SANM Options History — April 2020

In April 2020, SANM traded between $23.19 and $28.84. ATM implied volatility averaged 64.3%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 26.1% (HV 20d: 90.4%). Max pain ranged from $24.00 to $31.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2020-04-01: Highest Volume — 156 contracts
2020-04-28: Largest IV drop — 24.3% change
2020-04-01: Highest IV Rank — 67.3%
2020-04-01: Largest Expected Move — 25.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.09	$23.19	$28.84	$23.77	$27.89
Max Pain	$25.10	$24.00	$31.00	$31.00	$26.00
ATM IV	64.3%	37.9%	87.6%	87.6%	42.9%
Expected Move	18.3%	10.9%	25.1%	25.1%	12.3%
HV 20d	90.4%	67.2%	112.1%	109.3%	67.2%
HV 60d	72.6%	67.1%	76.7%	67.1%	76.7%
IV Rank	42.9%	15.4%	67.3%	67.3%	20.6%
IV Percentile	88.3%	65.1%	96.8%	96.8%	69.4%
Term Structure	-10.5%	-25.7%	4.9%	-19.3%	-2.8%
VWIV	63.8%	39.3%	90.9%	90.9%	39.3%
Skew 25d	15.3%	-9.6%	26.3%	26.1%	22.5%
Skew 10d	30.5%	-5.8%	63.7%	30.0%	-5.8%
Call IV 25d	57.5%	35.1%	73.8%	73.8%	52.5%
Put IV 25d	72.8%	51.6%	99.9%	99.9%	75.1%
Bid-Ask Spread %	85.37	57.86	112.30	105.54	112.30
Gamma HHI	0.16	0.11	0.34	0.12	0.13
Net GEX	4.4K	-9.3K	12.8K	1.9K	10.7K
Net DEX	-89.7K	-285.1K	220.1K	83.7K	-234.8K
Net VEX	-1.4K	-1.7K	-996	-1.3K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.00	5.50	5.50	0.20
Total Volume	21.143	0	156	156	6
Total OI	645.571	318	885	681	429

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
2020-04-01	$23.77	$31.00	87.6%	25.1%	109.3%	67.3%	90.9%	26.1%	-19.3%	1.9K	83.7K	-1.3K	5.50	105.54	24	132	445	236
2020-04-02	$23.88	$24.00	81.4%	21.2%	109.0%	60.8%	72.1%	7.2%	-16.5%	-5.5K	162.2K	-1.6K	0.00	71.51	2	0	465	401
2020-04-03	$23.19	$24.00	68.8%	19.4%	109.3%	47.6%	0.0%	12.6%	-1.5%	-9.3K	220.1K	-1.5K	2.40	76.06	5	12	466	394
2020-04-06	$25.64	$24.00	68.7%	20.3%	112.1%	47.5%	0.0%	21.0%	-25.7%	1.1K	19.4K	-1.7K	0.00	67.92	0	0	466	406
2020-04-07	$25.77	$24.00	76.6%	20.8%	112.0%	55.7%	69.5%	26.3%	-16.6%	153	39.1K	-1.6K	1.00	75.05	1	1	467	406
2020-04-08	$26.61	$24.00	63.1%	18.1%	111.7%	41.7%	54.6%	10.1%	-13.4%	4.3K	-46.9K	-1.5K	0.00	99.72	19	0	468	407
2020-04-09	$26.91	$24.00	59.3%	17.0%	86.5%	37.7%	81.0%	13.0%	4.9%	5.6K	-73.4K	-1.5K	0.00	93.23	0	3	478	407
2020-04-13	$26.73	$24.00	63.1%	18.1%	86.1%	41.7%	64.6%	18.1%	-6.1%	7.4K	-93.0K	-1.3K	0.00	100.23	0	1	478	394
2020-04-14	$27.12	$25.00	59.6%	17.1%	81.6%	38.0%	62.5%	13.7%	-11.9%	9.6K	-173.3K	-1.4K	0.00	92.05	13	0	478	377
2020-04-15	$25.21	$25.00	71.6%	20.5%	87.5%	50.6%	0.0%	23.1%	-9.9%	1.8K	-69.5K	-1.3K	0.00	110.39	0	1	489	377
2020-04-16	$24.57	$25.00	61.6%	17.6%	87.6%	40.1%	64.5%	22.5%	-20.0%	-2.5K	5.4K	-996	0.67	107.96	12	8	489	377
2020-04-17	$26.48	$25.00	58.3%	16.7%	88.2%	36.7%	48.7%	14.8%	-21.0%	5.6K	-192.2K	-1.3K	0.06	100.09	17	1	490	365
2020-04-20	$26.14	$25.00	67.0%	19.2%	86.5%	45.8%	62.5%	-9.6%	-12.5%	6.0K	-143.2K	-1.2K	0.03	71.48	29	1	236	82
2020-04-21	$25.32	$25.00	71.1%	20.4%	86.3%	50.0%	68.1%	13.3%	-2.7%	5.7K	-171.4K	-1.5K	0.00	81.24	1	0	263	82
2020-04-22	$25.66	$25.00	72.3%	20.7%	81.1%	51.3%	66.5%	15.1%	-7.3%	5.9K	-164.8K	-1.5K	0.00	66.75	6	0	264	82
2020-04-23	$26.14	$25.00	70.5%	20.2%	79.0%	49.4%	0.0%	11.6%	-8.2%	6.9K	-163.0K	-1.4K	0.00	82.69	0	0	269	82
2020-04-24	$26.93	$25.00	62.5%	17.9%	77.7%	41.0%	59.4%	10.0%	-13.1%	7.8K	-194.7K	-1.4K	0.00	65.35	5	0	269	82
2020-04-27	$28.12	$25.00	60.3%	17.3%	77.8%	38.7%	63.6%	11.7%	-10.6%	9.6K	-246.2K	-1.5K	1.18	57.86	33	39	270	82
2020-04-28	$27.03	$26.00	45.7%	13.1%	79.2%	23.5%	53.0%	15.1%	-4.1%	7.4K	-162.5K	-1.4K	2.44	77.32	16	39	300	121
2020-04-29	$28.84	$26.00	37.9%	10.9%	82.1%	15.4%	39.3%	22.3%	-2.0%	12.8K	-285.1K	-1.6K	0.13	78.03	15	2	301	117
2020-04-30	$27.89	$26.00	42.9%	12.3%	67.2%	20.6%	0.0%	22.5%	-2.8%	10.7K	-234.8K	-1.5K	0.20	112.30	5	1	312	117