SANM Options History — September 2019

In September 2019, SANM traded between $28.50 and $32.75. ATM implied volatility averaged 32.1%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 3.7% (HV 20d: 35.8%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.55.

Notable Days

2019-09-12: Highest Volume — 132 contracts
2019-09-11: Largest IV drop — 16.3% change
2019-09-03: Highest IV Rank — 28.4%
2019-09-03: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.65	$28.50	$32.75	$28.50	$32.31
Max Pain	$30.75	$30.00	$31.00	$30.00	$31.00
ATM IV	32.1%	29.7%	35.5%	35.4%	32.0%
Expected Move	9.2%	8.5%	10.1%	10.1%	9.2%
HV 20d	35.8%	29.9%	40.9%	35.4%	30.0%
HV 60d	30.1%	27.8%	31.1%	27.9%	31.0%
IV Rank	18.6%	13.0%	28.4%	28.4%	18.1%
IV Percentile	46.2%	31.7%	65.5%	64.7%	45.2%
Term Structure	6.6%	-1.6%	14.1%	-1.6%	14.1%
VWIV	31.5%	21.6%	35.3%	34.2%	35.3%
Skew 25d	3.4%	1.4%	5.1%	5.1%	3.5%
Skew 10d	8.4%	-2.7%	14.9%	8.4%	10.5%
Call IV 25d	30.7%	28.7%	33.2%	33.2%	30.4%
Put IV 25d	34.0%	32.3%	38.3%	38.3%	33.9%
Bid-Ask Spread %	78.08	62.31	92.31	73.67	72.18
Gamma HHI	0.30	0.24	0.42	0.29	0.25
Net GEX	135.3K	49.1K	275.5K	49.1K	78.1K
Net DEX	-2.3M	-3.7M	6.3K	6.3K	-1.8M
Net VEX	-6.2K	-7.8K	-4.9K	-6.5K	-4.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	0.00	15.60	0.00	0.00
Total Volume	35.9	0	132	0	17
Total OI	2,171.75	1,403	2,557	2,378	1,526

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
2019-09-03	$28.50	$30.00	35.4%	10.1%	35.4%	28.4%	0.0%	5.1%	-1.6%	49.1K	6.3K	-6.5K	0.00	73.67	0	0	1,725	653
2019-09-04	$28.80	$30.00	34.0%	9.8%	35.0%	23.1%	34.2%	4.7%	-0.9%	55.1K	-209.5K	-6.8K	0.00	62.31	1	0	1,720	654
2019-09-05	$30.22	$30.00	31.6%	9.0%	39.1%	17.4%	29.7%	4.7%	4.3%	112.5K	-1.2M	-7.8K	0.88	80.20	16	14	1,719	654
2019-09-06	$29.96	$30.00	29.7%	9.3%	37.8%	13.0%	0.0%	2.9%	4.2%	107.2K	-1.1M	-7.4K	0.00	75.96	0	0	1,730	642
2019-09-09	$31.12	$30.00	32.4%	8.7%	40.2%	19.2%	30.9%	4.6%	6.2%	156.0K	-2.1M	-7.5K	5.08	69.93	13	66	1,733	642
2019-09-10	$31.58	$31.00	35.5%	9.2%	40.2%	26.7%	32.2%	3.9%	4.1%	154.5K	-2.5M	-7.6K	0.00	80.59	87	0	1,746	692
2019-09-11	$32.52	$31.00	29.7%	8.5%	40.9%	13.0%	30.2%	4.3%	6.4%	175.7K	-3.5M	-7.0K	0.00	81.16	14	0	1,807	692
2019-09-12	$32.60	$31.00	31.4%	9.0%	39.3%	17.0%	33.5%	2.7%	6.1%	182.5K	-3.5M	-6.9K	0.00	87.91	132	0	1,815	692
2019-09-13	$32.61	$31.00	30.3%	8.7%	38.9%	14.4%	30.2%	3.2%	5.2%	207.5K	-3.6M	-6.4K	0.00	86.44	15	0	1,840	692
2019-09-16	$32.48	$31.00	31.6%	9.1%	37.8%	17.2%	31.2%	2.8%	4.8%	223.5K	-3.5M	-6.0K	0.00	89.64	17	0	1,841	692
2019-09-17	$32.61	$31.00	31.6%	9.0%	37.7%	17.1%	31.4%	2.6%	4.7%	230.8K	-3.7M	-5.8K	0.00	87.22	31	0	1,858	692
2019-09-18	$32.43	$31.00	32.0%	9.2%	36.6%	18.2%	32.5%	2.5%	4.6%	254.8K	-3.6M	-5.6K	0.02	92.31	103	2	1,859	692
2019-09-19	$32.39	$31.00	31.7%	9.1%	36.4%	17.4%	32.4%	1.4%	4.5%	275.5K	-3.5M	-5.7K	0.00	88.64	37	0	1,865	692
2019-09-20	$31.57	$31.00	31.7%	9.1%	37.9%	17.4%	31.9%	2.3%	5.0%	72.0K	-2.4M	-5.5K	0.00	87.83	22	0	1,837	692
2019-09-23	$32.16	$31.00	31.2%	8.9%	30.9%	16.3%	32.9%	1.8%	11.9%	79.2K	-1.7M	-5.3K	3.30	73.62	10	33	1,040	363
2019-09-24	$31.80	$31.00	32.8%	9.4%	31.4%	20.0%	0.0%	3.1%	11.9%	73.3K	-1.5M	-5.4K	0.00	62.47	0	0	1,050	396
2019-09-25	$32.75	$31.00	32.5%	9.3%	29.9%	19.3%	34.7%	2.7%	11.4%	76.9K	-2.0M	-5.0K	15.60	63.10	5	78	1,050	396
2019-09-26	$32.49	$31.00	31.7%	9.1%	30.5%	17.3%	21.6%	4.3%	12.7%	73.3K	-1.8M	-5.2K	0.00	74.49	3	0	1,050	472
2019-09-27	$32.12	$31.00	33.7%	9.7%	30.1%	22.1%	35.3%	4.2%	11.7%	69.4K	-1.6M	-5.3K	0.00	71.84	0	2	1,052	472
2019-09-30	$32.31	$31.00	32.0%	9.2%	30.0%	18.1%	0.0%	3.5%	14.1%	78.1K	-1.8M	-4.9K	0.00	72.18	17	0	1,052	474