SANM Options History — December 2018

In December 2018, SANM traded between $22.54 and $27.40. ATM implied volatility averaged 37.7%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 6.8% (HV 20d: 30.9%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 5.46.

Notable Days

2018-12-21: Highest Volume — 375 contracts
2018-12-10: Largest IV spike — 19.5% change
2018-12-24: Highest IV Rank — 48.4%
2018-12-24: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.62	$22.54	$27.40	$27.40	$23.96
Max Pain	$26.50	$25.00	$27.00	$26.00	$25.00
ATM IV	37.7%	30.4%	44.1%	30.4%	40.0%
Expected Move	10.6%	8.7%	12.6%	8.7%	11.5%
HV 20d	30.9%	24.5%	37.4%	24.5%	35.5%
HV 60d	34.3%	32.1%	36.3%	32.1%	36.0%
IV Rank	33.7%	17.0%	48.4%	17.0%	38.9%
IV Percentile	71.6%	49.2%	82.5%	49.2%	75.8%
Term Structure	3.9%	-3.5%	30.9%	-0.4%	8.6%
VWIV	37.5%	28.4%	47.1%	32.4%	41.1%
Skew 25d	4.4%	2.2%	10.0%	5.0%	5.5%
Skew 10d	10.6%	-20.8%	24.8%	-20.8%	19.7%
Call IV 25d	35.3%	27.4%	44.0%	27.4%	39.1%
Put IV 25d	39.7%	32.3%	47.6%	32.3%	44.5%
Bid-Ask Spread %	89.15	79.41	109.47	100.62	86.44
Gamma HHI	0.15	0.12	0.25	0.15	0.25
Net GEX	-8.3K	-23.5K	18.9K	13.3K	18.9K
Net DEX	399.3K	-431.7K	903.1K	-431.7K	274.9K
Net VEX	-3.4K	-4.3K	-2.6K	-3.2K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.46	0.00	25.30	25.30	0.11
Total Volume	141.2	0	375	197	0
Total OI	1,600.6	1,302	1,901	1,302	1,901

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
2018-12-03	$27.40	$26.00	30.4%	8.7%	24.5%	17.0%	0.0%	5.0%	-0.4%	13.3K	-431.7K	-3.2K	0.00	100.62	0	197	715	587
2018-12-04	$26.30	$26.00	32.6%	9.3%	29.0%	21.9%	0.0%	5.1%	-0.7%	-7.7K	55.9K	-3.8K	25.30	82.41	10	253	715	726
2018-12-05	$26.28	$26.00	35.5%	10.2%	28.9%	28.8%	0.0%	3.3%	-3.5%	-8.1K	64.8K	-3.8K	25.30	109.47	10	253	715	726
2018-12-06	$25.89	$27.00	34.3%	9.6%	28.8%	25.8%	0.0%	10.0%	-2.4%	-11.9K	289.0K	-4.3K	0.00	94.23	0	0	725	778
2018-12-07	$25.48	$27.00	34.4%	10.0%	28.9%	26.2%	32.4%	3.5%	-0.7%	-14.5K	343.7K	-3.8K	25.30	97.40	10	253	725	778
2018-12-10	$25.24	$27.00	41.2%	10.1%	28.6%	41.7%	0.0%	4.8%	3.1%	-16.6K	373.0K	-3.8K	1.70	84.70	10	17	752	778
2018-12-11	$25.47	$27.00	39.9%	9.9%	26.7%	38.7%	0.0%	3.2%	1.5%	-15.4K	308.0K	-4.0K	0.17	80.20	100	17	762	795
2018-12-12	$25.74	$27.00	33.0%	9.5%	26.8%	22.8%	28.4%	3.3%	3.6%	5.2K	87.1K	-4.1K	0.18	79.41	111	20	862	795
2018-12-13	$25.01	$27.00	35.1%	10.1%	28.8%	27.6%	33.6%	3.5%	2.4%	-4.0K	379.6K	-3.7K	0.18	81.23	111	20	866	797
2018-12-14	$24.32	$27.00	36.2%	10.4%	29.9%	30.3%	47.1%	4.4%	2.4%	-12.8K	578.2K	-3.5K	1.33	83.01	15	20	866	797
2018-12-17	$23.66	$27.00	36.6%	10.5%	28.5%	31.2%	37.0%	2.2%	3.0%	-15.4K	713.5K	-3.2K	0.00	83.30	15	0	870	796
2018-12-18	$24.52	$27.00	35.0%	10.0%	31.8%	27.6%	33.5%	4.5%	4.5%	-17.4K	568.3K	-3.2K	0.12	85.22	17	2	870	774
2018-12-19	$23.65	$27.00	36.4%	10.4%	33.9%	30.7%	34.0%	5.0%	3.1%	-18.9K	714.0K	-2.9K	0.10	102.62	21	2	871	774
2018-12-20	$23.23	$27.00	40.8%	11.7%	33.0%	41.0%	37.8%	4.0%	1.5%	-23.5K	807.6K	-2.8K	0.02	89.91	216	4	875	774
2018-12-21	$22.67	$26.00	41.8%	12.0%	33.5%	43.2%	38.3%	5.4%	1.1%	-15.9K	903.1K	-2.6K	0.03	90.99	364	11	979	772
2018-12-24	$22.54	$26.00	44.1%	12.6%	33.0%	48.4%	42.3%	3.6%	30.9%	-8.2K	655.6K	-2.8K	0.03	92.13	358	11	929	690
2018-12-26	$23.49	$26.00	43.0%	12.3%	37.4%	46.0%	40.6%	4.7%	6.1%	-5.0K	479.6K	-3.1K	0.00	91.73	0	30	929	690
2018-12-27	$23.75	$26.00	42.1%	12.1%	35.5%	43.7%	41.1%	4.9%	6.3%	-4.6K	441.0K	-3.0K	7.50	83.53	4	30	929	700
2018-12-28	$23.87	$26.00	41.9%	12.0%	35.8%	43.4%	41.1%	3.0%	7.3%	-3.7K	380.4K	-3.1K	0.11	84.44	282	30	929	700
2018-12-31	$23.96	$25.00	40.0%	11.5%	35.5%	38.9%	0.0%	5.5%	8.6%	18.9K	274.9K	-3.3K	0.00	86.44	0	0	1,201	700