SANM Options History — September 2018

In September 2018, SANM traded between $27.58 and $30.25. ATM implied volatility averaged 25.1%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 9.8% (HV 20d: 15.3%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.72.

Notable Days

2018-09-28: Highest Volume — 629 contracts
2018-09-10: Largest IV drop — 5.1% change
2018-09-07: Highest IV Rank — 8.8%
2018-09-05: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.12	$27.58	$30.25	$30.25	$27.70
Max Pain	$29.63	$26.00	$30.00	$26.00	$30.00
ATM IV	25.1%	24.3%	26.3%	25.4%	24.5%
Expected Move	7.2%	7.0%	7.5%	7.3%	7.0%
HV 20d	15.3%	13.0%	18.4%	15.0%	18.4%
HV 60d	19.8%	18.7%	20.5%	19.8%	19.7%
IV Rank	5.6%	3.2%	8.8%	6.4%	3.8%
IV Percentile	14.1%	7.1%	25.8%	14.7%	9.1%
Term Structure	6.4%	-1.2%	13.1%	0.5%	13.0%
VWIV	23.5%	18.7%	27.9%	26.6%	18.7%
Skew 25d	2.1%	-0.5%	3.5%	-0.5%	2.7%
Skew 10d	7.1%	-1.7%	15.3%	12.7%	14.7%
Call IV 25d	24.4%	22.3%	26.4%	26.4%	23.8%
Put IV 25d	26.5%	25.6%	27.8%	25.8%	26.4%
Bid-Ask Spread %	27.26	13.48	76.93	49.90	16.65
Gamma HHI	0.18	0.13	0.24	0.23	0.15
Net GEX	-2.9K	-43.5K	39.2K	39.2K	-43.5K
Net DEX	39.0K	-532.9K	731.4K	-532.9K	682.4K
Net VEX	-3.5K	-3.7K	-3.2K	-3.7K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.39	1.11	0.81	0.39
Total Volume	423.737	278	629	278	629
Total OI	1,630.895	1,399	1,815	1,399	1,810

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
2018-09-04	$30.25	$26.00	25.4%	7.3%	15.0%	6.4%	26.6%	-0.5%	0.5%	39.2K	-532.9K	-3.7K	0.81	49.90	154	124	805	594
2018-09-05	$30.13	$27.00	26.2%	7.5%	13.0%	8.4%	26.3%	2.9%	-1.2%	35.4K	-462.7K	-3.7K	0.77	33.42	161	124	818	618
2018-09-06	$29.75	$30.00	25.6%	7.1%	13.7%	6.7%	27.9%	2.3%	3.8%	27.7K	-336.0K	-3.6K	0.77	76.93	162	124	826	618
2018-09-07	$29.50	$30.00	26.3%	7.3%	13.9%	8.8%	25.8%	1.8%	4.6%	16.9K	-209.1K	-3.5K	0.83	22.84	155	129	827	640
2018-09-10	$29.78	$30.00	25.0%	7.1%	14.0%	5.2%	24.2%	2.9%	4.8%	23.9K	-274.4K	-3.4K	0.77	27.06	175	134	829	640
2018-09-11	$29.73	$30.00	25.3%	7.0%	14.0%	5.9%	24.3%	1.9%	4.9%	18.8K	-228.7K	-3.7K	0.73	21.85	175	128	862	694
2018-09-12	$29.80	$30.00	25.3%	7.2%	13.9%	5.9%	25.6%	2.3%	5.1%	22.1K	-252.5K	-3.7K	1.03	21.24	184	190	862	694
2018-09-13	$29.83	$30.00	24.3%	7.0%	13.7%	3.2%	24.2%	2.5%	5.7%	22.0K	-257.0K	-3.6K	1.11	27.68	168	186	859	709
2018-09-14	$29.75	$30.00	24.9%	7.1%	13.7%	5.0%	24.2%	2.3%	5.2%	16.7K	-212.4K	-3.6K	0.69	21.41	269	186	872	735
2018-09-17	$29.13	$30.00	26.0%	7.5%	15.2%	7.9%	25.1%	0.9%	4.4%	-8.9K	41.6K	-3.4K	0.98	28.46	269	263	911	735
2018-09-18	$28.65	$30.00	24.7%	7.1%	15.9%	4.4%	24.8%	1.8%	4.3%	-30.4K	250.7K	-3.2K	0.70	16.31	280	195	911	771
2018-09-19	$28.58	$30.00	25.0%	7.2%	14.5%	5.1%	22.4%	3.5%	5.0%	-34.8K	355.1K	-3.5K	0.69	13.85	281	195	942	826
2018-09-20	$28.85	$30.00	25.3%	7.2%	15.2%	6.0%	20.8%	2.1%	4.9%	-31.0K	230.1K	-3.5K	0.69	19.12	281	195	942	826
2018-09-21	$29.15	$30.00	24.3%	7.0%	15.9%	3.4%	21.1%	2.4%	5.5%	-16.9K	98.3K	-3.5K	0.59	13.48	355	208	942	826
2018-09-24	$29.20	$30.00	24.9%	7.1%	16.0%	4.8%	21.6%	3.3%	13.1%	-11.6K	116.8K	-3.5K	0.76	20.28	217	165	819	809
2018-09-25	$28.28	$30.00	25.5%	7.3%	18.4%	6.5%	22.1%	1.0%	12.3%	-21.6K	384.3K	-3.7K	0.49	31.91	355	175	942	843
2018-09-26	$27.65	$30.00	24.7%	7.1%	18.0%	4.4%	22.4%	-0.0%	13.1%	-36.2K	616.1K	-3.4K	0.49	39.04	355	175	972	843
2018-09-27	$27.58	$30.00	24.6%	7.0%	18.1%	4.0%	18.9%	3.5%	13.1%	-43.3K	731.4K	-3.2K	0.49	16.47	355	175	972	843
2018-09-28	$27.70	$30.00	24.5%	7.0%	18.4%	3.8%	18.7%	2.7%	13.0%	-43.5K	682.4K	-3.2K	0.39	16.65	454	175	972	838