SANM Options History — December 2020

In December 2020, SANM traded between $31.44 and $33.22. ATM implied volatility averaged 36.5%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.5% (HV 20d: 29.9%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2020-12-22: Highest Volume — 81 contracts
  • 2020-12-28: Largest IV spike — 59.1% change
  • 2020-12-28: Highest IV Rank — 31.5%
  • 2020-12-28: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.27$31.44$33.22$32.26$32.02
Max Pain$27.64$27.00$30.00$30.00$28.00
ATM IV36.5%33.1%53.3%35.4%35.1%
Expected Move10.4%9.5%15.3%10.2%10.1%
HV 20d29.9%22.3%43.8%43.8%23.1%
HV 60d36.4%34.3%39.0%39.0%34.8%
IV Rank13.9%10.4%31.5%12.8%12.5%
IV Percentile26.3%11.5%73.0%25.8%18.7%
Term Structure3.4%-30.0%9.8%0.5%8.5%
VWIV43.3%33.6%109.4%38.3%109.4%
Skew 25d4.6%-0.1%6.7%2.8%4.7%
Skew 10d18.9%-3.9%74.1%12.6%5.3%
Call IV 25d34.4%31.3%36.3%36.3%32.3%
Put IV 25d38.9%35.4%41.8%39.1%37.0%
Bid-Ask Spread %97.5481.48111.61102.86103.25
Gamma HHI0.120.100.160.100.16
Net GEX21.3K14.3K28.7K18.9K27.5K
Net DEX-704.0K-899.6K-402.3K-729.2K-614.5K
Net VEX-2.9K-3.3K-2.6K-3.0K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.006.670.301.25
Total Volume27.6360816327
Total OI888.2276471,009841914

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$32.26$30.0035.4%10.2%43.8%12.8%38.3%2.8%0.5%18.9K-729.2K-3.0K0.00102.86063483358
2020-12-02$32.62$30.0035.4%10.2%43.5%12.8%35.4%2.7%-0.8%17.8K-770.1K-3.0K0.3098.97103483421
2020-12-03$32.22$27.0035.9%10.5%43.2%13.3%0.0%6.2%2.1%17.9K-664.6K-3.3K4.0088.27416491424
2020-12-04$33.22$27.0035.6%10.1%42.3%13.0%0.0%5.0%3.3%21.2K-899.6K-2.9K0.0081.4810494434
2020-12-07$33.01$27.0038.8%10.4%42.6%16.3%0.0%5.0%2.8%21.6K-882.8K-2.9K0.0783.39151495434
2020-12-08$32.66$27.0036.6%10.4%33.2%14.1%36.0%5.9%3.6%22.9K-815.7K-2.9K0.0087.9150517435
2020-12-09$32.67$27.0036.1%10.4%32.4%13.5%39.8%4.5%2.9%21.6K-808.9K-3.1K0.1790.6361520435
2020-12-10$32.19$27.0035.9%10.3%30.4%13.4%0.0%5.4%3.2%20.3K-742.5K-2.9K0.8393.831210520436
2020-12-11$32.09$27.0037.2%10.7%30.4%14.7%0.0%6.6%3.6%20.2K-684.3K-2.9K0.0092.46010526436
2020-12-14$31.91$27.0036.0%10.3%25.7%13.5%38.7%3.9%4.1%16.2K-662.8K-2.7K0.3895.922610526446
2020-12-15$32.47$27.0036.3%10.4%25.8%13.7%0.0%4.8%4.4%25.5K-831.6K-2.7K6.6797.39320535456
2020-12-16$32.32$27.0036.5%10.5%25.7%14.0%0.0%6.0%4.9%28.7K-833.0K-2.7K0.0097.43010536453
2020-12-17$32.77$27.0034.7%9.9%25.4%12.0%0.0%5.0%7.8%26.5K-877.1K-2.7K0.00101.55130536463
2020-12-18$32.59$27.0035.1%10.1%25.3%12.5%43.0%3.2%6.6%16.2K-891.4K-2.6K0.09104.58323546463
2020-12-21$31.82$28.0035.5%10.2%26.8%12.9%39.1%4.3%4.8%14.8K-451.6K-2.6K1.11102.331820365282
2020-12-22$31.44$28.0036.7%10.5%24.5%14.1%34.0%5.1%6.4%14.3K-402.3K-2.8K0.00101.94810378302
2020-12-23$31.99$28.0035.1%10.1%23.4%12.5%34.2%6.7%5.9%22.0K-542.9K-3.3K1.0099.4355456302
2020-12-24$32.25$28.0033.5%9.6%22.6%10.8%0.0%4.9%9.7%23.2K-621.2K-3.1K0.00104.0600461307
2020-12-28$32.32$28.0053.3%15.3%22.3%31.5%37.8%-0.1%-30.0%22.1K-675.4K-3.0K0.45111.614420461307
2020-12-29$31.45$28.0034.6%9.9%23.4%11.9%33.6%3.9%9.8%22.3K-505.7K-3.1K0.50101.575226492327
2020-12-30$31.76$28.0033.1%9.5%23.3%10.4%109.4%3.9%9.6%26.7K-581.5K-3.2K5.00105.04630534351
2020-12-31$32.02$28.0035.1%10.1%23.1%12.5%0.0%4.7%8.5%27.5K-614.5K-3.3K1.25103.251215533381