SANM Options History — June 2019

In June 2019, SANM traded between $27.05 and $30.20. ATM implied volatility averaged 31.4%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 1.6% (HV 20d: 33.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2019-06-28: Highest Volume — 978 contracts
2019-06-20: Largest IV drop — 6.7% change
2019-06-06: Highest IV Rank — 24.0%
2019-06-04: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.87	$27.05	$30.20	$27.05	$30.20
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	31.4%	29.6%	33.5%	32.8%	31.0%
Expected Move	8.9%	8.5%	9.5%	9.4%	8.9%
HV 20d	33.0%	23.4%	38.3%	33.2%	23.4%
HV 60d	43.5%	42.9%	44.0%	43.0%	42.9%
IV Rank	19.1%	15.1%	24.0%	22.5%	18.2%
IV Percentile	51.9%	43.7%	62.3%	59.9%	49.2%
Term Structure	5.6%	-0.5%	15.0%	0.9%	15.0%
VWIV	30.2%	22.7%	33.8%	33.8%	31.5%
Skew 25d	3.3%	2.1%	6.2%	3.9%	3.5%
Skew 10d	11.4%	-3.4%	21.0%	17.1%	-3.4%
Call IV 25d	30.0%	28.6%	32.1%	32.1%	28.7%
Put IV 25d	33.2%	31.6%	36.0%	36.0%	32.1%
Bid-Ask Spread %	80.14	69.57	104.25	81.47	77.19
Gamma HHI	0.20	0.18	0.23	0.19	0.23
Net GEX	16.1K	-3.2K	46.0K	-3.2K	45.4K
Net DEX	30.6K	-594.2K	620.2K	620.2K	-594.2K
Net VEX	-4.5K	-4.9K	-4.1K	-4.1K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.00	5.71	0.00	0.01
Total Volume	74.25	1	978	1	978
Total OI	1,565.4	1,319	1,698	1,602	1,363

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
2019-06-03	$27.05	$30.00	32.8%	9.4%	33.2%	22.5%	0.0%	3.9%	0.9%	-3.2K	620.2K	-4.1K	0.00	81.47	1	0	1,020	582
2019-06-04	$28.27	$30.00	33.0%	9.5%	38.3%	23.0%	33.8%	6.2%	-0.5%	6.1K	254.5K	-4.9K	0.75	79.50	8	6	1,020	582
2019-06-05	$27.96	$30.00	32.0%	9.2%	36.7%	20.7%	32.5%	2.6%	-0.3%	1.6K	377.7K	-4.7K	1.20	74.68	10	12	1,019	586
2019-06-06	$28.06	$30.00	33.5%	9.4%	36.6%	24.0%	31.4%	2.1%	2.6%	3.3K	322.5K	-4.7K	1.00	82.18	12	12	1,021	586
2019-06-07	$28.26	$30.00	31.8%	9.1%	36.9%	20.2%	29.6%	3.8%	3.2%	4.6K	273.5K	-4.7K	1.00	70.48	12	12	1,022	586
2019-06-10	$28.70	$30.00	32.0%	8.7%	37.8%	20.7%	0.0%	3.9%	4.6%	9.7K	129.6K	-4.7K	0.00	77.91	1	0	1,022	585
2019-06-11	$29.06	$30.00	32.5%	8.8%	35.8%	21.7%	0.0%	2.2%	4.2%	15.3K	-38.2K	-4.8K	0.00	75.74	7	0	1,023	585
2019-06-12	$28.55	$30.00	31.5%	9.0%	36.1%	19.4%	0.0%	2.6%	3.7%	6.9K	201.2K	-4.5K	5.71	78.71	7	40	1,029	585
2019-06-13	$28.80	$30.00	29.6%	8.5%	35.8%	15.1%	29.6%	3.0%	5.4%	7.3K	142.0K	-4.8K	1.18	75.68	34	40	1,029	625
2019-06-14	$28.21	$30.00	31.4%	9.0%	36.1%	19.1%	30.3%	3.0%	4.0%	901	346.0K	-4.5K	1.18	87.16	34	40	1,055	625
2019-06-17	$28.32	$30.00	31.1%	8.9%	31.8%	18.6%	0.0%	3.0%	4.0%	-1.8K	368.6K	-4.3K	0.00	73.29	4	0	1,054	625
2019-06-18	$28.82	$30.00	30.8%	8.8%	32.5%	17.8%	30.6%	2.7%	4.1%	5.7K	151.2K	-4.5K	0.00	84.22	14	0	1,050	625
2019-06-19	$29.13	$30.00	32.1%	9.2%	32.8%	20.9%	22.7%	4.4%	3.7%	12.0K	4.4K	-4.5K	0.00	104.25	18	0	1,052	625
2019-06-20	$29.72	$30.00	30.0%	8.6%	33.5%	16.0%	30.7%	2.3%	4.6%	46.0K	-305.0K	-4.6K	0.81	94.38	21	17	1,053	625
2019-06-21	$29.74	$30.00	30.9%	8.9%	28.6%	18.1%	31.5%	2.7%	3.7%	39.4K	-307.2K	-4.5K	0.81	89.52	21	17	1,057	641
2019-06-24	$29.49	$30.00	30.2%	8.7%	28.8%	16.5%	0.0%	3.8%	11.7%	27.2K	-279.4K	-4.2K	0.00	73.82	16	0	841	478
2019-06-25	$29.34	$30.00	31.3%	9.0%	28.9%	19.0%	0.0%	2.9%	11.9%	25.5K	-244.4K	-4.2K	0.00	76.34	25	0	857	478
2019-06-26	$29.74	$30.00	29.9%	8.6%	27.9%	15.8%	29.6%	2.9%	12.2%	33.4K	-388.7K	-4.3K	0.00	69.57	27	0	867	478
2019-06-27	$29.90	$30.00	29.8%	8.5%	27.8%	15.5%	29.3%	3.7%	12.7%	37.1K	-422.3K	-4.3K	0.00	76.77	39	0	874	478
2019-06-28	$30.20	$30.00	31.0%	8.9%	23.4%	18.2%	31.5%	3.5%	15.0%	45.4K	-594.2K	-4.3K	0.01	77.19	973	5	885	478