SANM Options History — February 2018

In February 2018, SANM traded between $25.75 and $27.75. ATM implied volatility averaged 32.8%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 44.6% (HV 20d: 77.3%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.78.

Notable Days

2018-02-05: Highest Volume — 1,857 contracts
2018-02-07: Largest IV drop — 24.8% change
2018-02-06: Highest IV Rank — 64.4%
2018-02-09: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.62	$25.75	$27.75	$27.08	$27.63
Max Pain	$27.37	$27.00	$28.00	$28.00	$27.00
ATM IV	32.8%	27.9%	44.2%	30.8%	29.4%
Expected Move	9.2%	8.0%	11.0%	8.4%	8.4%
HV 20d	77.3%	27.5%	102.3%	101.7%	27.5%
HV 60d	62.9%	62.4%	63.2%	62.8%	63.1%
IV Rank	27.8%	12.2%	64.4%	21.3%	17.1%
IV Percentile	63.8%	38.9%	85.3%	64.3%	54.8%
Term Structure	0.9%	-1.9%	3.5%	1.4%	2.7%
VWIV	33.5%	30.0%	37.1%	33.8%	35.4%
Skew 25d	4.2%	2.0%	6.4%	3.7%	4.0%
Skew 10d	15.9%	5.9%	25.8%	18.1%	22.8%
Call IV 25d	30.9%	27.7%	35.6%	28.3%	28.8%
Put IV 25d	35.1%	31.9%	41.0%	32.0%	32.8%
Bid-Ask Spread %	65.93	26.97	93.44	45.86	73.24
Gamma HHI	0.24	0.16	0.40	0.19	0.17
Net GEX	-70.4K	-137.5K	-8.3K	-35.0K	-13.6K
Net DEX	945.9K	-196.3K	2.2M	300.2K	-68.9K
Net VEX	-8.6K	-10.1K	-7.3K	-8.9K	-8.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.73	3.59	2.13	1.23
Total Volume	1,037.789	487	1,857	1,420	795
Total OI	4,031.316	2,435	4,950	4,379	2,941

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
2018-02-01	$27.08	$28.00	30.8%	8.4%	101.7%	21.3%	33.8%	3.7%	1.4%	-35.0K	300.2K	-8.9K	2.13	45.86	453	967	1,894	2,485
2018-02-02	$26.90	$28.00	31.9%	8.8%	101.5%	25.1%	33.2%	2.0%	0.9%	-50.1K	562.4K	-9.8K	2.98	49.18	439	1,310	1,919	2,631
2018-02-05	$25.75	$28.00	39.0%	10.4%	101.9%	47.7%	36.1%	3.4%	-1.6%	-137.5K	2.2M	-10.1K	2.95	67.01	470	1,387	1,926	2,933
2018-02-06	$25.75	$28.00	44.2%	10.3%	101.7%	64.4%	37.1%	2.9%	-1.9%	-120.5K	2.0M	-10.1K	3.54	46.69	329	1,163	1,966	2,875
2018-02-07	$26.20	$28.00	33.3%	9.5%	102.3%	29.4%	34.4%	3.6%	-0.9%	-108.3K	1.5M	-9.7K	3.59	56.50	328	1,177	1,982	2,864
2018-02-08	$26.03	$28.00	34.8%	10.0%	102.2%	34.4%	35.4%	6.4%	0.7%	-110.2K	1.6M	-9.7K	2.21	49.65	359	794	2,020	2,860
2018-02-09	$26.10	$27.00	38.4%	11.0%	102.0%	45.6%	35.9%	5.5%	-0.5%	-104.1K	1.6M	-9.7K	1.74	36.90	363	630	2,049	2,873
2018-02-12	$26.03	$27.00	34.9%	10.0%	101.7%	34.7%	34.6%	4.1%	-0.1%	-123.3K	1.7M	-8.9K	1.62	66.67	386	624	2,044	2,870
2018-02-13	$26.10	$27.00	35.9%	10.3%	101.8%	37.7%	33.9%	5.6%	-1.6%	-128.5K	1.6M	-8.5K	1.60	50.70	360	576	2,076	2,874
2018-02-14	$26.43	$27.00	33.1%	9.5%	101.8%	28.7%	32.0%	4.2%	0.4%	-88.7K	1.1M	-8.1K	1.54	90.33	365	563	2,079	2,868
2018-02-15	$26.95	$27.00	30.4%	8.7%	102.2%	20.4%	30.0%	4.8%	2.1%	-52.5K	489.1K	-7.9K	1.46	89.38	377	551	2,085	2,863
2018-02-16	$26.63	$28.00	30.0%	8.6%	101.7%	18.9%	30.2%	4.4%	3.1%	-59.5K	960.1K	-7.5K	1.22	90.58	456	556	2,050	2,868
2018-02-20	$26.65	$27.00	31.1%	8.9%	37.0%	22.3%	31.7%	4.9%	1.2%	-51.6K	781.3K	-7.3K	0.95	26.97	250	237	930	1,505
2018-02-21	$26.73	$27.00	30.9%	8.9%	37.1%	21.8%	30.7%	2.9%	0.4%	-50.3K	698.7K	-7.3K	0.73	76.83	327	238	949	1,501
2018-02-22	$26.55	$27.00	29.8%	8.6%	36.5%	18.4%	31.2%	4.1%	2.1%	-44.3K	716.4K	-7.4K	0.88	92.03	279	245	1,026	1,508
2018-02-23	$26.73	$27.00	27.9%	8.0%	36.3%	12.2%	31.8%	4.2%	3.5%	-37.0K	602.9K	-7.4K	0.87	93.44	388	336	1,084	1,511
2018-02-26	$27.70	$27.00	28.0%	8.0%	36.4%	12.6%	32.8%	4.5%	2.1%	-13.8K	-133.7K	-8.1K	1.24	81.29	353	436	1,199	1,620
2018-02-27	$27.75	$27.00	28.8%	8.2%	36.1%	15.0%	35.8%	5.0%	3.2%	-8.3K	-196.3K	-8.3K	1.34	69.32	364	487	1,250	1,617
2018-02-28	$27.63	$27.00	29.4%	8.4%	27.5%	17.1%	35.4%	4.0%	2.7%	-13.6K	-68.9K	-8.4K	1.23	73.24	357	438	1,271	1,670