SANM Options History — January 2021

In January 2021, SANM traded between $31.11 and $35.05. ATM implied volatility averaged 48.3%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 19.6% (HV 20d: 28.7%). Max pain ranged from $28.00 to $33.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.86.

Notable Days

2021-01-29: Highest Volume — 168 contracts
2021-01-27: Largest IV spike — 94.5% change
2021-01-27: Highest IV Rank — 84.0%
2021-01-27: Largest Expected Move — 29.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.77	$31.11	$35.05	$31.74	$31.11
Max Pain	$31.05	$28.00	$33.00	$28.00	$32.00
ATM IV	48.3%	33.6%	104.4%	38.8%	59.7%
Expected Move	14.9%	12.6%	29.9%	13.2%	17.1%
HV 20d	28.7%	22.2%	37.5%	22.9%	37.5%
HV 60d	35.5%	33.5%	36.9%	34.8%	36.9%
IV Rank	24.2%	10.9%	84.0%	16.3%	35.3%
IV Percentile	52.8%	11.9%	98.8%	35.3%	80.6%
Term Structure	-5.8%	-18.3%	8.9%	-5.0%	-6.4%
VWIV	50.0%	41.6%	84.0%	43.0%	51.8%
Skew 25d	6.9%	1.3%	38.5%	1.3%	4.1%
Skew 10d	17.7%	-9.1%	50.4%	18.3%	-3.4%
Call IV 25d	50.8%	41.1%	105.5%	50.1%	62.2%
Put IV 25d	57.7%	46.2%	144.0%	51.5%	66.3%
Bid-Ask Spread %	56.75	39.91	98.34	39.91	78.38
Gamma HHI	0.16	0.12	0.26	0.15	0.14
Net GEX	38.6K	15.1K	77.1K	26.7K	17.3K
Net DEX	-853.8K	-1.3M	-316.3K	-562.2K	-316.3K
Net VEX	-3.3K	-4.3K	-2.8K	-3.2K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.00	12.50	0.00	0.21
Total Volume	49	2	168	3	168
Total OI	975.105	852	1,130	941	1,099

Daily Data (19 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
2021-01-04	$31.74	$28.00	38.8%	13.2%	22.9%	16.3%	43.0%	1.3%	-5.0%	26.7K	-562.2K	-3.2K	0.00	39.91	3	0	545	396
2021-01-05	$32.60	$28.00	36.8%	12.9%	22.2%	14.2%	45.3%	4.6%	-5.5%	33.5K	-737.1K	-3.1K	0.15	47.43	27	4	544	396
2021-01-06	$34.17	$28.00	36.5%	13.3%	27.9%	13.9%	43.5%	1.7%	-3.1%	41.7K	-1.1M	-3.0K	0.09	60.79	23	2	546	400
2021-01-07	$34.79	$28.00	33.6%	14.5%	28.0%	10.9%	46.9%	6.8%	-18.3%	47.0K	-1.1M	-2.8K	0.00	40.19	53	0	531	401
2021-01-08	$34.76	$28.00	33.7%	12.7%	28.1%	11.0%	44.9%	3.5%	-3.8%	50.2K	-1.2M	-2.8K	0.22	45.99	23	5	549	401
2021-01-11	$35.00	$32.00	40.1%	13.0%	27.3%	17.6%	45.2%	4.2%	-5.1%	53.2K	-1.2M	-2.8K	0.00	42.97	2	0	562	406
2021-01-12	$35.05	$32.00	38.3%	13.4%	27.2%	12.1%	48.1%	3.2%	-6.4%	56.1K	-1.3M	-2.9K	0.09	52.62	68	6	564	406
2021-01-13	$34.26	$32.00	46.6%	13.4%	28.6%	21.1%	46.1%	4.6%	-6.1%	64.2K	-1.1M	-2.8K	0.14	49.42	80	11	620	412
2021-01-14	$34.74	$32.00	47.1%	13.5%	28.4%	21.7%	47.1%	2.6%	-4.6%	76.3K	-1.3M	-3.1K	0.04	54.27	23	1	690	423
2021-01-15	$34.37	$32.00	45.1%	12.9%	28.8%	19.5%	41.6%	4.6%	-4.7%	77.1K	-1.2M	-3.2K	0.42	47.26	50	21	706	424
2021-01-19	$34.34	$32.00	46.7%	13.4%	28.5%	21.2%	44.5%	6.2%	-4.0%	24.7K	-674.6K	-3.3K	0.00	48.70	9	0	477	375
2021-01-20	$34.59	$32.00	44.1%	12.6%	28.4%	18.4%	45.1%	4.3%	-2.4%	26.6K	-712.8K	-3.2K	0.06	55.23	17	1	485	377
2021-01-21	$34.19	$32.00	50.1%	14.4%	27.2%	25.0%	50.0%	3.3%	-6.3%	26.4K	-705.6K	-3.2K	1.00	64.07	1	1	501	378
2021-01-22	$34.36	$32.00	48.5%	13.9%	26.5%	23.2%	49.9%	2.1%	-5.4%	26.6K	-680.5K	-3.5K	12.50	59.05	2	25	501	379
2021-01-25	$34.55	$33.00	52.8%	15.1%	26.1%	27.9%	54.6%	5.0%	-8.7%	23.5K	-693.6K	-3.5K	0.41	61.81	92	38	503	409
2021-01-26	$33.52	$33.00	53.6%	15.4%	28.7%	28.8%	54.4%	5.0%	-8.8%	26.1K	-657.5K	-3.7K	0.27	51.47	75	20	581	412
2021-01-27	$31.48	$32.00	104.4%	29.9%	36.7%	84.0%	84.0%	38.5%	-13.9%	15.1K	-440.0K	-4.2K	0.78	98.34	36	28	611	428
2021-01-28	$32.07	$32.00	61.7%	17.7%	36.0%	37.5%	63.8%	25.7%	8.9%	20.4K	-476.7K	-4.3K	0.00	80.30	16	0	633	456
2021-01-29	$31.11	$32.00	59.7%	17.1%	37.5%	35.3%	51.8%	4.1%	-6.4%	17.3K	-316.3K	-4.1K	0.21	78.38	139	29	643	456