
2017-09-08	$36.08	$37.00	28.2%	8.1%	21.4%	12.8%	28.0%	3.2%	5.2%	1.4K	196.2K	-7.0K	0.58	53.72	440	254	1,219	585
2017-09-11	$36.48	$37.00	33.9%	8.3%	21.6%	24.9%	26.9%	2.8%	4.9%	1.3K	-65.1K	-7.7K	0.71	44.07	443	314	1,267	615
2017-09-12	$36.90	$37.00	30.3%	8.1%	20.0%	17.3%	27.6%	2.6%	5.2%	17.6K	-516.0K	-7.6K	0.71	36.89	443	316	1,268	535
2017-09-13	$36.80	$37.00	27.9%	8.0%	19.8%	12.3%	27.4%	2.8%	6.0%	11.6K	-488.2K	-7.5K	0.72	34.67	440	316	1,268	530
2017-09-14	$36.83	$37.00	26.7%	7.7%	19.7%	9.6%	25.9%	2.7%	5.8%	-1.1K	-461.4K	-7.4K	0.65	45.87	434	282	1,272	531
2017-09-15	$37.05	$37.00	26.1%	7.5%	14.2%	8.5%	25.5%	2.8%	7.1%	-137.6K	-678.9K	-7.2K	0.50	43.08	420	208	1,268	529
2017-09-18	$37.50	$37.00	27.9%	8.0%	14.3%	12.2%	28.2%	2.4%	10.5%	53.7K	-921.7K	-7.4K	0.46	71.71	382	175	1,017	363
2017-09-19	$38.00	$37.00	27.7%	8.0%	14.8%	11.9%	26.7%	2.3%	9.1%	57.4K	-1.0M	-7.5K	0.46	35.66	381	175	1,028	385
2017-09-20	$37.38	$37.00	27.9%	8.0%	15.8%	12.2%	31.9%	1.9%	11.3%	52.9K	-816.4K	-7.3K	0.44	96.08	390	172	1,034	385
2017-09-21	$36.90	$37.00	27.3%	7.8%	16.7%	11.0%	25.7%	2.5%	10.0%	50.4K	-598.7K	-7.1K	0.44	44.77	400	175	1,044	387
2017-09-22	$37.33	$37.00	26.5%	7.6%	17.0%	9.2%	24.4%	2.3%	11.6%	59.7K	-789.8K	-7.2K	0.43	45.27	404	175	1,064	390
2017-09-25	$36.05	$37.00	28.5%	8.2%	21.2%	13.6%	27.6%	3.3%	12.3%	41.8K	-288.1K	-6.4K	0.38	80.15	407	156	1,064	390
2017-09-26	$36.58	$37.00	28.2%	8.1%	21.8%	12.9%	27.4%	3.6%	10.4%	48.2K	-465.5K	-6.5K	0.38	67.35	411	156	1,057	390
2017-09-27	$37.15	$37.00	27.5%	7.9%	21.8%	11.3%	26.2%	2.3%	12.0%	58.6K	-720.5K	-6.8K	0.38	40.40	415	156	1,062	390
2017-09-28	$37.75	$37.00	27.1%	7.8%	22.3%	10.5%	26.8%	3.3%	13.0%	65.5K	-945.1K	-7.0K	0.38	47.13	415	156	1,066	390
2017-09-29	$37.20	$37.00	27.3%	7.8%	22.6%	10.9%	25.9%	3.0%	13.6%	60.0K	-772.1K	-6.8K	0.37	69.42	417	156	1,067	390