SANM Options History — November 2019

In November 2019, SANM traded between $30.95 and $32.75. ATM implied volatility averaged 27.6%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.6% (HV 20d: 26.0%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.97.

Notable Days

2019-11-06: Highest Volume — 135 contracts
2019-11-13: Largest IV drop — 16.2% change
2019-11-12: Highest IV Rank — 20.3%
2019-11-20: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.07	$30.95	$32.75	$30.95	$31.94
Max Pain	$30.95	$30.00	$32.00	$31.00	$32.00
ATM IV	27.6%	25.0%	31.7%	28.3%	27.3%
Expected Move	7.8%	7.2%	8.2%	8.1%	7.8%
HV 20d	26.0%	22.5%	29.6%	29.2%	23.2%
HV 60d	30.0%	26.5%	32.2%	31.4%	26.5%
IV Rank	8.6%	1.1%	20.3%	10.7%	7.6%
IV Percentile	14.3%	1.2%	41.3%	16.3%	15.1%
Term Structure	0.5%	-0.5%	2.3%	-0.5%	0.0%
VWIV	27.4%	24.9%	31.6%	28.7%	26.3%
Skew 25d	3.3%	2.2%	5.9%	5.9%	2.2%
Skew 10d	9.6%	2.1%	21.5%	21.5%	19.6%
Call IV 25d	26.1%	24.4%	27.4%	25.9%	27.0%
Put IV 25d	29.3%	27.2%	31.7%	31.7%	29.2%
Bid-Ask Spread %	60.61	47.76	69.20	62.91	64.65
Gamma HHI	0.23	0.19	0.39	0.25	0.20
Net GEX	54.3K	-6.8K	135.0K	-6.8K	50.1K
Net DEX	-954.0K	-1.3M	-409.4K	-409.4K	-912.1K
Net VEX	-3.8K	-4.7K	-3.3K	-4.7K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.00	5.11	0.28	4.50
Total Volume	32.15	1	135	23	11
Total OI	1,349.15	821	1,795	1,658	868

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
2019-11-01	$30.95	$31.00	28.3%	8.1%	29.2%	10.7%	28.7%	5.9%	-0.5%	-6.8K	-409.4K	-4.7K	0.28	62.91	18	5	921	737
2019-11-04	$31.55	$30.00	28.4%	8.1%	29.6%	10.8%	27.8%	4.3%	0.3%	19.3K	-680.8K	-4.5K	1.30	57.50	43	56	905	766
2019-11-05	$32.57	$30.00	28.3%	8.1%	26.6%	10.7%	0.0%	3.8%	-0.4%	58.1K	-1.2M	-4.6K	0.64	47.76	47	30	928	821
2019-11-06	$32.11	$30.00	27.2%	8.1%	27.1%	7.4%	0.0%	3.7%	0.6%	50.6K	-980.0K	-4.4K	2.14	53.50	43	92	918	851
2019-11-07	$31.62	$30.00	29.3%	8.1%	27.7%	13.5%	31.2%	3.9%	-0.4%	12.1K	-631.2K	-4.5K	5.11	52.59	18	92	916	851
2019-11-08	$32.16	$30.00	27.1%	7.9%	26.7%	7.3%	26.3%	4.0%	0.8%	70.1K	-1.0M	-4.1K	0.00	53.28	34	0	916	846
2019-11-11	$32.53	$30.00	29.8%	7.6%	26.5%	15.0%	0.0%	2.9%	0.9%	94.1K	-1.3M	-4.0K	0.71	60.07	42	30	949	826
2019-11-12	$32.41	$30.00	31.7%	7.9%	26.1%	20.3%	27.7%	2.5%	1.0%	99.5K	-1.2M	-3.9K	0.00	62.07	4	0	931	856
2019-11-13	$32.75	$30.00	26.6%	7.6%	26.2%	5.6%	0.0%	3.1%	1.1%	135.0K	-1.3M	-3.7K	1.11	68.02	9	10	931	856
2019-11-14	$32.19	$30.00	27.8%	8.0%	27.2%	9.2%	0.0%	2.5%	0.4%	99.4K	-1.0M	-3.7K	0.00	58.12	2	0	939	856
2019-11-15	$32.55	$30.00	25.0%	7.2%	27.1%	1.1%	24.9%	2.8%	0.9%	38.9K	-1.2M	-3.5K	0.09	67.85	33	3	939	856
2019-11-18	$31.97	$32.00	27.1%	7.8%	27.0%	7.2%	27.0%	3.3%	-0.1%	40.8K	-858.9K	-3.5K	0.50	61.64	4	2	604	217
2019-11-19	$32.14	$32.00	27.0%	7.7%	26.8%	7.0%	26.1%	2.7%	0.7%	41.6K	-913.4K	-3.5K	0.00	51.34	4	0	607	217
2019-11-20	$32.08	$32.00	28.6%	8.2%	24.2%	11.5%	0.0%	2.3%	-0.2%	40.4K	-895.2K	-3.5K	0.00	63.15	1	0	611	217
2019-11-21	$31.85	$32.00	27.1%	7.8%	24.4%	7.1%	0.0%	4.2%	0.6%	46.5K	-887.2K	-3.6K	0.00	69.20	0	3	646	217
2019-11-22	$31.55	$32.00	26.3%	7.5%	24.7%	4.9%	26.3%	2.7%	0.6%	47.3K	-808.5K	-3.6K	0.00	65.18	0	3	646	220
2019-11-25	$32.20	$32.00	26.7%	7.6%	25.5%	5.9%	31.6%	3.3%	0.7%	49.5K	-978.0K	-3.4K	1.00	67.14	1	1	642	223
2019-11-26	$31.95	$32.00	25.9%	7.4%	22.5%	3.9%	25.0%	2.3%	2.3%	49.7K	-914.2K	-3.4K	0.00	61.33	1	0	643	223
2019-11-27	$32.36	$32.00	26.7%	7.6%	22.6%	5.9%	0.0%	3.4%	1.1%	49.7K	-1.0M	-3.4K	0.00	65.00	1	0	644	223
2019-11-29	$31.94	$32.00	27.3%	7.8%	23.2%	7.6%	26.3%	2.2%	0.0%	50.1K	-912.1K	-3.3K	4.50	64.65	2	9	645	223