SANM Options History — March 2020

In March 2020, SANM traded between $19.59 and $27.20. ATM implied volatility averaged 80.0%, placing in the 71.1% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 8.7% (HV 20d: 71.3%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 3.75.

Notable Days

  • 2020-03-19: Highest Volume — 127 contracts
  • 2020-03-09: Largest IV spike — 50.8% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-13: Largest Expected Move — 34.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.08$19.59$27.20$26.55$27.06
Max Pain$31.14$31.00$32.00$32.00$31.00
ATM IV80.0%46.0%119.0%50.0%54.8%
Expected Move21.6%13.2%34.1%14.3%15.7%
HV 20d71.3%37.0%100.1%37.3%99.6%
HV 60d46.3%27.3%62.0%27.8%62.0%
IV Rank71.1%33.0%100.0%73.9%33.0%
IV Percentile96.7%83.7%100.0%92.9%90.9%
Term Structure-9.4%-45.5%14.2%-6.4%-1.6%
VWIV77.4%41.9%115.6%48.4%41.9%
Skew 25d14.3%-2.7%30.0%7.9%23.8%
Skew 10d36.3%-33.9%82.5%27.2%48.9%
Call IV 25d74.7%43.2%123.8%47.5%52.9%
Put IV 25d89.0%50.5%140.4%55.4%76.7%
Bid-Ask Spread %98.4668.24112.7968.24109.11
Gamma HHI0.240.070.500.310.08
Net GEX7.7K-1.0K17.8K10.8K8.5K
Net DEX185.9K-109.8K392.5K374.7K-74.7K
Net VEX-1.4K-1.8K-507-1.6K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.750.0061.000.000.00
Total Volume22.0450127136
Total OI1,385.6826361,8801,716679

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$26.55$32.0050.0%14.3%37.3%73.9%48.4%7.9%-6.4%10.8K374.7K-1.6K0.0068.241301,448268
2020-03-03$26.30$32.0053.2%15.2%37.2%82.4%0.0%4.5%-7.9%12.8K356.3K-1.6K0.0989.501111,458268
2020-03-04$27.02$32.0046.0%13.2%37.4%62.7%0.0%7.4%-3.2%4.9K392.5K-1.4K0.2082.951021,458269
2020-03-05$26.24$31.0060.8%14.7%37.5%100.0%0.0%8.8%-8.4%15.5K315.8K-1.7K0.0078.85021,466271
2020-03-06$26.17$31.0075.4%14.8%37.0%100.0%0.0%17.6%-8.5%16.7K314.3K-1.7K0.0097.83001,466271
2020-03-09$24.21$31.00113.7%21.4%43.7%100.0%62.3%16.7%-31.1%14.5K304.3K-1.5K0.00112.781301,466271
2020-03-10$24.64$31.0095.6%19.5%44.9%80.0%0.0%14.8%-20.6%16.3K255.0K-1.6K0.0097.810401,457264
2020-03-11$23.89$31.0075.8%21.7%43.3%58.1%0.0%12.1%-12.5%17.8K111.0K-1.8K0.00102.80051,457240
2020-03-12$19.88$31.00108.4%31.1%73.0%94.1%0.0%21.3%-35.3%10.0K175.9K-1.3K0.00112.791001,457240
2020-03-13$20.82$31.00119.0%34.1%77.0%100.0%0.0%-0.4%-45.5%3.8K357.9K-7810.60107.49531,448239
2020-03-16$19.59$31.0091.0%26.1%78.2%70.8%96.4%13.4%-10.2%3.6K355.8K-5731.3595.0837501,449236
2020-03-17$19.96$31.00100.0%28.7%79.5%80.1%115.6%23.3%-31.5%649289.0K-5070.09105.881111,484217
2020-03-18$20.87$31.0094.7%27.2%82.2%74.7%105.7%-2.7%-12.8%3.4K175.9K-84761.0092.591611,487206
2020-03-19$22.35$31.0092.8%26.6%87.6%72.6%101.2%15.6%-9.4%2.4K173.1K-9811.4495.2152751,486267
2020-03-20$21.41$31.0076.1%21.8%88.2%55.3%77.3%-0.9%7.2%-1.0K242.6K-1.1K0.00107.77601,538342
2020-03-23$22.51$31.0082.2%23.6%90.8%61.6%78.1%17.1%14.2%293135.6K-1.2K0.1093.42101410226
2020-03-24$24.53$31.0075.5%21.6%96.5%54.6%67.3%25.9%2.6%2.3K81.9K-1.4K0.3395.2793415226
2020-03-25$25.91$31.0076.9%22.0%98.8%56.1%65.5%30.0%7.2%5.0K-19.3K-1.6K0.00108.3780420229
2020-03-26$27.20$31.0064.8%18.6%99.7%43.4%47.8%22.3%12.9%7.6K-72.8K-1.7K0.00101.29200428229
2020-03-27$26.16$31.0079.0%22.7%100.1%58.3%89.1%15.2%1.2%7.6K-109.8K-1.8K1.50107.5323433229
2020-03-30$26.49$31.0073.9%21.2%99.4%52.9%87.5%20.1%-7.5%6.7K-44.7K-1.6K0.75103.6186435232
2020-03-31$27.06$31.0054.8%15.7%99.6%33.0%41.9%23.8%-1.6%8.5K-74.7K-1.6K0.00109.1160443236