SANM Options History — December 2019

In December 2019, SANM traded between $30.86 and $34.40. ATM implied volatility averaged 27.2%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.6% (HV 20d: 21.6%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.15.

Notable Days

2019-12-12: Highest Volume — 96 contracts
2019-12-06: Largest IV drop — 9.8% change
2019-12-03: Highest IV Rank — 18.0%
2019-12-03: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.14	$30.86	$34.40	$31.26	$34.40
Max Pain	$30.71	$30.00	$32.00	$32.00	$31.00
ATM IV	27.2%	25.0%	30.9%	30.6%	26.5%
Expected Move	7.8%	7.2%	8.9%	8.8%	7.6%
HV 20d	21.6%	16.9%	24.6%	24.6%	16.9%
HV 60d	25.4%	23.9%	26.8%	26.8%	23.9%
IV Rank	7.4%	1.2%	18.0%	17.2%	5.4%
IV Percentile	15.2%	2.0%	39.3%	37.7%	10.3%
Term Structure	7.8%	-1.7%	13.4%	-1.6%	13.4%
VWIV	27.6%	23.8%	31.8%	30.6%	25.7%
Skew 25d	3.0%	1.8%	5.7%	4.0%	4.1%
Skew 10d	7.9%	-1.9%	17.2%	-1.9%	17.2%
Call IV 25d	25.7%	23.1%	30.0%	27.7%	24.3%
Put IV 25d	28.7%	26.0%	33.2%	31.7%	28.4%
Bid-Ask Spread %	74.92	51.55	89.41	58.57	83.51
Gamma HHI	0.27	0.15	0.54	0.21	0.18
Net GEX	58.4K	19.5K	111.5K	47.3K	34.8K
Net DEX	-1.4M	-2.2M	-687.0K	-693.0K	-1.5M
Net VEX	-2.8K	-3.3K	-2.1K	-3.2K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.15	0.00	18.00	0.03	0.10
Total Volume	24.762	0	96	80	0
Total OI	1,003.333	875	1,205	878	956

Daily Data (21 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
2019-12-02	$31.26	$32.00	30.6%	8.8%	24.6%	17.2%	30.6%	4.0%	-1.6%	47.3K	-693.0K	-3.2K	0.03	58.57	78	2	647	231
2019-12-03	$30.86	$31.00	30.9%	8.9%	23.9%	18.0%	31.8%	3.2%	-1.1%	57.5K	-687.0K	-3.3K	1.50	51.55	2	3	721	233
2019-12-04	$31.63	$31.00	30.1%	8.6%	22.7%	15.8%	28.2%	3.5%	-1.7%	64.0K	-959.7K	-3.3K	0.00	53.52	1	0	723	236
2019-12-05	$31.73	$30.00	29.8%	8.2%	22.3%	14.8%	0.0%	2.8%	6.6%	65.1K	-989.6K	-3.2K	0.00	79.63	0	0	722	236
2019-12-06	$32.26	$30.00	26.9%	7.9%	22.4%	6.5%	31.2%	3.9%	7.0%	67.5K	-1.2M	-3.2K	1.40	77.89	10	14	722	236
2019-12-09	$31.95	$30.00	28.7%	8.1%	21.8%	11.9%	28.0%	3.4%	7.3%	72.4K	-1.1M	-3.0K	0.00	77.11	3	0	725	248
2019-12-10	$32.24	$30.00	27.8%	8.1%	21.7%	9.2%	28.2%	3.5%	7.2%	74.8K	-1.2M	-2.9K	15.00	71.83	2	30	728	248
2019-12-11	$32.67	$30.00	27.1%	7.8%	22.2%	7.2%	0.0%	3.4%	8.0%	68.5K	-1.3M	-3.0K	0.00	83.35	3	0	728	278
2019-12-12	$33.03	$30.00	28.1%	8.0%	22.2%	10.0%	28.1%	2.4%	6.6%	64.9K	-1.5M	-2.9K	0.04	83.02	92	4	730	278
2019-12-13	$32.83	$30.00	26.7%	7.6%	21.4%	6.0%	26.6%	5.7%	7.1%	88.6K	-1.4M	-3.1K	18.00	89.41	4	72	814	278
2019-12-16	$33.35	$31.00	25.7%	7.4%	21.7%	3.1%	26.9%	2.0%	9.0%	77.5K	-1.6M	-2.8K	0.00	75.83	12	0	815	349
2019-12-17	$34.14	$31.00	25.4%	7.3%	21.8%	2.4%	0.0%	2.4%	8.7%	71.1K	-2.0M	-2.6K	0.33	77.95	45	15	819	349
2019-12-18	$34.39	$31.00	25.4%	7.3%	21.9%	2.3%	0.0%	2.6%	7.8%	72.5K	-2.1M	-2.7K	0.00	79.39	10	0	838	354
2019-12-19	$34.05	$31.00	25.1%	7.2%	22.3%	1.4%	25.1%	2.0%	8.1%	111.5K	-2.0M	-2.6K	0.27	81.44	11	3	841	354
2019-12-20	$34.27	$31.00	25.2%	7.2%	22.0%	1.8%	0.0%	2.2%	8.5%	78.7K	-2.2M	-2.5K	0.00	78.81	5	0	848	357
2019-12-23	$34.25	$31.00	25.0%	7.2%	21.5%	1.2%	26.1%	2.9%	13.0%	21.9K	-1.4M	-2.4K	0.09	73.12	11	1	598	277
2019-12-24	$34.18	$31.00	25.6%	7.3%	20.7%	2.8%	23.8%	3.1%	12.8%	23.3K	-1.4M	-2.5K	0.00	78.27	4	0	606	278
2019-12-26	$34.12	$31.00	26.8%	7.7%	20.4%	6.5%	28.9%	1.8%	12.3%	22.4K	-1.4M	-2.4K	4.00	75.59	1	4	609	278
2019-12-27	$34.12	$31.00	26.6%	7.6%	20.1%	5.9%	25.3%	1.8%	12.4%	22.8K	-1.4M	-2.3K	0.00	76.54	2	0	610	281
2019-12-30	$34.31	$31.00	26.7%	7.7%	19.3%	6.1%	25.7%	2.8%	13.0%	19.5K	-1.5M	-2.1K	0.10	66.93	69	7	610	281
2019-12-31	$34.40	$31.00	26.5%	7.6%	16.9%	5.4%	0.0%	4.1%	13.4%	34.8K	-1.5M	-2.3K	0.00	83.51	0	0	668	288