SANM Options History — September 2020

In September 2020, SANM traded between $25.81 and $29.27. ATM implied volatility averaged 44.7%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 8.0% (HV 20d: 36.7%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.90.

Notable Days

  • 2020-09-04: Highest Volume — 206 contracts
  • 2020-09-02: Largest IV spike — 72.8% change
  • 2020-09-02: Highest IV Rank — 50.7%
  • 2020-09-02: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.16$25.81$29.27$28.32$26.99
Max Pain$26.43$26.00$28.00$28.00$28.00
ATM IV44.7%38.1%71.7%41.5%38.8%
Expected Move12.4%10.9%20.6%11.9%11.1%
HV 20d36.7%28.1%43.2%28.1%43.2%
HV 60d42.8%41.2%44.2%43.1%43.5%
IV Rank22.5%15.6%50.7%19.1%16.3%
IV Percentile54.8%40.1%91.7%52.0%40.1%
Term Structure4.3%-31.0%18.3%-0.9%12.7%
VWIV42.5%36.0%53.6%36.0%38.1%
Skew 25d3.7%-13.6%14.5%4.5%-2.5%
Skew 10d13.7%-100.1%60.4%-18.0%17.2%
Call IV 25d43.7%37.2%63.4%39.4%46.7%
Put IV 25d47.4%44.0%55.7%44.0%44.1%
Bid-Ask Spread %102.0988.04116.5599.34110.04
Gamma HHI0.220.150.630.230.15
Net GEX48.2K15.8K165.9K54.1K15.8K
Net DEX-481.1K-1.0M-96.8K-842.4K-96.8K
Net VEX-2.4K-3.8K-1.6K-3.7K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.0037.500.0037.50
Total Volume58.42902063154
Total OI1,199.199391,3341,1051,313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$28.32$28.0041.5%11.9%28.1%19.1%36.0%4.5%-0.9%54.1K-842.4K-3.7K0.0099.3430997108
2020-09-02$29.27$28.0071.7%20.6%30.8%50.7%53.6%-13.6%-31.0%59.5K-1.0M-3.8K0.00113.591330999108
2020-09-03$28.05$26.0049.6%12.0%34.1%27.6%0.0%12.6%18.3%51.9K-875.2K-3.7K0.29103.06721,020108
2020-09-04$27.73$26.0058.8%12.3%34.1%37.2%44.0%-0.5%0.7%47.9K-756.8K-3.5K0.0296.8220151,026110
2020-09-08$26.44$26.0055.0%13.0%37.0%33.3%45.0%-3.5%0.7%45.6K-513.6K-2.8K0.8598.7420171,182111
2020-09-09$26.79$26.0042.7%12.3%37.5%20.4%0.0%5.4%4.9%48.9K-444.8K-2.6K0.6392.73851,188122
2020-09-10$26.46$26.0044.0%12.6%36.8%21.7%41.8%1.1%4.3%39.8K-327.3K-2.3K0.13107.932431,188123
2020-09-11$26.47$26.0041.5%11.9%36.8%19.2%0.0%5.3%4.5%34.1K-234.2K-2.0K0.0097.09001,177126
2020-09-14$27.09$26.0038.1%10.9%38.2%15.6%40.4%7.7%8.0%43.2K-336.9K-2.0K1.1792.14671,177126
2020-09-15$27.07$26.0044.1%12.6%38.2%21.8%0.0%4.4%-0.5%53.8K-466.1K-2.2K0.00103.251001,183127
2020-09-16$27.91$26.0041.8%12.0%33.7%19.4%48.5%-4.5%1.7%70.6K-716.8K-2.5K6.25108.974251,187127
2020-09-17$27.78$27.0040.9%11.7%33.8%18.6%0.0%3.2%8.4%59.6K-533.7K-2.3K1.0096.88111,183150
2020-09-18$28.03$27.0039.6%11.3%33.4%17.1%39.1%14.5%6.0%165.9K-559.8K-2.0K0.00111.8012301,184150
2020-09-21$26.72$27.0041.3%11.8%37.7%18.9%42.7%7.9%7.2%27.2K-248.5K-1.6K0.46106.82391886871
2020-09-22$26.57$26.0040.1%11.5%36.5%17.7%38.5%6.8%8.3%27.5K-253.7K-1.6K0.0195.0799190489
2020-09-23$25.81$26.0041.8%12.0%37.3%19.5%41.6%3.4%7.3%24.6K-259.6K-1.8K0.00116.5527099790
2020-09-24$26.48$26.0042.6%12.2%38.7%20.3%42.0%4.8%8.0%31.8K-352.0K-2.0K0.03102.803511,01490
2020-09-25$25.89$26.0042.2%12.1%39.2%19.8%46.0%5.8%7.9%23.9K-244.8K-1.7K3.00105.36261,04191
2020-09-28$27.24$26.0040.9%11.7%43.2%18.5%43.5%6.1%7.5%42.1K-477.6K-2.2K0.6496.9439251,041100
2020-09-29$27.26$26.0041.5%11.9%43.2%19.2%39.4%8.1%7.1%44.7K-517.5K-2.3K6.0488.04251511,070117
2020-09-30$26.99$28.0038.8%11.1%43.2%16.3%38.1%-2.5%12.7%15.8K-96.8K-2.1K37.50110.0441501,046267