SANM Options History — September 2021

In September 2021, SANM traded between $37.53 and $40.02. 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 2.6% (HV 20d: 23.2%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.99.

Notable Days

2021-09-17: Highest Volume — 179 contracts
2021-09-20: Largest IV spike — 15.8% change
2021-09-20: Highest IV Rank — 12.7%
2021-09-20: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.22	$37.53	$40.02	$39.44	$38.68
Max Pain	$38.00	$38.00	$38.00	$38.00	$38.00
ATM IV	25.8%	21.5%	31.1%	24.2%	28.0%
Expected Move	7.5%	6.9%	8.9%	6.9%	8.0%
HV 20d	23.2%	21.7%	26.9%	22.4%	22.9%
HV 60d	23.1%	21.5%	24.4%	22.9%	24.4%
IV Rank	6.4%	1.3%	12.7%	4.5%	9.0%
IV Percentile	19.7%	1.2%	35.7%	7.9%	30.2%
Term Structure	5.7%	1.8%	8.4%	1.8%	8.4%
VWIV	30.5%	24.6%	52.6%	25.7%	27.1%
Skew 25d	3.4%	-1.3%	6.2%	-1.3%	3.0%
Skew 10d	8.2%	-33.8%	33.5%	-1.4%	5.1%
Call IV 25d	25.3%	22.3%	30.9%	25.6%	27.9%
Put IV 25d	28.7%	24.2%	36.6%	24.2%	30.8%
Bid-Ask Spread %	87.71	55.23	128.08	128.08	84.87
Gamma HHI	0.21	0.17	0.34	0.20	0.20
Net GEX	53.2K	4.2K	150.3K	55.9K	15.0K
Net DEX	-649.2K	-1.2M	-242.1K	-640.0K	-566.6K
Net VEX	-2.8K	-3.2K	-2.0K	-2.5K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.99	0.00	12.50	0.33	3.00
Total Volume	29.095	0	179	0	0
Total OI	828.333	639	1,046	767	741

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
2021-09-01	$39.44	$38.00	24.2%	6.9%	22.4%	4.5%	0.0%	-1.3%	1.8%	55.9K	-640.0K	-2.5K	0.00	128.08	0	0	501	266
2021-09-02	$39.47	$38.00	21.5%	7.1%	22.3%	1.3%	0.0%	3.8%	4.0%	65.4K	-681.5K	-2.9K	0.33	82.19	6	2	567	313
2021-09-03	$39.33	$38.00	21.6%	6.9%	22.2%	1.4%	0.0%	2.5%	4.9%	61.4K	-628.0K	-2.8K	1.50	65.92	2	3	567	313
2021-09-07	$39.50	$38.00	22.8%	7.1%	22.1%	2.8%	25.7%	1.7%	4.5%	71.5K	-703.4K	-2.6K	10.00	67.81	1	10	573	315
2021-09-08	$39.04	$38.00	24.9%	7.2%	22.5%	5.4%	26.8%	2.7%	5.0%	54.4K	-514.1K	-2.5K	12.50	55.23	2	25	573	316
2021-09-09	$39.36	$38.00	25.8%	7.4%	22.5%	6.4%	0.0%	4.1%	4.2%	64.3K	-591.0K	-2.5K	0.00	67.22	0	0	573	326
2021-09-10	$39.50	$38.00	25.4%	7.3%	22.5%	5.9%	24.6%	3.0%	6.0%	67.9K	-637.1K	-2.6K	0.00	91.96	6	0	571	349
2021-09-13	$39.83	$38.00	25.6%	7.3%	22.5%	6.2%	0.0%	4.0%	4.8%	94.4K	-787.2K	-2.3K	0.00	62.56	0	15	571	349
2021-09-14	$39.91	$38.00	24.7%	7.1%	22.3%	5.1%	25.8%	5.2%	4.2%	114.0K	-809.5K	-2.2K	0.04	99.80	129	5	577	349
2021-09-15	$39.93	$38.00	24.9%	7.1%	21.7%	5.3%	26.9%	4.6%	6.5%	129.7K	-837.4K	-2.0K	0.20	100.21	20	4	577	349
2021-09-16	$40.02	$38.00	25.8%	7.4%	21.7%	6.4%	26.8%	3.6%	6.9%	150.3K	-1.2M	-3.0K	0.00	93.75	40	0	689	357
2021-09-17	$38.58	$38.00	26.9%	7.7%	23.2%	7.6%	27.1%	-0.5%	4.5%	8.3K	-404.1K	-2.9K	0.02	70.75	176	3	689	357
2021-09-20	$37.56	$38.00	31.1%	8.9%	25.1%	12.7%	36.2%	6.2%	5.3%	4.2K	-242.1K	-2.7K	0.15	86.82	110	17	442	197
2021-09-21	$37.53	$38.00	28.1%	8.1%	24.9%	9.1%	0.0%	3.7%	5.4%	5.4K	-245.1K	-2.7K	0.00	81.30	0	0	484	197
2021-09-22	$38.59	$38.00	26.1%	7.5%	26.6%	6.7%	24.8%	4.2%	6.6%	17.4K	-531.8K	-3.2K	0.00	96.12	10	0	523	201
2021-09-23	$39.06	$38.00	26.1%	7.5%	26.7%	6.7%	0.0%	2.5%	6.4%	21.9K	-650.3K	-3.2K	0.00	99.52	0	0	523	201
2021-09-24	$39.48	$38.00	26.1%	7.5%	26.9%	6.7%	52.6%	5.0%	6.4%	27.7K	-712.5K	-3.2K	0.00	99.02	10	0	523	201
2021-09-27	$39.93	$38.00	26.8%	7.7%	22.0%	7.5%	41.1%	5.1%	8.2%	33.8K	-814.9K	-3.0K	0.17	104.28	6	1	523	201
2021-09-28	$39.77	$38.00	27.1%	7.8%	22.0%	8.0%	27.1%	3.3%	8.2%	29.9K	-797.1K	-3.0K	3.00	108.66	2	6	523	201
2021-09-29	$39.11	$38.00	28.2%	8.1%	22.6%	9.2%	0.0%	4.7%	7.2%	24.2K	-661.0K	-3.0K	0.00	95.84	0	0	526	201
2021-09-30	$38.68	$38.00	28.0%	8.0%	22.9%	9.0%	0.0%	3.0%	8.4%	15.0K	-566.6K	-3.0K	0.00	84.87	0	0	528	213