SANM Options History — February 2021

In February 2021, SANM traded between $32.39 and $35.93. ATM implied volatility averaged 42.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 5.8% (HV 20d: 36.8%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.69.

Notable Days

2021-02-02: Highest Volume — 284 contracts
2021-02-04: Largest IV drop — 46.4% change
2021-02-03: Highest IV Rank — 44.9%
2021-02-03: Largest Expected Move — 19.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.71	$32.39	$35.93	$32.39	$35.93
Max Pain	$31.16	$31.00	$32.00	$32.00	$31.00
ATM IV	42.6%	36.5%	68.5%	62.6%	38.8%
Expected Move	12.3%	10.5%	19.6%	17.9%	11.1%
HV 20d	36.8%	26.4%	40.9%	40.2%	26.4%
HV 60d	31.9%	28.9%	37.3%	37.3%	28.9%
IV Rank	15.1%	7.1%	44.9%	38.5%	7.1%
IV Percentile	38.9%	21.8%	88.5%	84.9%	30.6%
Term Structure	-0.6%	-10.7%	4.6%	-1.6%	1.8%
VWIV	42.8%	36.9%	64.0%	64.0%	37.4%
Skew 25d	0.1%	-33.2%	10.0%	-33.2%	7.4%
Skew 10d	16.4%	-47.5%	48.1%	39.7%	35.2%
Call IV 25d	46.4%	31.2%	122.1%	122.1%	37.3%
Put IV 25d	46.5%	29.5%	88.9%	88.9%	44.7%
Bid-Ask Spread %	83.52	68.97	110.49	85.33	86.82
Gamma HHI	0.23	0.11	0.91	0.11	0.12
Net GEX	112.4K	28.8K	802.7K	28.8K	38.6K
Net DEX	-1.5M	-1.9M	-830.9K	-830.9K	-1.3M
Net VEX	-3.7K	-4.7K	-3.0K	-4.7K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.00	9.00	0.45	0.49
Total Volume	71.053	2	284	42	61
Total OI	1,416.316	955	1,657	1,287	1,072

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
2021-02-01	$32.39	$32.00	62.6%	17.9%	40.2%	38.5%	64.0%	-33.2%	-1.6%	28.8K	-830.9K	-4.7K	0.45	85.33	29	13	777	510
2021-02-02	$33.19	$32.00	59.5%	17.1%	40.9%	35.1%	60.3%	4.9%	-10.7%	37.4K	-959.8K	-4.5K	0.52	68.97	187	97	784	523
2021-02-03	$33.09	$32.00	68.5%	19.6%	39.9%	44.9%	57.0%	-18.9%	-4.2%	56.5K	-1.2M	-4.5K	0.21	110.49	77	16	935	620
2021-02-04	$33.85	$31.00	36.7%	11.6%	37.0%	10.2%	40.9%	-15.0%	-0.8%	77.3K	-1.2M	-4.4K	0.12	80.72	106	13	939	615
2021-02-05	$34.19	$31.00	36.5%	10.6%	36.6%	10.0%	36.9%	5.0%	4.6%	83.4K	-1.4M	-4.0K	0.40	71.89	70	28	935	618
2021-02-08	$35.11	$31.00	37.5%	11.1%	37.8%	11.1%	41.2%	-0.2%	1.0%	92.4K	-1.8M	-4.3K	0.00	71.16	52	0	968	643
2021-02-09	$35.24	$31.00	39.6%	10.5%	37.8%	13.4%	0.0%	3.8%	2.2%	95.9K	-1.9M	-4.2K	0.00	72.31	38	0	979	643
2021-02-10	$34.60	$31.00	37.8%	10.8%	38.4%	11.4%	37.5%	3.9%	1.8%	94.0K	-1.7M	-3.9K	0.29	76.02	7	2	969	643
2021-02-11	$35.17	$31.00	38.9%	11.1%	37.9%	12.6%	39.2%	5.9%	0.1%	98.7K	-1.9M	-3.7K	0.00	74.37	141	0	967	643
2021-02-12	$34.90	$31.00	39.4%	11.3%	37.7%	12.8%	39.8%	6.3%	-1.4%	102.6K	-1.7M	-3.8K	0.00	77.22	2	0	970	643
2021-02-16	$35.19	$31.00	40.4%	11.6%	37.6%	13.4%	38.7%	6.5%	0.0%	114.7K	-1.9M	-3.2K	0.00	86.30	74	0	970	643
2021-02-17	$34.75	$31.00	40.3%	11.6%	37.9%	13.4%	39.5%	7.9%	1.1%	127.3K	-1.7M	-3.2K	0.37	88.66	41	15	968	643
2021-02-18	$35.06	$31.00	37.8%	10.8%	37.9%	10.6%	37.6%	2.7%	0.4%	131.4K	-1.9M	-3.0K	0.01	84.72	75	1	991	658
2021-02-19	$34.99	$31.00	37.5%	10.8%	37.7%	9.2%	37.5%	10.0%	1.1%	802.7K	-1.8M	-3.2K	0.04	88.50	57	2	998	659
2021-02-22	$35.08	$31.00	38.3%	11.0%	37.6%	8.3%	37.6%	-2.6%	0.0%	37.0K	-1.2M	-3.1K	0.26	89.37	27	7	552	403
2021-02-23	$35.34	$31.00	39.1%	11.2%	37.7%	7.4%	39.0%	3.8%	-0.2%	39.2K	-1.2M	-3.2K	0.67	86.18	15	10	578	410
2021-02-24	$35.86	$31.00	38.9%	11.1%	36.0%	7.1%	39.3%	6.0%	-0.5%	38.8K	-1.3M	-3.2K	0.21	86.30	39	8	585	420
2021-02-25	$35.57	$31.00	41.9%	12.0%	26.8%	10.6%	47.4%	-1.7%	-5.8%	38.9K	-1.3M	-3.3K	9.00	101.52	4	36	610	426
2021-02-26	$35.93	$31.00	38.8%	11.1%	26.4%	7.1%	37.4%	7.4%	1.8%	38.6K	-1.3M	-3.4K	0.49	86.82	41	20	610	462