SANM Options History — August 2021

In August 2021, SANM traded between $36.68 and $39.93. ATM implied volatility averaged 25.8%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.8% (HV 20d: 23.0%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2021-08-02: Highest Volume — 574 contracts
  • 2021-08-03: Largest IV drop — 33.8% change
  • 2021-08-02: Highest IV Rank — 27.2%
  • 2021-08-02: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.27$36.68$39.93$38.17$39.60
Max Pain$38.05$38.00$39.00$38.00$38.00
ATM IV25.8%21.4%43.2%43.2%21.4%
Expected Move7.5%6.1%12.4%12.4%6.1%
HV 20d23.0%15.6%28.9%28.9%22.3%
HV 60d21.4%20.2%23.1%23.0%23.0%
IV Rank6.4%1.1%27.2%27.2%1.1%
IV Percentile13.7%0.4%80.6%80.6%0.4%
Term Structure-0.3%-9.8%2.7%-9.4%2.7%
VWIV26.9%21.4%44.3%44.3%21.4%
Skew 25d3.0%1.9%4.5%3.8%2.3%
Skew 10d4.5%-15.7%14.7%6.5%-5.6%
Call IV 25d24.9%20.5%43.0%43.0%21.5%
Put IV 25d27.9%22.8%46.7%46.7%23.8%
Bid-Ask Spread %72.6244.70114.6045.9757.68
Gamma HHI0.200.130.460.190.21
Net GEX46.1K12.4K85.2K16.6K56.3K
Net DEX-477.5K-809.4K-99.5K-396.5K-683.8K
Net VEX-2.2K-3.0K-1.6K-2.5K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.002.500.340.67
Total Volume63.5450574574117
Total OI906.5454051,207584763

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$38.17$38.0043.2%12.4%28.9%27.2%44.3%3.8%-9.4%16.6K-396.5K-2.5K0.3445.97429145381203
2021-08-03$38.01$38.0028.6%8.2%28.4%9.7%28.6%4.3%-7.2%25.1K-351.3K-2.3K0.4292.415021398204
2021-08-04$37.94$38.0024.4%7.0%28.4%4.7%25.9%2.6%2.2%39.9K-355.6K-2.8K0.0044.70930802295
2021-08-05$38.22$39.0024.6%7.5%28.0%4.9%0.0%2.2%1.4%47.3K-413.4K-2.7K0.2063.63102785284
2021-08-06$38.58$38.0027.5%9.1%26.6%8.4%0.0%2.0%-9.8%82.2K-809.4K-3.0K0.0071.5908877284
2021-08-09$38.39$38.0024.3%7.3%26.6%4.6%0.0%3.0%1.0%65.5K-647.7K-2.6K0.0064.5402878284
2021-08-10$38.29$38.0027.8%7.3%26.6%8.8%0.0%2.9%1.9%68.4K-617.4K-2.7K0.0070.8100878292
2021-08-11$38.60$38.0025.1%7.2%26.8%5.6%0.0%3.4%1.2%68.5K-695.4K-2.5K0.0065.9680878292
2021-08-12$38.71$38.0025.1%7.2%26.5%5.5%0.0%3.0%0.9%71.9K-729.8K-2.4K0.6775.4732878292
2021-08-13$38.45$38.0024.5%7.0%25.2%4.9%24.0%2.2%2.0%57.6K-629.8K-2.2K0.2081.50357886292
2021-08-16$38.25$38.0025.1%7.2%22.6%5.5%0.0%3.6%2.3%56.3K-577.3K-2.0K0.0075.90150889290
2021-08-17$37.78$38.0026.0%7.5%21.2%6.6%0.0%4.5%0.5%57.7K-469.8K-2.0K0.2567.70123924283
2021-08-18$37.78$38.0025.3%7.2%19.9%5.7%0.0%3.0%0.8%61.6K-486.4K-1.9K0.00114.60360924283
2021-08-19$36.68$38.0025.5%7.3%17.9%6.0%28.0%2.8%1.1%46.7K-99.5K-1.8K1.0088.1822924282
2021-08-20$37.13$38.0025.9%7.4%18.1%6.5%27.5%1.9%0.1%85.2K-239.7K-1.7K0.5980.652917922282
2021-08-23$37.42$38.0024.6%7.1%18.1%5.0%24.7%3.1%0.6%15.7K-275.6K-1.6K1.7586.59814289116
2021-08-24$37.77$38.0025.7%7.4%18.1%6.2%23.9%3.6%-2.0%12.4K-242.8K-1.9K2.5089.9625295158
2021-08-25$38.17$38.0023.8%6.8%15.9%4.0%23.4%2.3%1.1%13.0K-291.2K-1.9K0.5074.612010300171
2021-08-26$38.14$38.0024.0%6.9%15.6%4.3%0.0%2.3%1.7%13.6K-290.9K-1.8K0.0067.22025300167
2021-08-27$39.89$38.0024.8%7.1%22.2%5.2%23.8%4.5%0.3%26.2K-605.1K-1.9K0.3762.5217866320177
2021-08-30$39.93$38.0021.5%6.2%22.1%1.2%21.4%2.4%0.4%26.1K-596.0K-1.9K0.8355.471210320202
2021-08-31$39.60$38.0021.4%6.1%22.3%1.1%0.0%2.3%2.7%56.3K-683.8K-2.5K0.6757.687047496267