SANM Options History — June 2020

In June 2020, SANM traded between $24.18 and $28.72. ATM implied volatility averaged 46.9%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 2.1% (HV 20d: 49.0%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2020-06-04: Highest Volume — 277 contracts
  • 2020-06-15: Largest IV drop — 20.6% change
  • 2020-06-12: Highest IV Rank — 35.7%
  • 2020-06-12: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.15$24.18$28.72$27.02$25.21
Max Pain$25.14$25.00$26.00$26.00$25.00
ATM IV46.9%37.9%57.4%42.8%46.1%
Expected Move13.4%11.0%16.5%12.3%13.2%
HV 20d49.0%38.0%58.3%56.6%40.1%
HV 60d67.4%55.8%80.5%80.5%55.9%
IV Rank24.8%15.4%35.7%20.5%23.9%
IV Percentile68.8%55.6%84.1%62.3%63.1%
Term Structure2.1%-9.4%7.7%-0.4%5.6%
VWIV46.3%28.0%56.7%46.7%46.4%
Skew 25d7.4%1.3%13.3%6.6%6.3%
Skew 10d24.2%-10.9%54.5%29.7%16.0%
Call IV 25d44.3%37.4%49.8%40.6%43.3%
Put IV 25d51.7%42.7%60.5%47.1%49.6%
Bid-Ask Spread %92.7067.16109.8085.6067.54
Gamma HHI0.160.100.450.100.12
Net GEX13.4K-16.4K37.7K11.6K9.0K
Net DEX-220.5K-559.7K-93.8K-242.9K-131.2K
Net VEX-1.4K-2.0K-1.2K-1.4K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.006.112.000.00
Total Volume64.909227732
Total OI763.2275561,028556936

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$27.02$26.0042.8%12.3%56.6%20.5%46.7%6.6%-0.4%11.6K-242.9K-1.4K2.0085.6012388168
2020-06-02$27.01$26.0042.9%12.3%56.6%20.7%55.7%6.5%-2.0%11.5K-226.1K-1.4K0.1467.1671389170
2020-06-03$27.05$26.0040.9%11.7%56.5%18.5%41.0%7.2%-0.1%11.5K-226.8K-1.3K0.0091.87160388170
2020-06-04$27.93$25.0039.2%11.1%57.5%16.7%39.8%7.2%5.3%16.5K-322.5K-1.4K0.4892.7218790393170
2020-06-05$28.72$25.0037.9%11.3%58.3%15.4%30.2%1.3%2.1%20.0K-390.0K-1.4K0.04109.8022410394170
2020-06-08$28.68$25.0043.8%11.0%54.6%21.6%0.0%2.8%5.5%37.1K-559.7K-2.0K0.0095.3060589180
2020-06-09$28.43$25.0045.0%11.9%54.1%22.8%28.0%7.0%1.2%37.7K-518.7K-1.8K0.0099.9290595180
2020-06-10$27.44$25.0042.6%12.2%53.1%20.3%44.4%3.3%7.3%26.8K-381.1K-1.7K0.56106.6795600180
2020-06-11$25.50$25.0050.0%14.3%55.1%28.0%50.6%7.3%-4.5%7.7K-117.5K-1.4K2.30104.601023605185
2020-06-12$25.42$25.0057.4%16.5%54.3%35.7%48.9%8.8%-2.4%9.5K-136.9K-1.5K2.50109.60820608198
2020-06-15$25.59$25.0045.6%13.1%53.9%23.4%55.1%4.8%-0.4%5.5K-93.8K-1.2K0.7593.502418619198
2020-06-16$26.27$25.0051.7%14.8%45.6%29.8%46.4%6.1%7.7%15.1K-222.6K-1.4K0.00101.94150635215
2020-06-17$25.82$25.0050.1%14.4%46.0%28.2%46.9%9.5%-9.4%8.0K-173.4K-1.3K0.0094.131680647215
2020-06-18$25.15$25.0049.5%14.2%46.6%27.5%46.9%8.8%2.8%4.9K-104.8K-1.3K0.0288.18461773215
2020-06-19$25.18$25.0048.1%13.8%45.7%26.0%45.7%8.7%6.4%-16.4K-167.9K-1.4K0.0898.71383812216
2020-06-22$25.28$25.0048.4%13.9%45.4%26.4%47.7%8.6%4.7%15.9K-187.1K-1.4K0.0778.49151589117
2020-06-23$25.29$25.0048.4%13.9%42.5%26.3%47.0%6.8%6.4%17.0K-197.5K-1.4K0.6985.86160111599118
2020-06-24$24.61$25.0051.3%14.7%40.5%29.4%56.6%13.3%2.2%12.2K-116.4K-1.2K1.6791.5035609129
2020-06-25$24.55$25.0046.8%13.4%38.0%24.6%46.1%11.0%4.9%11.6K-105.9K-1.2K0.0091.21430609134
2020-06-26$24.18$25.0054.1%15.5%38.1%32.3%56.7%12.3%0.2%12.1K-121.4K-1.3K6.1197.3519116642134
2020-06-29$24.95$25.0049.7%14.2%39.7%27.7%46.4%8.9%4.0%9.5K-107.7K-1.5K0.5087.7284660250
2020-06-30$25.21$25.0046.1%13.2%40.1%23.9%0.0%6.3%5.6%9.0K-131.2K-1.6K0.0067.5420663273