SANM Options History — August 2020

In August 2020, SANM traded between $27.22 and $30.32. ATM implied volatility averaged 36.0%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 15.5% (HV 20d: 51.5%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.30.

Notable Days

2020-08-10: Highest Volume — 1,269 contracts
2020-08-07: Largest IV spike — 9.4% change
2020-08-07: Highest IV Rank — 16.4%
2020-08-31: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.95	$27.22	$30.32	$29.62	$28.36
Max Pain	$27.48	$25.00	$28.00	$25.00	$28.00
ATM IV	36.0%	33.8%	38.9%	37.9%	38.6%
Expected Move	10.3%	9.7%	11.1%	10.9%	11.1%
HV 20d	51.5%	27.3%	59.1%	56.8%	28.2%
HV 60d	45.8%	43.1%	51.9%	51.9%	43.1%
IV Rank	13.4%	11.1%	16.4%	15.4%	16.1%
IV Percentile	42.7%	36.9%	47.6%	44.8%	47.6%
Term Structure	2.1%	0.1%	12.9%	12.9%	1.1%
VWIV	37.5%	33.7%	48.7%	38.3%	40.5%
Skew 25d	3.3%	-4.3%	5.7%	2.9%	5.2%
Skew 10d	8.6%	-51.3%	25.4%	10.0%	19.7%
Call IV 25d	35.1%	31.5%	38.1%	38.1%	36.9%
Put IV 25d	38.3%	32.5%	42.1%	41.0%	42.1%
Bid-Ask Spread %	68.27	55.70	84.60	57.06	58.67
Gamma HHI	0.31	0.23	0.58	0.35	0.24
Net GEX	91.6K	34.7K	188.0K	79.0K	55.4K
Net DEX	-1.6M	-3.4M	-503.8K	-1.8M	-798.3K
Net VEX	-3.7K	-8.1K	-2.6K	-3.4K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	2.14	0.37	0.26
Total Volume	164.286	1	1,269	37	24
Total OI	1,470	927	2,420	1,273	1,099

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
2020-08-03	$29.62	$25.00	37.9%	10.9%	56.8%	15.4%	38.3%	2.9%	12.9%	79.0K	-1.8M	-3.4K	0.37	57.06	27	10	1,044	229
2020-08-04	$29.73	$26.00	37.2%	10.7%	54.1%	14.7%	48.7%	2.8%	0.5%	81.3K	-1.9M	-3.3K	0.11	66.49	237	26	1,063	239
2020-08-05	$29.80	$26.00	36.4%	10.4%	53.8%	13.8%	36.1%	3.2%	0.1%	84.2K	-2.0M	-3.3K	0.02	77.94	103	2	1,086	244
2020-08-06	$29.93	$27.00	35.5%	10.5%	53.7%	12.9%	38.9%	3.7%	1.5%	89.9K	-2.1M	-3.5K	1.04	68.80	24	25	1,167	242
2020-08-07	$29.99	$27.00	38.9%	10.6%	53.7%	16.4%	39.4%	-4.3%	1.6%	86.3K	-2.1M	-3.6K	0.00	84.60	21	0	1,165	264
2020-08-10	$30.30	$27.00	36.6%	11.0%	53.4%	14.0%	40.4%	4.4%	1.6%	83.5K	-2.3M	-3.2K	0.00	63.64	1,264	5	1,166	264
2020-08-11	$29.88	$27.00	35.9%	10.7%	54.0%	13.3%	39.1%	5.7%	0.8%	164.1K	-3.4M	-8.1K	0.04	70.51	1,104	40	2,158	262
2020-08-12	$30.32	$28.00	35.4%	10.1%	53.4%	12.8%	0.0%	4.5%	1.4%	105.8K	-2.7M	-4.5K	0.00	65.03	0	1	1,474	252
2020-08-13	$29.86	$28.00	35.3%	10.1%	53.5%	12.7%	0.0%	1.7%	1.6%	114.1K	-2.5M	-4.5K	0.00	68.08	4	0	1,474	252
2020-08-14	$29.68	$28.00	34.4%	9.9%	53.6%	11.8%	0.0%	3.4%	2.2%	118.7K	-2.4M	-4.2K	0.12	55.70	33	4	1,474	252
2020-08-17	$29.39	$28.00	36.2%	10.4%	53.8%	13.7%	0.0%	4.3%	1.7%	132.4K	-2.3M	-4.0K	0.03	62.79	102	3	1,490	252
2020-08-18	$27.66	$28.00	37.7%	10.8%	58.8%	15.2%	37.3%	1.3%	2.6%	162.7K	-1.1M	-3.3K	0.60	67.75	20	12	1,493	255
2020-08-19	$27.70	$28.00	34.4%	9.8%	58.8%	11.7%	34.6%	3.8%	2.6%	188.0K	-1.0M	-3.1K	0.29	60.49	49	14	1,495	260
2020-08-20	$27.26	$28.00	34.6%	9.9%	59.1%	12.0%	34.3%	1.6%	3.3%	101.4K	-625.6K	-2.9K	0.60	79.35	25	15	1,533	264
2020-08-21	$27.22	$28.00	35.8%	10.3%	57.6%	13.2%	34.8%	4.1%	0.9%	34.7K	-503.8K	-2.6K	2.14	80.98	22	47	1,527	268
2020-08-24	$27.90	$28.00	33.8%	9.7%	57.8%	11.1%	33.7%	3.3%	1.3%	38.2K	-525.3K	-3.0K	0.01	72.95	136	2	827	100
2020-08-25	$28.18	$28.00	33.8%	9.7%	56.5%	11.1%	34.2%	5.2%	1.3%	46.6K	-645.1K	-3.4K	0.00	76.76	16	0	927	102
2020-08-26	$28.35	$28.00	35.0%	10.0%	55.9%	12.4%	34.6%	3.1%	2.5%	48.9K	-720.2K	-3.4K	0.00	67.24	6	0	940	102
2020-08-27	$28.11	$28.00	36.3%	10.4%	27.3%	13.7%	37.2%	4.8%	1.2%	51.2K	-690.9K	-3.4K	0.43	60.56	7	3	978	102
2020-08-28	$28.62	$28.00	36.3%	10.4%	28.2%	13.7%	36.1%	4.5%	1.7%	57.0K	-855.9K	-3.7K	0.00	68.18	17	0	982	103
2020-08-31	$28.36	$28.00	38.6%	11.1%	28.2%	16.1%	40.5%	5.2%	1.1%	55.4K	-798.3K	-3.6K	0.26	58.67	19	5	996	103