SANM Options History — October 2020

In October 2020, SANM traded between $24.30 and $27.98. ATM implied volatility averaged 47.6%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 15.6% (HV 20d: 32.0%). Max pain ranged from $24.00 to $28.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-10-12: Highest Volume — 123 contracts
  • 2020-10-14: Largest IV spike — 32.9% change
  • 2020-10-30: Highest IV Rank — 42.2%
  • 2020-10-30: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.50$24.30$27.98$26.82$24.31
Max Pain$25.18$24.00$28.00$28.00$24.00
ATM IV47.6%33.7%63.6%38.9%63.6%
Expected Move14.7%11.1%18.2%11.2%18.2%
HV 20d32.0%26.0%41.2%41.2%28.4%
HV 60d40.1%31.1%43.5%43.5%33.4%
IV Rank25.5%11.0%42.2%16.4%42.2%
IV Percentile60.9%28.2%88.1%40.5%88.1%
Term Structure-5.0%-13.7%10.9%8.7%-13.7%
VWIV55.8%46.6%92.4%52.7%61.5%
Skew 25d8.8%-1.6%21.9%10.2%9.9%
Skew 10d38.8%-13.5%98.1%30.3%19.5%
Call IV 25d49.5%32.6%64.5%32.6%60.4%
Put IV 25d58.3%42.8%71.7%42.8%70.2%
Bid-Ask Spread %81.2963.38107.39107.3977.31
Gamma HHI0.180.120.330.180.14
Net GEX17.8K-1.1K40.1K24.9K11.5K
Net DEX-195.9K-483.8K100.4K-212.7K-141.9K
Net VEX-1.5K-1.9K-1.2K-1.9K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.005.831.001.35
Total Volume31.0451123416
Total OI909.3183471,3811,224562

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$26.82$28.0038.9%11.2%41.2%16.4%0.0%10.2%8.7%24.9K-212.7K-1.9K1.00107.39221,046178
2020-10-02$26.69$28.0038.8%11.1%38.6%16.3%52.7%-1.6%10.9%23.6K-205.5K-1.8K0.20102.601021,048180
2020-10-05$27.06$25.0037.3%14.2%38.9%14.8%75.8%8.8%-0.8%25.4K-241.9K-1.7K0.0073.371601,047181
2020-10-06$27.13$25.0038.3%14.2%34.8%15.8%46.6%10.2%-6.3%28.2K-271.2K-1.7K1.6765.13351,058181
2020-10-07$27.38$25.0036.9%14.0%34.7%14.4%49.0%7.9%-5.9%31.7K-318.3K-1.7K0.2971.1335101,059181
2020-10-08$27.78$25.0033.7%13.7%34.6%11.0%0.0%7.2%-3.6%36.3K-433.9K-1.8K0.0081.33101,075191
2020-10-09$27.74$25.0035.9%14.1%34.6%13.3%47.3%7.1%-4.0%37.3K-440.8K-1.7K0.14100.941421,075191
2020-10-12$27.98$25.0038.3%13.6%33.8%15.8%54.9%6.3%-2.0%40.1K-483.8K-1.6K5.8393.78181051,082191
2020-10-13$27.25$25.0037.9%14.0%35.3%15.4%52.2%5.7%-9.5%3.0K-21.7K-1.4K0.0080.82101,068291
2020-10-14$26.97$25.0050.3%14.4%33.6%28.4%54.4%21.9%-5.2%4.1K100.4K-1.3K0.0482.484521,069291
2020-10-15$27.34$25.0051.6%14.8%34.0%29.7%47.9%-0.9%-8.5%-1.1K-45.4K-1.3K0.0066.031401,074293
2020-10-16$27.25$25.0049.1%14.1%33.8%27.1%47.5%9.2%-4.9%14.3K51.1K-1.2K1.4086.4010141,088293
2020-10-19$26.95$25.0051.8%14.8%29.3%29.8%49.4%11.1%-6.3%12.6K-243.4K-1.3K0.0090.9630029750
2020-10-20$26.60$25.0049.9%14.3%29.6%27.9%47.8%16.4%-4.2%14.0K-238.1K-1.3K0.2391.00481132650
2020-10-21$26.12$25.0053.6%15.4%28.4%31.8%55.3%10.5%-4.8%14.7K-215.9K-1.4K0.0082.470137461
2020-10-22$26.11$25.0052.0%14.9%26.9%30.1%92.4%9.9%-2.3%14.8K-221.3K-1.4K0.0085.411037462
2020-10-23$26.50$25.0051.3%14.7%26.1%29.4%50.8%0.9%-6.6%15.7K-254.3K-1.4K0.8071.19201637362
2020-10-26$25.12$25.0058.2%16.7%26.0%36.6%57.1%10.5%-10.8%11.1K-138.1K-1.2K0.3572.56341238378
2020-10-27$25.09$25.0058.0%16.6%26.0%36.3%56.5%9.4%-10.9%10.1K-100.8K-1.2K0.2463.3821537790
2020-10-28$24.30$25.0061.8%17.7%27.8%40.3%60.5%10.4%-9.7%8.3K-81.4K-1.2K0.4570.30713238791
2020-10-29$24.56$24.0059.7%17.1%28.3%38.1%61.5%12.0%-10.3%11.2K-151.2K-1.4K1.3572.452331459118
2020-10-30$24.31$24.0063.6%18.2%28.4%42.2%0.0%9.9%-13.7%11.5K-141.9K-1.2K0.0077.31016462100