SANM Options History — July 2021

In July 2021, SANM traded between $36.12 and $39.01. ATM implied volatility averaged 32.5%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 10.9% (HV 20d: 21.6%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2021-07-16: Highest Volume — 129 contracts
2021-07-12: Largest IV spike — 45.5% change
2021-07-27: Highest IV Rank — 24.9%
2021-07-27: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.75	$36.12	$39.01	$39.01	$38.33
Max Pain	$38.05	$37.00	$39.00	$38.00	$39.00
ATM IV	32.5%	20.4%	41.3%	22.9%	41.2%
Expected Move	10.0%	6.2%	11.8%	6.6%	11.8%
HV 20d	21.6%	16.0%	28.9%	17.0%	28.9%
HV 60d	22.3%	20.3%	24.8%	20.3%	23.0%
IV Rank	13.8%	0.0%	24.9%	0.5%	24.7%
IV Percentile	34.0%	0.0%	74.2%	0.8%	74.2%
Term Structure	-3.5%	-11.8%	11.0%	10.6%	-7.4%
VWIV	37.9%	26.5%	42.4%	26.5%	38.6%
Skew 25d	2.3%	-9.2%	13.0%	2.1%	4.1%
Skew 10d	2.7%	-73.1%	22.6%	-4.9%	7.8%
Call IV 25d	37.4%	22.5%	53.6%	22.8%	40.6%
Put IV 25d	39.7%	24.7%	47.7%	24.9%	44.8%
Bid-Ask Spread %	63.95	47.74	100.62	77.62	53.92
Gamma HHI	0.25	0.18	0.36	0.26	0.23
Net GEX	25.9K	7.0K	56.4K	56.4K	14.2K
Net DEX	-376.4K	-808.3K	-136.5K	-808.3K	-367.7K
Net VEX	-1.9K	-2.6K	-1.3K	-2.2K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.00	3.30	0.50	0.05
Total Volume	25.333	1	129	2	22
Total OI	649.095	350	879	816	561

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
2021-07-01	$39.01	$38.00	22.9%	6.6%	17.0%	0.5%	0.0%	2.1%	10.6%	56.4K	-808.3K	-2.2K	0.00	77.62	0	2	659	157
2021-07-02	$38.75	$38.00	21.6%	6.2%	16.0%	0.0%	26.5%	2.2%	11.0%	53.8K	-713.7K	-2.2K	0.50	100.62	2	1	659	159
2021-07-06	$38.16	$37.00	24.7%	9.9%	16.3%	3.8%	37.7%	2.3%	-4.0%	43.8K	-516.5K	-1.8K	0.00	54.49	0	1	659	160
2021-07-07	$38.05	$37.00	24.1%	9.5%	16.0%	3.0%	0.0%	2.1%	-6.0%	40.7K	-482.8K	-1.8K	0.00	68.18	14	0	659	163
2021-07-08	$37.52	$37.00	35.0%	11.3%	16.3%	16.2%	41.9%	3.2%	-8.0%	32.0K	-361.2K	-1.7K	0.60	67.83	5	3	664	163
2021-07-09	$38.51	$37.00	23.3%	10.0%	19.8%	2.1%	0.0%	2.5%	-4.9%	53.6K	-585.1K	-1.7K	0.80	47.74	10	8	665	164
2021-07-12	$38.37	$37.00	33.9%	9.8%	19.6%	14.9%	34.5%	2.6%	-1.5%	42.7K	-519.8K	-1.6K	0.00	53.16	8	0	665	172
2021-07-13	$38.33	$37.00	20.4%	10.2%	18.1%	0.0%	40.6%	2.9%	-5.6%	48.0K	-546.1K	-1.5K	0.29	48.26	7	2	666	172
2021-07-14	$38.45	$37.00	29.3%	8.4%	17.9%	10.6%	35.6%	1.6%	8.0%	43.0K	-491.9K	-1.4K	0.00	54.35	36	0	667	169
2021-07-15	$38.03	$37.00	33.5%	9.6%	18.1%	15.6%	38.7%	-1.0%	-3.2%	18.1K	-402.1K	-1.6K	0.00	62.86	0	8	703	169
2021-07-16	$37.18	$37.00	34.8%	10.0%	19.4%	17.2%	35.1%	13.0%	-2.8%	11.9K	-217.7K	-1.3K	3.30	68.09	30	99	703	176
2021-07-19	$36.12	$39.00	36.6%	10.5%	19.4%	19.2%	37.9%	4.3%	-3.2%	9.5K	-158.2K	-1.6K	0.20	62.38	25	5	268	82
2021-07-20	$37.14	$39.00	37.0%	10.6%	22.4%	19.8%	37.5%	2.7%	-3.7%	13.2K	-249.5K	-1.9K	1.43	58.64	7	10	284	86
2021-07-21	$37.89	$39.00	35.1%	10.1%	23.5%	17.5%	36.3%	-1.7%	-5.4%	13.9K	-315.2K	-2.1K	2.13	70.48	15	32	291	96
2021-07-22	$36.47	$39.00	39.0%	11.2%	26.9%	22.1%	39.9%	3.0%	-5.4%	8.6K	-162.5K	-2.1K	0.00	60.57	2	0	291	128
2021-07-23	$36.81	$39.00	36.1%	10.3%	26.4%	18.6%	0.0%	4.7%	-11.8%	7.0K	-137.2K	-2.1K	0.00	61.24	10	0	293	148
2021-07-26	$37.07	$39.00	39.1%	11.2%	26.6%	22.2%	40.9%	-3.2%	-7.0%	7.1K	-168.8K	-2.1K	0.00	69.12	0	32	293	148
2021-07-27	$36.76	$39.00	41.3%	11.8%	26.7%	24.9%	42.4%	4.8%	-7.5%	7.4K	-136.5K	-2.2K	1.18	57.45	50	59	303	150
2021-07-28	$37.75	$39.00	40.4%	11.6%	28.7%	23.8%	40.2%	-9.2%	-6.8%	7.7K	-242.0K	-2.2K	0.00	82.34	8	0	303	160
2021-07-29	$38.06	$39.00	32.5%	9.3%	28.8%	14.3%	39.1%	4.3%	-8.4%	12.2K	-321.1K	-2.6K	0.19	63.59	16	3	350	203
2021-07-30	$38.33	$39.00	41.2%	11.8%	28.9%	24.7%	38.6%	4.1%	-7.4%	14.2K	-367.7K	-2.5K	0.05	53.92	21	1	358	203