SANM Options History — February 2019

In February 2019, SANM traded between $31.21 and $32.97. ATM implied volatility averaged 27.0%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 27.0% (HV 20d: 54.0%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.38.

Notable Days

2019-02-27: Highest Volume — 964 contracts
2019-02-22: Largest IV drop — 9.1% change
2019-02-01: Highest IV Rank — 15.2%
2019-02-01: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.21	$31.21	$32.97	$31.21	$31.80
Max Pain	$32.21	$30.00	$33.00	$30.00	$33.00
ATM IV	27.0%	24.8%	29.6%	29.6%	25.0%
Expected Move	7.7%	7.1%	8.2%	8.2%	7.2%
HV 20d	54.0%	17.1%	59.2%	58.7%	17.2%
HV 60d	43.3%	42.6%	44.1%	44.1%	42.9%
IV Rank	9.1%	3.9%	15.2%	15.2%	4.4%
IV Percentile	27.6%	10.7%	38.1%	38.1%	13.5%
Term Structure	1.0%	-0.0%	3.4%	0.3%	2.5%
VWIV	26.9%	24.4%	29.9%	29.9%	24.4%
Skew 25d	3.4%	1.8%	4.5%	3.8%	4.5%
Skew 10d	8.8%	-5.4%	19.7%	9.3%	12.4%
Call IV 25d	25.4%	23.8%	27.4%	27.4%	24.0%
Put IV 25d	28.9%	27.0%	31.1%	31.1%	28.5%
Bid-Ask Spread %	73.28	63.31	85.36	65.41	82.30
Gamma HHI	0.26	0.19	0.36	0.19	0.21
Net GEX	10.6K	-19.5K	30.8K	-267	1.0K
Net DEX	-1.4M	-2.1M	-470.6K	-1.2M	-470.6K
Net VEX	-3.9K	-7.8K	-3.0K	-3.5K	-7.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.38	0.05	12.33	0.84	6.58
Total Volume	211.105	15	964	467	500
Total OI	1,939.789	1,370	2,480	1,897	2,480

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
2019-02-01	$31.21	$30.00	29.6%	8.2%	58.7%	15.2%	29.9%	3.8%	0.3%	-267	-1.2M	-3.5K	0.84	65.41	254	213	742	1,155
2019-02-04	$31.65	$30.00	28.8%	8.1%	58.6%	13.3%	29.7%	3.0%	0.5%	24.8K	-1.7M	-3.3K	5.29	63.31	7	37	846	1,136
2019-02-05	$32.16	$30.00	28.0%	7.9%	58.6%	11.5%	29.5%	4.4%	0.1%	17.7K	-1.9M	-3.0K	0.24	67.61	282	69	844	1,158
2019-02-06	$32.33	$30.00	27.8%	8.0%	58.5%	11.0%	26.9%	3.4%	-0.0%	17.1K	-1.9M	-3.6K	4.00	64.19	6	24	905	1,249
2019-02-07	$32.57	$30.00	27.4%	7.9%	57.9%	10.0%	27.6%	3.5%	0.6%	16.1K	-2.0M	-3.4K	2.17	66.83	23	50	904	1,240
2019-02-08	$32.03	$33.00	27.7%	7.9%	58.9%	10.8%	26.8%	4.0%	0.6%	3.3K	-1.7M	-3.9K	3.05	67.30	42	128	910	1,327
2019-02-11	$31.87	$33.00	28.1%	8.1%	59.2%	11.6%	27.8%	4.3%	0.1%	7.1K	-1.6M	-3.8K	6.50	72.00	2	13	938	1,327
2019-02-12	$32.15	$33.00	27.3%	7.8%	58.8%	9.8%	27.8%	3.0%	1.1%	4.6K	-1.8M	-3.5K	12.33	69.37	3	37	940	1,318
2019-02-13	$32.25	$33.00	27.6%	7.9%	58.8%	10.4%	27.5%	3.6%	0.9%	-3.4K	-1.9M	-3.4K	1.00	73.47	37	37	940	1,308
2019-02-14	$32.50	$33.00	26.8%	7.7%	58.7%	8.7%	25.7%	3.3%	0.9%	-19.5K	-2.1M	-3.2K	0.33	71.95	137	45	937	1,308
2019-02-15	$32.34	$33.00	26.3%	7.5%	58.9%	7.5%	26.1%	3.2%	0.7%	9.5K	-2.1M	-3.3K	0.32	78.01	157	50	1,037	1,310
2019-02-19	$31.97	$33.00	26.7%	7.6%	59.1%	8.3%	25.3%	4.2%	0.4%	12.2K	-706.4K	-3.3K	0.28	67.95	81	23	714	656
2019-02-20	$32.28	$33.00	25.9%	7.4%	58.0%	6.6%	25.7%	3.0%	1.8%	14.1K	-768.6K	-3.8K	0.34	79.31	97	33	726	677
2019-02-21	$32.47	$33.00	27.3%	7.8%	57.8%	9.8%	26.4%	3.3%	0.4%	19.7K	-837.4K	-3.8K	0.27	77.38	161	43	739	689
2019-02-22	$32.73	$33.00	24.8%	7.1%	57.4%	4.0%	25.2%	3.2%	1.9%	30.8K	-975.1K	-3.9K	0.80	79.21	187	149	803	689
2019-02-25	$32.97	$33.00	24.8%	7.1%	57.0%	3.9%	25.2%	2.2%	3.4%	23.3K	-905.3K	-4.4K	0.05	85.36	57	3	819	795
2019-02-26	$32.70	$33.00	26.7%	7.6%	57.2%	8.3%	24.9%	1.8%	0.8%	21.9K	-840.2K	-4.5K	0.05	80.37	57	3	852	793
2019-02-27	$31.98	$33.00	26.1%	7.5%	17.1%	7.0%	27.9%	3.8%	1.3%	1.9K	-552.0K	-4.2K	0.82	81.01	530	434	852	793
2019-02-28	$31.80	$33.00	25.0%	7.2%	17.2%	4.4%	24.4%	4.5%	2.5%	1.0K	-470.6K	-7.8K	6.58	82.30	66	434	1,301	1,179