SANM Options History — March 2021

In March 2021, SANM traded between $36.74 and $42.42. ATM implied volatility averaged 34.3%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 12.4% (HV 20d: 21.9%). Max pain ranged from $30.00 to $42.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.28.

Notable Days

  • 2021-03-11: Highest Volume — 581 contracts
  • 2021-03-24: Largest IV spike — 39.6% change
  • 2021-03-24: Highest IV Rank — 19.2%
  • 2021-03-24: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.90$36.74$42.42$36.74$41.80
Max Pain$35.35$30.00$42.00$31.00$40.00
ATM IV34.3%28.4%43.1%36.6%28.4%
Expected Move9.8%8.2%12.4%10.5%8.2%
HV 20d21.9%15.8%29.8%23.3%29.8%
HV 60d29.5%28.5%31.0%29.2%30.8%
IV Rank3.8%0.0%19.2%4.5%0.0%
IV Percentile11.6%0.0%53.6%19.0%0.0%
Term Structure5.0%-21.3%19.7%19.7%8.5%
VWIV34.5%25.1%45.3%37.4%38.4%
Skew 25d5.1%-3.4%21.1%6.3%2.6%
Skew 10d15.1%0.4%30.4%0.4%11.2%
Call IV 25d32.2%28.2%37.9%33.6%29.1%
Put IV 25d37.2%27.0%50.8%40.0%31.7%
Bid-Ask Spread %78.8950.7195.5890.8074.35
Gamma HHI0.310.130.860.130.20
Net GEX-25.8K-331.9K61.6K45.8K996
Net DEX-1.3M-2.4M-177.5K-1.6M-932.2K
Net VEX-3.1K-3.6K-2.5K-3.0K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.0010.860.170.00
Total Volume115.739165814762
Total OI1,461.2171,1162,1791,1161,262

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$36.74$31.0036.6%10.5%23.3%4.5%37.4%6.3%19.7%45.8K-1.6M-3.0K0.1790.80407636480
2021-03-02$36.75$31.0036.5%10.5%20.1%4.4%34.2%4.0%-0.5%52.9K-1.6M-3.0K0.1995.587013670475
2021-03-03$37.22$31.0039.0%11.2%19.1%7.3%40.0%3.7%0.9%61.6K-1.8M-3.2K0.3591.613111735488
2021-03-04$37.16$30.0034.3%9.6%19.1%1.8%45.3%6.5%2.0%61.4K-1.9M-3.0K1.9393.893058730478
2021-03-05$37.95$30.0037.7%11.3%18.9%5.8%40.0%11.3%4.0%51.9K-1.9M-3.0K0.0881.52252732535
2021-03-08$38.75$30.0041.5%11.2%19.6%10.2%34.9%9.5%5.2%54.0K-2.2M-2.8K0.2280.58235746535
2021-03-09$39.52$30.0037.0%10.0%18.8%5.0%34.3%2.1%7.0%48.6K-2.4M-2.5K0.0075.92270758538
2021-03-10$39.51$30.0033.7%9.7%18.9%1.1%34.6%5.4%6.4%54.7K-2.4M-2.5K0.2676.445815770538
2021-03-11$39.43$30.0036.2%10.4%16.9%4.1%36.4%4.4%3.4%55.4K-2.4M-2.7K10.8678.0549532788553
2021-03-12$40.06$31.0034.6%9.9%16.9%2.2%34.8%5.5%6.0%-50.4K-879.6K-3.2K3.5780.78471688021,073
2021-03-15$40.57$33.0035.0%10.0%16.1%2.7%42.7%5.2%2.4%-113.4K-795.4K-3.2K2.6571.8023618341,197
2021-03-16$41.41$33.0032.4%9.3%16.8%0.0%31.8%3.6%6.6%-269.4K-1.2M-3.1K5.4677.85462518251,197
2021-03-17$42.42$38.0032.4%9.3%15.8%0.0%32.1%2.4%7.2%-295.1K-2.0M-3.6K2.8085.30451268581,299
2021-03-18$41.61$40.0034.2%9.8%18.9%2.5%32.8%3.1%7.9%-331.9K-1.1M-3.5K6.5771.29231518611,318
2021-03-19$41.35$40.0032.6%9.3%19.3%0.3%29.2%3.9%5.2%-12.9K-584.1K-3.2K6.1050.71523178621,263
2021-03-22$40.97$40.0028.6%8.2%20.2%0.0%29.2%2.8%4.8%-10.3K-596.4K-3.1K0.1487.967010481783
2021-03-23$39.11$42.0030.9%8.9%27.9%3.1%29.3%4.2%7.7%2.3K-177.5K-3.2K2.4189.571741474785
2021-03-24$40.27$42.0043.1%12.4%29.0%19.2%32.0%21.1%-21.3%-737-462.6K-3.4K0.4592.74115479760
2021-03-25$40.73$41.0031.7%9.1%28.6%4.1%25.1%-3.4%7.1%-1.4K-617.0K-3.2K7.1769.31643489761
2021-03-26$41.82$40.0031.1%8.9%29.4%3.2%32.5%5.0%9.0%-2.3K-918.4K-3.1K0.3065.253711492733
2021-03-29$41.31$40.0028.6%8.2%29.7%0.0%31.3%2.3%8.3%2.1K-890.5K-3.6K0.6468.25117529736
2021-03-30$41.23$40.0032.3%9.3%29.8%4.9%38.4%4.8%7.2%2.5K-843.5K-3.4K0.1964.90214530740
2021-03-31$41.80$40.0028.4%8.2%29.8%0.0%0.0%2.6%8.5%996-932.2K-3.2K0.0074.35620524738