SANM Options History — May 2021

In May 2021, SANM traded between $40.01 and $42.63. ATM implied volatility averaged 28.1%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.3% (HV 20d: 25.8%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.48.

Notable Days

2021-05-28: Highest Volume — 204 contracts
2021-05-04: Largest IV drop — 38.8% change
2021-05-03: Highest IV Rank — 27.4%
2021-05-03: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.77	$40.01	$42.63	$41.40	$42.15
Max Pain	$40.05	$40.00	$41.00	$41.00	$40.00
ATM IV	28.1%	23.2%	45.0%	45.0%	23.2%
Expected Move	8.0%	6.6%	12.9%	12.9%	6.6%
HV 20d	25.8%	17.6%	29.1%	17.6%	28.3%
HV 60d	25.3%	23.1%	26.1%	23.1%	26.0%
IV Rank	6.8%	0.8%	27.4%	27.4%	0.8%
IV Percentile	5.8%	0.4%	66.7%	66.7%	0.4%
Term Structure	0.4%	-11.7%	3.2%	-11.7%	2.7%
VWIV	27.7%	22.6%	44.8%	44.8%	22.9%
Skew 25d	2.1%	-6.0%	7.1%	-0.6%	1.3%
Skew 10d	11.6%	-24.2%	35.6%	35.6%	8.4%
Call IV 25d	28.7%	23.2%	47.4%	47.4%	23.5%
Put IV 25d	30.8%	24.8%	46.8%	46.8%	24.8%
Bid-Ask Spread %	81.88	60.34	99.29	67.47	60.34
Gamma HHI	0.25	0.18	0.34	0.22	0.18
Net GEX	49.2K	23.4K	67.9K	31.6K	58.3K
Net DEX	-1.1M	-1.3M	-740.8K	-981.0K	-1.2M
Net VEX	-2.9K	-3.6K	-2.4K	-3.2K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.00	2.00	0.47	0.00
Total Volume	42.35	1	204	157	204
Total OI	752.5	514	841	690	667

Daily Data (20 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
2021-05-03	$41.40	$41.00	45.0%	12.9%	17.6%	27.4%	44.8%	-0.6%	-11.7%	31.6K	-981.0K	-3.2K	0.47	67.47	107	50	523	167
2021-05-04	$40.03	$40.00	27.6%	7.9%	20.0%	6.1%	28.3%	4.7%	-0.4%	29.0K	-747.4K	-3.0K	0.15	99.29	40	6	592	200
2021-05-05	$41.31	$40.00	25.5%	7.3%	21.5%	3.6%	25.0%	7.1%	1.1%	50.0K	-1.0M	-3.1K	0.09	95.40	132	12	609	200
2021-05-06	$41.39	$40.00	27.0%	7.7%	21.4%	5.5%	0.0%	3.0%	0.4%	43.4K	-1.0M	-3.6K	0.20	65.76	5	1	636	205
2021-05-07	$41.96	$40.00	25.1%	7.4%	21.9%	3.1%	24.9%	-6.0%	1.5%	54.1K	-1.2M	-3.4K	0.00	71.26	7	0	636	204
2021-05-10	$41.65	$40.00	28.0%	7.7%	22.1%	6.7%	26.8%	2.4%	-0.2%	48.4K	-1.1M	-3.2K	1.88	66.16	8	15	634	204
2021-05-11	$41.16	$40.00	29.8%	8.1%	22.5%	8.9%	27.5%	2.5%	0.1%	39.1K	-1.0M	-3.1K	0.11	66.45	35	4	630	189
2021-05-12	$40.01	$40.00	33.1%	9.5%	24.6%	13.0%	0.0%	1.2%	-3.5%	23.4K	-740.8K	-2.9K	0.25	85.20	4	1	610	189
2021-05-13	$41.65	$40.00	29.8%	8.6%	28.6%	8.9%	0.0%	0.0%	1.5%	43.7K	-1.0M	-3.1K	0.00	87.77	25	0	614	189
2021-05-14	$42.23	$40.00	27.6%	7.9%	28.9%	6.1%	0.0%	3.5%	1.5%	54.1K	-1.1M	-2.8K	0.00	91.22	3	0	594	189
2021-05-17	$42.42	$40.00	29.9%	8.6%	28.8%	9.0%	29.5%	2.4%	0.7%	54.2K	-1.2M	-2.8K	0.00	85.01	14	0	595	189
2021-05-18	$42.11	$40.00	28.6%	8.2%	28.9%	7.4%	30.2%	3.9%	0.2%	58.2K	-1.2M	-2.8K	1.38	88.59	8	11	605	189
2021-05-19	$42.05	$40.00	29.9%	8.6%	28.6%	9.0%	31.4%	2.3%	-0.9%	51.2K	-1.1M	-2.5K	1.67	96.15	3	5	611	199
2021-05-20	$42.31	$40.00	28.4%	8.1%	28.4%	7.1%	29.3%	3.8%	0.8%	54.3K	-1.1M	-2.5K	2.00	87.66	7	14	613	201
2021-05-21	$42.19	$40.00	26.4%	7.6%	28.3%	4.7%	0.0%	1.4%	1.5%	67.9K	-1.2M	-2.5K	0.00	86.15	15	0	620	209
2021-05-24	$42.63	$40.00	24.9%	7.2%	28.5%	3.0%	24.5%	2.0%	3.2%	38.7K	-1.1M	-2.4K	0.02	90.25	81	2	438	76
2021-05-25	$42.10	$40.00	24.9%	7.1%	28.7%	2.9%	24.8%	1.1%	2.8%	57.5K	-1.2M	-2.6K	0.00	78.60	20	0	519	76
2021-05-26	$42.00	$40.00	23.5%	6.7%	28.7%	1.1%	22.6%	2.7%	3.1%	62.0K	-1.2M	-2.7K	1.33	90.71	3	4	535	77
2021-05-27	$42.59	$40.00	24.1%	6.9%	29.1%	2.0%	23.3%	2.6%	3.1%	65.6K	-1.3M	-2.6K	0.00	78.10	1	0	536	81
2021-05-28	$42.15	$40.00	23.2%	6.6%	28.3%	0.8%	22.9%	1.3%	2.7%	58.3K	-1.2M	-2.8K	0.00	60.34	203	1	535	132