SANM Options History — May 2020

In May 2020, SANM traded between $24.56 and $28.62. ATM implied volatility averaged 48.5%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 13.8% (HV 20d: 62.3%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 4.11.

Notable Days

2020-05-18: Highest Volume — 45 contracts
2020-05-13: Largest IV drop — 32.9% change
2020-05-12: Highest IV Rank — 50.7%
2020-05-13: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.81	$24.56	$28.62	$26.62	$26.66
Max Pain	$23.70	$23.00	$26.00	$26.00	$26.00
ATM IV	48.5%	41.2%	71.8%	43.8%	43.0%
Expected Move	12.7%	11.5%	13.8%	12.6%	12.3%
HV 20d	62.3%	56.7%	70.0%	70.0%	58.8%
HV 60d	78.9%	76.7%	81.0%	77.2%	80.7%
IV Rank	26.5%	18.8%	50.7%	21.6%	20.7%
IV Percentile	72.6%	61.1%	92.1%	70.6%	63.5%
Term Structure	-0.7%	-7.3%	1.6%	-7.3%	-0.5%
VWIV	45.8%	35.6%	56.3%	48.9%	42.5%
Skew 25d	7.5%	1.2%	11.1%	6.5%	9.6%
Skew 10d	26.4%	9.1%	37.7%	36.2%	19.7%
Call IV 25d	43.5%	37.8%	60.2%	60.2%	40.4%
Put IV 25d	51.1%	45.2%	66.7%	66.7%	50.1%
Bid-Ask Spread %	75.00	54.65	102.68	102.68	77.35
Gamma HHI	0.15	0.11	0.72	0.13	0.12
Net GEX	4.5K	-44.6K	12.8K	7.5K	7.8K
Net DEX	-169.0K	-282.4K	9.7K	-161.1K	-169.4K
Net VEX	-1.4K	-1.6K	-1.2K	-1.4K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.11	0.00	33.00	33.00	0.00
Total Volume	21.75	1	45	2	29
Total OI	480.9	414	534	435	531

Daily Data (20 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
2020-05-01	$26.62	$26.00	43.8%	12.6%	70.0%	21.6%	48.9%	6.5%	-7.3%	7.5K	-161.1K	-1.4K	0.00	102.68	0	2	317	118
2020-05-04	$26.84	$23.00	48.1%	13.1%	68.8%	26.0%	56.3%	11.1%	-1.3%	8.0K	-172.0K	-1.4K	33.00	54.65	1	33	311	113
2020-05-05	$27.06	$23.00	53.1%	13.4%	59.3%	31.2%	55.1%	10.6%	-1.0%	5.8K	-163.0K	-1.5K	9.33	62.88	3	28	311	145
2020-05-06	$26.88	$23.00	55.4%	12.9%	59.4%	33.6%	47.1%	10.0%	1.1%	3.2K	-125.1K	-1.5K	1.00	66.95	2	2	308	173
2020-05-07	$27.01	$23.00	60.2%	13.1%	58.4%	38.7%	0.0%	1.2%	-0.2%	3.8K	-134.4K	-1.5K	0.00	75.32	1	0	308	173
2020-05-08	$28.62	$23.00	55.0%	11.5%	61.7%	33.3%	38.8%	9.4%	1.6%	9.9K	-249.6K	-1.6K	0.00	78.14	6	0	309	173
2020-05-11	$28.01	$23.00	55.3%	12.6%	62.3%	33.6%	42.9%	5.0%	-0.9%	7.9K	-213.3K	-1.5K	0.03	76.70	35	1	307	172
2020-05-12	$26.77	$23.00	71.8%	12.7%	64.3%	50.7%	42.8%	8.7%	-0.4%	4.2K	-149.2K	-1.4K	0.05	81.08	41	2	336	173
2020-05-13	$25.18	$23.00	48.1%	13.8%	62.7%	26.1%	46.9%	8.7%	-2.2%	-3.9K	-23.3K	-1.2K	0.00	71.45	37	0	339	175
2020-05-14	$24.56	$23.00	47.1%	13.5%	62.6%	25.0%	47.2%	8.0%	-2.3%	-1.6K	9.7K	-1.2K	0.17	78.64	18	3	343	175
2020-05-15	$25.06	$23.00	48.1%	13.8%	56.7%	26.0%	0.0%	3.3%	-0.2%	-44.6K	-36.1K	-1.3K	0.00	77.10	0	1	353	175
2020-05-18	$27.22	$23.00	43.2%	12.4%	64.1%	21.0%	35.6%	8.8%	-0.8%	9.3K	-207.0K	-1.3K	0.00	71.91	45	0	300	114
2020-05-19	$27.25	$23.00	41.8%	12.0%	62.8%	19.4%	44.9%	8.7%	0.3%	10.6K	-229.7K	-1.4K	0.11	84.49	18	2	325	114
2020-05-20	$27.36	$23.00	43.6%	12.5%	62.7%	21.3%	42.0%	8.2%	-0.3%	11.3K	-252.8K	-1.4K	0.00	69.32	14	0	336	114
2020-05-21	$26.56	$23.00	42.8%	12.3%	63.5%	20.5%	48.1%	7.4%	0.5%	10.5K	-209.0K	-1.3K	28.00	74.05	1	28	347	114
2020-05-22	$26.12	$25.00	43.4%	12.4%	62.8%	21.1%	50.1%	2.4%	0.1%	7.3K	-155.1K	-1.3K	1.20	74.23	5	6	347	142
2020-05-26	$27.23	$25.00	42.1%	12.1%	62.7%	19.8%	0.0%	6.4%	0.5%	9.9K	-218.7K	-1.4K	0.00	75.71	1	0	349	147
2020-05-27	$28.23	$25.00	41.2%	11.8%	62.3%	18.8%	44.0%	9.2%	0.3%	12.8K	-282.4K	-1.4K	1.11	68.61	18	20	350	147
2020-05-28	$27.01	$25.00	43.4%	12.4%	59.8%	21.1%	45.5%	7.6%	-1.7%	9.5K	-238.5K	-1.5K	0.03	78.73	31	1	367	167
2020-05-29	$26.66	$26.00	43.0%	12.3%	58.8%	20.7%	42.5%	9.6%	-0.5%	7.8K	-169.4K	-1.4K	0.00	77.35	29	0	363	168