SANM Options History — January 2020

In January 2020, SANM traded between $31.72 and $34.45. ATM implied volatility averaged 33.6%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 19.4% (HV 20d: 14.2%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2020-01-27: Highest Volume — 2,013 contracts
  • 2020-01-28: Largest IV drop — 38.4% change
  • 2020-01-27: Highest IV Rank — 71.0%
  • 2020-01-27: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.82$31.72$34.45$34.45$31.72
Max Pain$31.71$31.00$33.00$31.00$33.00
ATM IV33.6%23.1%49.0%26.6%29.7%
Expected Move10.9%7.6%14.1%7.6%8.5%
HV 20d14.2%7.7%22.1%15.6%22.1%
HV 60d21.0%19.5%23.8%23.8%21.5%
IV Rank27.6%0.0%71.0%5.7%18.0%
IV Percentile45.6%0.0%90.1%12.3%42.9%
Term Structure-3.6%-9.3%13.7%13.7%0.1%
VWIV38.2%25.9%48.2%26.8%29.8%
Skew 25d4.2%2.1%6.4%4.2%3.9%
Skew 10d9.3%-3.0%13.9%13.3%6.6%
Call IV 25d36.3%24.0%46.6%24.0%28.9%
Put IV 25d40.5%27.9%51.5%28.1%32.8%
Bid-Ask Spread %38.9021.9486.3486.3461.79
Gamma HHI0.250.110.680.190.33
Net GEX68.4K2.7K354.4K32.4K210.0K
Net DEX-1.4M-3.0M-257.3K-1.6M-1.5M
Net VEX-3.4K-11.2K-1.7K-2.1K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.002.930.750.07
Total Volume215.66722,0137265
Total OI1,294.3333613,6429563,642

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$34.45$31.0026.6%7.6%15.6%5.7%26.8%4.2%13.7%32.4K-1.6M-2.1K0.7586.3443668288
2020-01-03$34.33$31.0027.6%7.9%14.1%8.5%25.9%2.1%10.7%30.4K-1.5M-2.1K2.1575.192043673291
2020-01-06$34.28$31.0027.4%11.4%14.3%8.1%0.0%4.5%-5.5%27.1K-1.5M-2.1K0.0023.74510673334
2020-01-07$34.10$31.0027.1%11.3%13.8%7.1%0.0%5.3%-5.7%22.2K-1.5M-2.1K0.0021.9440658334
2020-01-08$34.25$31.0025.6%11.3%13.0%2.8%38.4%3.4%-5.5%23.8K-1.5M-2.0K0.0026.8780658334
2020-01-09$34.07$31.0024.7%11.4%13.2%0.3%41.2%4.7%-6.1%19.6K-1.5M-1.9K0.4226.67125662334
2020-01-10$34.06$31.0023.1%11.4%12.6%0.0%39.7%3.5%-6.0%15.6K-1.5M-1.9K0.0027.2420667339
2020-01-13$34.41$31.0029.0%11.6%12.5%16.1%0.0%3.3%-6.3%24.7K-1.6M-1.7K0.0025.5160669339
2020-01-14$34.45$31.0029.6%11.6%12.2%17.7%40.8%3.3%-6.5%28.7K-1.6M-1.7K0.2229.98368675339
2020-01-15$34.21$31.0040.9%11.7%11.5%48.7%44.6%3.3%-7.6%9.9K-1.6M-1.7K0.0029.28021683357
2020-01-16$34.33$32.0041.3%11.8%8.1%49.8%40.7%4.5%-7.1%16.0K-1.6M-1.7K0.0025.4160683378
2020-01-17$34.34$33.0040.5%11.6%7.7%47.5%45.2%4.4%-6.9%2.7K-1.6M-1.7K0.0434.21261698379
2020-01-21$33.76$31.0043.1%12.4%9.2%54.7%42.3%4.4%-6.6%9.7K-299.2K-1.7K0.1128.05273235126
2020-01-22$33.51$31.0043.8%12.5%9.1%56.6%42.0%4.9%-7.5%10.5K-285.2K-1.8K0.0431.83231252129
2020-01-23$34.39$31.0045.4%13.0%13.2%61.0%46.1%5.6%-8.2%13.8K-382.2K-1.9K1.1132.061820275130
2020-01-24$34.26$33.0046.3%13.3%13.3%63.6%48.0%4.5%-8.4%13.4K-384.2K-2.1K0.6729.623322291145
2020-01-27$32.89$33.0049.0%14.1%19.7%71.0%48.2%4.8%-9.3%10.2K-257.3K-2.2K0.0633.601,905108321164
2020-01-28$33.36$33.0030.2%8.7%20.5%19.4%29.1%6.4%0.3%271.3K-1.7M-7.1K0.0950.631,3821202,096325
2020-01-29$32.87$33.0027.2%7.8%20.9%11.2%29.3%3.9%1.1%354.4K-3.0M-11.2K1.8560.0347873,113341
2020-01-30$32.28$33.0027.4%7.9%21.6%11.8%29.0%3.3%0.6%290.5K-2.2M-10.5K2.9357.00541583,093390
2020-01-31$31.72$33.0029.7%8.5%22.1%18.0%29.8%3.9%0.1%210.0K-1.5M-9.9K0.0761.79247183,125517