SANM Options History — February 2020

In February 2020, SANM traded between $25.60 and $32.33. ATM implied volatility averaged 33.4%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.2% (HV 20d: 30.1%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 2.47.

Notable Days

2020-02-18: Highest Volume — 250 contracts
2020-02-27: Largest IV spike — 21.5% change
2020-02-28: Highest IV Rank — 91.4%
2020-02-28: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.88	$25.60	$32.33	$31.22	$25.60
Max Pain	$32.16	$32.00	$33.00	$33.00	$32.00
ATM IV	33.4%	27.3%	56.4%	31.4%	56.4%
Expected Move	9.5%	7.8%	16.2%	9.0%	16.2%
HV 20d	30.1%	22.4%	33.3%	22.4%	33.3%
HV 60d	23.4%	20.7%	26.7%	20.7%	26.7%
IV Rank	28.0%	11.5%	91.4%	22.6%	91.4%
IV Percentile	50.3%	24.2%	98.8%	55.2%	98.8%
Term Structure	-1.8%	-7.2%	-0.0%	-1.6%	-6.5%
VWIV	31.1%	15.5%	41.9%	31.9%	41.5%
Skew 25d	4.9%	2.4%	10.8%	2.4%	10.8%
Skew 10d	11.6%	-2.2%	24.4%	-2.2%	24.4%
Call IV 25d	31.2%	25.8%	55.3%	29.6%	55.3%
Put IV 25d	36.1%	29.7%	66.1%	32.0%	66.1%
Bid-Ask Spread %	58.77	23.92	75.23	37.64	75.23
Gamma HHI	0.35	0.29	0.67	0.31	0.37
Net GEX	40.4K	-280.6K	268.2K	160.3K	12.4K
Net DEX	-153.2K	-2.1M	767.8K	-1.0M	372.9K
Net VEX	-5.1K	-9.6K	-1.5K	-8.3K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.47	0.00	15.67	3.13	0.21
Total Volume	49.842	1	250	132	23
Total OI	3,300.895	1,635	4,006	3,692	1,695

Daily Data (19 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
2020-02-03	$31.22	$33.00	31.4%	9.0%	22.4%	22.6%	31.9%	2.4%	-1.6%	160.3K	-1.0M	-8.3K	3.13	37.64	32	100	3,179	513
2020-02-04	$32.01	$33.00	28.1%	8.0%	24.8%	13.5%	15.5%	4.8%	-0.1%	216.5K	-1.6M	-9.1K	0.67	38.33	12	8	3,192	608
2020-02-05	$32.33	$33.00	28.3%	8.1%	25.2%	14.2%	27.6%	3.2%	-0.2%	268.2K	-2.1M	-9.6K	1.08	23.92	24	26	3,201	616
2020-02-06	$31.45	$32.00	28.0%	8.3%	26.6%	13.4%	0.0%	3.8%	-0.6%	143.6K	-967.6K	-8.1K	1.13	65.60	8	9	3,205	639
2020-02-07	$30.45	$32.00	30.1%	8.4%	28.4%	19.1%	26.9%	5.2%	-0.5%	48.6K	47.3K	-6.3K	0.22	65.24	9	2	3,210	639
2020-02-10	$30.19	$32.00	31.4%	8.4%	28.3%	22.8%	31.9%	4.2%	-0.6%	28.8K	250.8K	-5.5K	1.17	54.65	12	14	3,209	638
2020-02-11	$30.98	$32.00	29.3%	8.1%	30.0%	16.8%	28.2%	4.1%	-0.5%	86.6K	-413.5K	-6.5K	0.31	60.28	32	10	3,221	646
2020-02-12	$31.61	$32.00	27.3%	7.8%	31.3%	11.5%	29.0%	3.6%	-0.0%	121.7K	-945.9K	-7.0K	5.08	56.19	24	122	3,243	651
2020-02-13	$31.27	$32.00	27.7%	7.9%	31.3%	12.4%	28.0%	3.4%	-0.5%	49.6K	-425.1K	-6.7K	0.00	57.59	0	4	3,239	764
2020-02-14	$30.37	$32.00	28.4%	8.2%	32.4%	14.5%	28.4%	3.7%	-0.5%	-22.9K	469.8K	-5.2K	1.29	61.38	14	18	3,239	767
2020-02-18	$29.93	$32.00	28.7%	8.2%	32.4%	15.2%	27.8%	3.3%	-0.5%	-40.2K	767.8K	-4.0K	15.67	63.36	15	235	3,249	731
2020-02-19	$30.21	$32.00	28.1%	8.1%	32.7%	13.7%	28.4%	4.5%	-0.4%	-44.1K	390.2K	-4.2K	0.64	64.37	14	9	3,257	649
2020-02-20	$30.26	$32.00	29.3%	8.4%	32.7%	16.9%	30.7%	4.0%	-1.5%	-63.8K	373.4K	-3.8K	0.64	71.97	14	9	3,250	648
2020-02-21	$29.91	$32.00	30.9%	8.9%	30.7%	21.4%	31.7%	4.0%	-1.1%	-280.6K	740.1K	-3.5K	7.63	60.60	8	61	3,262	651
2020-02-24	$28.73	$32.00	36.0%	10.3%	32.8%	35.2%	37.3%	5.3%	-2.7%	38.8K	93.8K	-2.6K	2.77	64.00	13	36	1,405	230
2020-02-25	$27.62	$32.00	41.0%	11.8%	32.7%	49.0%	41.9%	7.1%	-3.7%	19.0K	307.0K	-2.0K	0.40	61.65	10	4	1,418	266
2020-02-26	$27.30	$32.00	42.1%	12.1%	31.5%	52.2%	0.0%	6.9%	-5.0%	13.3K	354.4K	-1.8K	0.00	65.53	1	0	1,428	265
2020-02-27	$26.36	$32.00	51.2%	14.7%	32.7%	77.0%	41.9%	8.3%	-7.2%	11.8K	390.4K	-1.5K	0.00	69.06	0	15	1,429	265
2020-02-28	$25.60	$32.00	56.4%	16.2%	33.3%	91.4%	41.5%	10.8%	-6.5%	12.4K	372.9K	-1.6K	0.21	75.23	19	4	1,429	266