SANM Options History — November 2020

In November 2020, SANM traded between $24.78 and $33.55. ATM implied volatility averaged 45.5%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 2.6% (HV 20d: 42.9%). Max pain ranged from $24.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 4.86.

Notable Days

2020-11-09: Highest Volume — 325 contracts
2020-11-11: Largest IV drop — 47.3% change
2020-11-10: Highest IV Rank — 49.4%
2020-11-02: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.28	$24.78	$33.55	$24.78	$31.89
Max Pain	$28.15	$24.00	$30.00	$24.00	$30.00
ATM IV	45.5%	32.7%	70.5%	66.0%	36.6%
Expected Move	12.0%	9.4%	18.9%	18.9%	10.5%
HV 20d	42.9%	28.9%	49.4%	28.9%	43.8%
HV 60d	38.3%	33.7%	40.3%	33.7%	39.1%
IV Rank	23.3%	10.0%	49.4%	44.7%	14.0%
IV Percentile	48.5%	20.6%	90.5%	88.9%	29.8%
Term Structure	-4.7%	-16.6%	1.2%	-15.7%	0.2%
VWIV	44.7%	34.1%	68.5%	68.0%	50.6%
Skew 25d	5.0%	-5.1%	12.6%	12.6%	6.5%
Skew 10d	20.3%	-38.2%	56.9%	43.8%	19.5%
Call IV 25d	41.9%	31.2%	64.2%	61.5%	33.6%
Put IV 25d	46.9%	35.7%	74.1%	74.1%	40.1%
Bid-Ask Spread %	87.46	64.45	108.31	64.45	108.23
Gamma HHI	0.15	0.11	0.23	0.14	0.11
Net GEX	30.6K	12.4K	56.0K	13.1K	15.4K
Net DEX	-1.1M	-2.2M	-186.6K	-186.6K	-639.6K
Net VEX	-2.5K	-3.2K	-1.2K	-1.2K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.86	0.00	57.50	0.65	57.50
Total Volume	96.75	0	325	117	117
Total OI	958.7	562	1,270	562	856

Daily Data (20 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
2020-11-02	$24.78	$24.00	66.0%	18.9%	28.9%	44.7%	68.0%	12.6%	-15.7%	13.1K	-186.6K	-1.2K	0.65	64.45	71	46	462	100
2020-11-03	$25.43	$24.00	65.8%	18.9%	30.8%	44.5%	68.5%	9.1%	-16.6%	15.3K	-265.9K	-1.4K	0.23	78.88	94	22	462	100
2020-11-04	$25.03	$24.00	57.4%	16.5%	30.7%	35.8%	61.9%	9.1%	-13.8%	16.6K	-243.1K	-1.6K	0.00	70.31	5	0	575	155
2020-11-05	$26.14	$27.00	58.1%	14.9%	34.6%	36.5%	49.2%	-5.1%	-15.6%	20.5K	-319.7K	-1.7K	0.00	74.47	75	0	579	155
2020-11-06	$26.66	$27.00	62.3%	13.0%	35.5%	40.8%	46.0%	10.0%	-5.7%	29.2K	-516.0K	-2.0K	0.12	77.64	25	3	623	155
2020-11-09	$29.00	$27.00	64.7%	12.8%	46.8%	43.4%	45.9%	4.4%	-3.2%	39.6K	-1.1M	-1.9K	0.91	73.65	170	155	642	142
2020-11-10	$29.77	$29.00	70.5%	12.6%	46.3%	49.4%	47.9%	-3.2%	-2.5%	41.8K	-1.2M	-2.9K	0.45	72.13	130	58	772	286
2020-11-11	$30.95	$29.00	37.1%	10.6%	47.5%	14.6%	37.2%	2.3%	-2.0%	50.4K	-1.7M	-2.8K	0.26	89.72	238	63	853	350
2020-11-12	$30.89	$29.00	43.8%	12.5%	47.6%	21.5%	38.6%	6.8%	-14.4%	52.2K	-1.7M	-3.2K	0.27	108.31	49	13	905	349
2020-11-13	$32.33	$29.00	37.6%	10.8%	49.4%	15.0%	37.4%	4.7%	1.0%	42.8K	-2.2M	-2.8K	0.14	88.02	153	21	902	360
2020-11-16	$32.89	$29.00	34.6%	9.9%	48.9%	12.0%	0.0%	3.4%	0.6%	42.4K	-2.2M	-2.7K	0.97	89.27	29	28	863	369
2020-11-17	$32.63	$29.00	33.4%	9.6%	48.6%	10.7%	36.5%	3.1%	1.2%	44.7K	-2.0M	-2.8K	4.33	93.84	6	26	856	387
2020-11-18	$32.09	$29.00	34.8%	10.0%	48.5%	12.1%	35.2%	4.1%	-0.2%	49.5K	-2.0M	-2.8K	1.31	85.97	13	17	857	413
2020-11-19	$31.82	$29.00	34.4%	9.9%	48.8%	11.7%	39.7%	3.9%	-1.6%	56.0K	-1.7M	-2.6K	21.00	93.21	2	42	774	423
2020-11-20	$31.70	$29.00	33.6%	9.6%	49.0%	10.9%	35.5%	6.5%	-1.2%	12.4K	-1.6M	-2.8K	0.34	96.34	58	20	772	463
2020-11-23	$32.68	$29.00	33.2%	9.5%	43.6%	10.5%	35.8%	3.3%	-0.4%	14.4K	-797.6K	-2.7K	0.50	88.61	38	19	435	326
2020-11-24	$33.55	$30.00	32.7%	9.4%	43.5%	10.0%	34.1%	5.2%	0.0%	17.6K	-909.5K	-2.6K	0.11	90.32	44	5	439	340
2020-11-25	$32.86	$30.00	33.6%	9.6%	42.1%	10.9%	36.0%	10.0%	-0.5%	18.8K	-810.0K	-3.0K	3.21	100.03	19	61	473	345
2020-11-27	$32.49	$30.00	40.4%	11.6%	43.1%	18.0%	0.0%	2.4%	-3.6%	18.9K	-730.0K	-3.1K	0.00	105.75	0	0	482	374
2020-11-30	$31.89	$30.00	36.6%	10.5%	43.8%	14.0%	50.6%	6.5%	0.2%	15.4K	-639.6K	-3.1K	57.50	108.23	2	115	482	374