SANM Options History — April 2021

In April 2021, SANM traded between $40.73 and $42.98. ATM implied volatility averaged 39.6%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 13.8% (HV 20d: 25.8%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.65.

Notable Days

2021-04-13: Highest Volume — 374 contracts
2021-04-13: Largest IV spike — 145.1% change
2021-04-13: Highest IV Rank — 65.1%
2021-04-16: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.60	$40.73	$42.98	$42.08	$40.73
Max Pain	$40.00	$38.00	$41.00	$40.00	$41.00
ATM IV	39.6%	22.5%	75.8%	27.2%	43.0%
Expected Move	11.8%	7.8%	13.9%	7.8%	12.3%
HV 20d	25.8%	17.0%	31.7%	29.7%	18.3%
HV 60d	28.1%	22.7%	30.5%	30.5%	23.3%
IV Rank	20.1%	0.0%	65.1%	0.0%	25.0%
IV Percentile	40.8%	0.0%	99.6%	0.0%	60.3%
Term Structure	-6.1%	-19.5%	11.2%	11.2%	-15.1%
VWIV	40.0%	30.2%	46.7%	30.2%	46.7%
Skew 25d	3.0%	-5.7%	6.3%	3.2%	3.3%
Skew 10d	12.9%	-21.6%	31.1%	10.8%	9.9%
Call IV 25d	38.6%	27.0%	46.8%	27.0%	44.2%
Put IV 25d	41.6%	30.2%	47.6%	30.2%	47.6%
Bid-Ask Spread %	66.89	44.30	96.71	82.71	49.53
Gamma HHI	0.21	0.12	0.35	0.15	0.22
Net GEX	20.2K	-2.3K	38.0K	7.1K	33.7K
Net DEX	-963.0K	-1.3M	-791.1K	-1.1M	-896.4K
Net VEX	-2.9K	-3.3K	-2.4K	-3.3K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.65	0.00	12.00	0.44	1.80
Total Volume	43.381	1	374	1	56
Total OI	933.143	411	1,337	1,324	655

Daily Data (21 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
2021-04-01	$42.08	$40.00	27.2%	7.8%	29.7%	0.0%	30.2%	3.2%	11.2%	7.1K	-1.1M	-3.3K	0.00	82.71	0	1	586	738
2021-04-05	$42.98	$38.00	30.8%	12.0%	29.7%	4.7%	42.2%	-3.6%	-6.1%	-2.3K	-1.3M	-3.2K	0.44	47.73	9	4	586	740
2021-04-06	$42.16	$38.00	29.9%	11.5%	30.4%	3.5%	37.1%	4.9%	-4.1%	9.7K	-1.1M	-3.1K	6.00	44.30	10	60	590	747
2021-04-07	$41.08	$40.00	22.5%	11.9%	31.7%	0.0%	42.1%	5.2%	-6.8%	20.2K	-791.1K	-2.9K	0.00	46.25	0	3	584	711
2021-04-08	$41.34	$40.00	28.1%	11.9%	31.7%	6.8%	0.0%	5.9%	-3.2%	14.6K	-868.6K	-3.0K	0.00	54.96	0	4	584	707
2021-04-09	$41.42	$40.00	38.4%	12.1%	31.6%	19.3%	36.4%	3.6%	-0.2%	8.2K	-898.7K	-3.0K	3.50	74.57	4	14	584	705
2021-04-12	$41.45	$40.00	30.9%	11.8%	31.2%	10.2%	0.0%	4.5%	-7.7%	16.8K	-916.7K	-2.8K	10.00	56.05	1	10	583	702
2021-04-13	$41.26	$40.00	75.8%	11.4%	31.0%	65.1%	39.7%	6.3%	-5.5%	14.2K	-905.4K	-2.8K	0.64	59.81	228	146	582	700
2021-04-14	$41.26	$40.00	40.1%	11.5%	30.2%	21.5%	38.8%	6.0%	-7.4%	10.5K	-947.0K	-2.9K	0.90	64.06	10	9	582	696
2021-04-15	$41.60	$40.00	36.9%	10.6%	29.0%	17.5%	0.0%	4.7%	-3.0%	16.5K	-1.0M	-2.6K	12.00	68.63	1	12	587	692
2021-04-16	$41.81	$40.00	48.5%	13.9%	28.2%	31.7%	40.5%	3.6%	-19.5%	19.0K	-1.1M	-2.6K	7.33	85.99	6	44	587	687
2021-04-19	$41.50	$40.00	40.7%	11.7%	28.2%	22.2%	39.3%	5.6%	-5.9%	20.9K	-832.1K	-2.5K	0.00	67.98	3	0	346	65
2021-04-20	$41.36	$40.00	40.5%	11.6%	28.1%	22.0%	40.3%	3.5%	-4.6%	21.5K	-819.2K	-2.4K	0.74	66.80	19	14	348	66
2021-04-21	$41.88	$40.00	40.4%	11.6%	22.2%	21.8%	39.6%	4.8%	-3.5%	21.8K	-860.1K	-2.5K	0.00	56.77	15	0	358	81
2021-04-22	$41.48	$40.00	41.0%	11.7%	20.4%	22.5%	38.5%	5.1%	-5.0%	23.5K	-853.4K	-2.5K	0.02	80.70	58	1	373	81
2021-04-23	$41.86	$40.00	41.2%	11.8%	20.3%	22.9%	40.1%	5.2%	-7.1%	29.0K	-967.4K	-3.0K	0.00	66.65	21	0	429	85
2021-04-26	$41.72	$40.00	44.8%	12.8%	18.0%	27.2%	44.4%	-5.7%	-8.6%	30.6K	-988.2K	-3.0K	0.51	71.14	59	30	450	85
2021-04-27	$41.41	$41.00	43.9%	12.6%	17.7%	26.2%	42.1%	-3.5%	-6.9%	34.3K	-1.0M	-3.3K	3.75	69.72	4	15	505	115
2021-04-28	$41.51	$41.00	43.1%	12.4%	17.7%	25.1%	44.2%	-2.6%	-8.8%	36.1K	-1.0M	-3.2K	0.07	96.71	29	2	507	130
2021-04-29	$41.61	$41.00	43.8%	12.6%	17.0%	26.0%	37.3%	3.8%	-9.4%	38.0K	-1.0M	-3.3K	0.00	93.58	9	0	525	132
2021-04-30	$40.73	$41.00	43.0%	12.3%	18.3%	25.0%	46.7%	3.3%	-15.1%	33.7K	-896.4K	-3.2K	1.80	49.53	20	36	523	132