SANM Options History — July 2020

In July 2020, SANM traded between $23.98 and $29.74. ATM implied volatility averaged 51.1%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 15.2% (HV 20d: 35.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2020-07-06: Highest Volume — 435 contracts
  • 2020-07-09: Largest IV spike — 33.4% change
  • 2020-07-09: Highest IV Rank — 44.1%
  • 2020-07-28: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.77$23.98$29.74$24.50$29.48
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV51.1%39.1%65.4%45.2%41.0%
Expected Move14.9%11.2%17.3%13.0%11.7%
HV 20d35.9%29.2%56.8%41.0%56.8%
HV 60d48.8%43.5%52.4%52.2%51.9%
IV Rank29.2%16.7%44.1%23.0%18.6%
IV Percentile72.5%46.8%89.3%61.1%49.6%
Term Structure-4.8%-12.3%8.3%7.6%-2.1%
VWIV49.5%38.6%60.4%39.6%41.8%
Skew 25d6.4%0.3%10.5%5.7%4.2%
Skew 10d19.2%-0.3%44.5%9.3%0.3%
Call IV 25d49.0%38.8%55.9%41.6%39.0%
Put IV 25d55.4%42.9%63.6%47.3%43.2%
Bid-Ask Spread %75.8847.4089.7188.7685.03
Gamma HHI0.200.110.570.130.35
Net GEX14.3K-3.0K70.7K2.7K70.7K
Net DEX-295.6K-1.7M62.8K-24.7K-1.7M
Net VEX-1.5K-3.5K-1.0K-1.3K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.004.000.001.69
Total Volume100.364143524140
Total OI813.0913051,2159371,215

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$24.50$25.0045.2%13.0%41.0%23.0%39.6%5.7%7.6%2.7K-24.7K-1.3K0.0088.76240664273
2020-07-02$24.93$25.0041.4%11.9%39.5%19.1%38.6%6.6%8.3%7.2K-90.4K-1.4K0.8089.5354680273
2020-07-06$25.10$25.0043.1%15.4%37.8%20.8%56.2%8.1%-8.6%8.4K-86.5K-1.2K1.1547.40202233682272
2020-07-07$24.15$25.0050.1%15.7%39.4%28.2%51.4%9.6%-7.7%-95214.5K-1.2K2.5072.7825684272
2020-07-08$23.98$25.0049.0%15.8%39.4%27.0%50.7%10.0%-6.7%-3.0K53.0K-1.1K0.3073.99237683277
2020-07-09$23.99$25.0065.4%15.7%38.2%44.1%0.0%7.3%-5.8%-1.2K62.8K-1.1K1.4363.11710694283
2020-07-10$24.45$25.0050.8%16.2%30.0%28.8%51.5%9.0%-2.9%-1.6K-17.7K-1.1K0.0075.29340693293
2020-07-13$25.10$25.0057.0%16.2%31.7%35.3%55.1%8.0%-9.2%8.4K-145.2K-1.2K4.0069.07312713293
2020-07-14$25.35$25.0055.6%16.7%31.8%33.9%60.4%10.5%-6.3%9.8K-161.0K-1.1K0.6770.0832715301
2020-07-15$26.18$25.0055.4%15.9%32.5%33.7%58.9%7.1%-5.8%22.0K-310.9K-1.1K0.7370.15190138717303
2020-07-16$25.85$25.0059.7%17.1%32.2%38.1%0.0%5.9%-12.3%18.4K-283.9K-1.1K0.0079.4010725303
2020-07-17$26.22$25.0051.8%14.9%31.0%29.9%49.0%3.7%-5.8%18.3K-341.6K-1.1K0.1081.33293725303
2020-07-20$26.13$25.0054.8%15.7%31.1%33.0%53.7%8.3%-4.2%7.3K-151.1K-1.0K1.9089.71214023768
2020-07-21$26.23$25.0051.8%14.8%31.1%29.8%52.3%2.1%-3.7%6.6K-148.4K-1.2K1.2074.0256253108
2020-07-22$26.20$25.0050.6%14.5%31.1%28.6%48.1%8.4%-6.2%6.3K-132.7K-1.2K0.0068.121340257114
2020-07-23$26.39$25.0048.9%14.0%29.2%26.9%39.0%7.4%-3.7%15.4K-263.1K-1.6K0.0280.43641390114
2020-07-24$25.51$25.0050.5%14.5%32.0%28.5%52.9%5.9%-6.1%15.5K-242.0K-1.8K1.5068.8123453115
2020-07-27$26.07$25.0051.9%14.9%32.1%30.0%0.0%7.5%-7.4%17.6K-286.0K-1.8K0.0072.9610453118
2020-07-28$25.31$25.0060.5%17.3%32.4%39.0%44.3%2.4%-12.0%14.1K-239.8K-1.7K1.0084.1111454118
2020-07-29$25.98$25.0050.9%14.6%33.5%29.0%53.9%2.5%-5.1%16.7K-293.2K-1.8K0.1188.5337941455122
2020-07-30$29.74$25.0039.1%11.2%56.5%16.7%43.4%0.3%1.1%56.9K-1.7M-2.8K0.1476.6338052843180
2020-07-31$29.48$25.0041.0%11.7%56.8%18.6%41.8%4.2%-2.1%70.7K-1.7M-3.5K1.6985.0352881,030185