SANM Options History — June 2021

In June 2021, SANM traded between $38.39 and $42.55. ATM implied volatility averaged 25.3%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.7% (HV 20d: 18.6%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.37.

Notable Days

2021-06-07: Highest Volume — 315 contracts
2021-06-09: Largest IV spike — 29.1% change
2021-06-09: Highest IV Rank — 14.4%
2021-06-09: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.50	$38.39	$42.55	$42.34	$39.15
Max Pain	$37.59	$37.00	$42.00	$40.00	$38.00
ATM IV	25.3%	22.9%	34.3%	25.2%	23.6%
Expected Move	7.3%	6.6%	9.8%	7.2%	6.8%
HV 20d	18.6%	13.0%	27.8%	27.8%	17.0%
HV 60d	23.5%	20.9%	25.7%	25.7%	20.9%
IV Rank	3.4%	0.4%	14.4%	3.2%	1.3%
IV Percentile	4.1%	0.4%	21.8%	2.8%	2.8%
Term Structure	5.3%	-6.3%	9.9%	6.0%	9.8%
VWIV	26.7%	22.3%	38.3%	24.9%	23.6%
Skew 25d	2.2%	-5.3%	10.2%	0.8%	3.5%
Skew 10d	6.4%	-4.2%	43.7%	8.5%	-2.2%
Call IV 25d	25.0%	22.3%	32.2%	25.8%	22.6%
Put IV 25d	27.2%	23.9%	35.8%	26.6%	26.1%
Bid-Ask Spread %	86.47	43.27	113.03	48.95	82.05
Gamma HHI	0.21	0.16	0.27	0.19	0.24
Net GEX	75.0K	14.9K	136.5K	89.8K	51.5K
Net DEX	-1.1M	-2.0M	-319.0K	-1.7M	-753.8K
Net VEX	-2.7K	-4.2K	-1.9K	-3.8K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.00	19.50	19.50	0.00
Total Volume	69.636	0	315	41	43
Total OI	883.409	714	1,066	853	776

Daily Data (22 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
2021-06-01	$42.34	$40.00	25.2%	7.2%	27.8%	3.2%	24.9%	0.8%	6.0%	89.8K	-1.7M	-3.8K	19.50	48.95	2	39	720	133
2021-06-02	$42.21	$42.00	28.9%	8.3%	24.6%	7.8%	33.3%	2.9%	-6.3%	84.1K	-1.5M	-3.7K	0.22	54.06	9	2	722	171
2021-06-03	$42.02	$37.00	26.0%	7.5%	22.2%	4.2%	24.9%	2.8%	5.7%	80.1K	-1.5M	-3.8K	0.00	43.27	160	0	728	174
2021-06-04	$42.50	$37.00	24.6%	7.3%	22.5%	2.5%	25.6%	3.0%	3.8%	128.7K	-2.0M	-4.2K	0.33	90.62	27	9	882	174
2021-06-07	$42.55	$37.00	25.9%	7.7%	22.1%	4.2%	27.2%	2.6%	3.6%	127.9K	-2.0M	-4.1K	0.01	85.76	312	3	886	180
2021-06-08	$41.97	$37.00	26.6%	7.4%	22.5%	4.9%	23.6%	3.0%	-2.6%	117.5K	-1.4M	-3.3K	1.00	102.09	2	2	775	183
2021-06-09	$41.91	$37.00	34.3%	9.8%	22.0%	14.4%	38.3%	10.2%	2.6%	101.8K	-1.3M	-3.4K	1.20	102.96	5	6	776	184
2021-06-10	$41.76	$37.00	24.9%	7.1%	19.2%	2.8%	0.0%	1.8%	-3.0%	125.1K	-1.3M	-3.1K	0.00	100.05	2	0	780	180
2021-06-11	$41.91	$37.00	24.2%	6.9%	13.0%	2.0%	0.0%	0.3%	4.5%	136.5K	-1.4M	-2.8K	0.00	107.43	0	0	778	180
2021-06-14	$40.88	$37.00	25.0%	7.2%	14.8%	3.0%	31.7%	3.3%	6.3%	83.4K	-1.0M	-2.5K	0.00	98.10	0	2	778	180
2021-06-15	$40.42	$37.00	26.1%	7.5%	15.0%	4.4%	26.9%	2.3%	3.6%	68.0K	-1.0M	-2.5K	0.00	98.35	35	0	778	182
2021-06-16	$40.12	$37.00	24.2%	6.9%	15.0%	2.1%	0.0%	-5.3%	6.9%	53.7K	-609.7K	-2.2K	0.25	113.03	8	2	785	182
2021-06-17	$40.13	$37.00	24.6%	7.0%	15.1%	2.5%	25.8%	2.1%	6.6%	59.0K	-694.9K	-2.1K	0.75	101.95	4	3	789	183
2021-06-18	$38.99	$37.00	26.4%	7.6%	17.4%	4.7%	26.5%	3.0%	6.9%	14.9K	-319.0K	-1.9K	0.03	100.99	141	4	790	186
2021-06-21	$38.83	$37.00	24.2%	6.9%	17.4%	2.0%	27.1%	0.9%	8.8%	48.0K	-725.3K	-2.2K	0.00	96.98	0	1	591	123
2021-06-22	$38.39	$37.00	25.2%	7.2%	16.7%	3.3%	26.6%	3.3%	7.6%	43.5K	-604.9K	-2.0K	0.00	94.69	0	14	596	124
2021-06-23	$38.53	$37.00	23.4%	6.7%	16.7%	1.0%	24.3%	1.5%	9.0%	44.0K	-636.5K	-2.1K	0.46	74.56	215	98	596	138
2021-06-24	$39.15	$38.00	23.4%	6.7%	18.2%	1.0%	23.1%	1.7%	8.9%	47.6K	-756.5K	-2.2K	0.25	85.94	4	1	605	155
2021-06-25	$39.16	$38.00	22.9%	6.6%	17.1%	0.4%	22.3%	1.6%	7.1%	49.1K	-774.1K	-2.1K	0.00	83.39	106	0	607	156
2021-06-28	$39.05	$38.00	24.5%	7.0%	16.9%	2.4%	25.6%	2.2%	9.8%	48.6K	-723.9K	-2.0K	0.50	71.21	2	1	607	156
2021-06-29	$38.94	$38.00	23.4%	6.7%	16.6%	1.1%	23.6%	1.3%	9.9%	48.1K	-697.2K	-2.0K	0.22	65.85	219	49	609	157
2021-06-30	$39.15	$38.00	23.6%	6.8%	17.0%	1.3%	0.0%	3.5%	9.8%	51.5K	-753.8K	-2.0K	0.00	82.05	43	0	619	157