SANM Options History — October 2021

In October 2021, SANM traded between $37.59 and $39.78. ATM implied volatility averaged 34.1%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 11.8% (HV 20d: 22.2%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2021-10-26: Highest Volume — 229 contracts
2021-10-08: Largest IV drop — 33.6% change
2021-10-27: Highest IV Rank — 23.6%
2021-10-27: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.89	$37.59	$39.78	$39.23	$37.86
Max Pain	$38.00	$38.00	$38.00	$38.00	$38.00
ATM IV	34.1%	26.4%	40.3%	29.5%	38.1%
Expected Move	10.3%	8.2%	11.5%	8.5%	10.9%
HV 20d	22.2%	19.1%	26.2%	23.5%	20.0%
HV 60d	22.4%	20.7%	24.3%	24.3%	21.7%
IV Rank	16.2%	7.1%	23.6%	10.8%	21.0%
IV Percentile	53.7%	25.4%	79.8%	35.3%	73.4%
Term Structure	-4.7%	-17.6%	6.8%	6.4%	-4.7%
VWIV	38.0%	31.7%	40.0%	31.7%	40.0%
Skew 25d	1.8%	-24.3%	17.8%	-5.6%	6.5%
Skew 10d	14.5%	-4.8%	80.0%	-4.8%	18.8%
Call IV 25d	38.6%	22.9%	64.6%	36.1%	40.7%
Put IV 25d	40.4%	30.6%	47.2%	30.6%	47.2%
Bid-Ask Spread %	83.81	66.60	113.05	113.05	73.50
Gamma HHI	0.25	0.18	0.40	0.19	0.22
Net GEX	20.9K	-7.6K	46.6K	23.1K	8.7K
Net DEX	-543.0K	-816.6K	-217.4K	-693.8K	-244.3K
Net VEX	-2.4K	-3.0K	-2.1K	-3.0K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.00	5.00	0.13	0.39
Total Volume	87.905	1	229	3	197
Total OI	576	321	759	741	441

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
2021-10-01	$39.23	$38.00	29.5%	8.5%	23.5%	10.8%	31.7%	-5.6%	6.4%	23.1K	-693.8K	-3.0K	0.00	113.05	0	3	528	213
2021-10-04	$38.93	$38.00	30.0%	10.0%	23.6%	11.4%	0.0%	3.9%	-4.2%	23.3K	-610.2K	-2.9K	0.13	90.95	8	1	528	212
2021-10-05	$39.62	$38.00	28.8%	10.3%	24.4%	10.0%	0.0%	5.5%	-5.2%	29.1K	-731.1K	-2.8K	2.00	69.81	1	2	528	213
2021-10-06	$39.42	$38.00	32.5%	10.1%	24.1%	14.3%	0.0%	3.2%	-4.6%	25.0K	-684.2K	-2.7K	0.20	72.55	5	1	534	214
2021-10-07	$39.78	$38.00	39.7%	10.3%	24.2%	23.0%	0.0%	0.3%	-17.6%	31.3K	-798.1K	-2.8K	0.00	82.66	0	1	535	215
2021-10-08	$39.59	$38.00	26.4%	10.1%	24.2%	7.1%	0.0%	2.5%	-4.8%	39.5K	-814.1K	-2.6K	0.00	68.32	0	16	538	215
2021-10-11	$39.41	$38.00	30.7%	10.8%	24.1%	12.2%	37.4%	1.4%	-6.9%	38.2K	-772.6K	-2.4K	0.00	80.99	22	0	538	216
2021-10-12	$39.03	$38.00	29.9%	11.0%	24.3%	11.3%	0.0%	4.9%	-7.1%	24.7K	-642.0K	-2.4K	0.00	66.60	0	5	538	220
2021-10-13	$38.60	$38.00	37.6%	10.8%	24.5%	20.4%	0.0%	0.6%	-7.5%	-7.6K	-505.4K	-2.3K	0.00	84.71	0	1	539	220
2021-10-14	$39.55	$38.00	36.7%	10.5%	26.2%	19.3%	0.0%	3.1%	-4.8%	32.6K	-757.8K	-2.3K	0.00	75.50	3	0	539	216
2021-10-15	$39.71	$38.00	28.4%	8.2%	22.5%	9.5%	0.0%	17.8%	-5.1%	46.6K	-816.6K	-2.2K	0.00	90.53	1	0	539	217
2021-10-18	$39.26	$38.00	34.5%	9.9%	20.5%	16.7%	37.2%	4.9%	-3.2%	19.8K	-484.6K	-2.1K	5.00	86.43	2	10	264	57
2021-10-19	$38.62	$38.00	35.6%	10.2%	21.5%	18.0%	0.0%	3.4%	-3.9%	18.9K	-446.3K	-2.1K	0.00	89.29	4	0	264	59
2021-10-20	$38.31	$38.00	35.4%	10.1%	19.3%	17.8%	37.8%	1.3%	-5.8%	19.1K	-424.5K	-2.2K	0.67	87.63	136	91	269	69
2021-10-21	$38.65	$38.00	35.5%	10.2%	19.1%	18.0%	39.5%	-24.3%	-5.1%	13.7K	-359.2K	-2.3K	0.67	102.56	136	91	269	112
2021-10-22	$37.99	$38.00	37.4%	10.7%	19.5%	20.2%	39.4%	4.0%	-2.9%	13.5K	-346.7K	-2.3K	0.66	87.50	137	91	270	112
2021-10-25	$38.75	$38.00	37.7%	10.8%	20.4%	20.6%	39.2%	3.0%	-7.5%	13.7K	-379.4K	-2.2K	0.47	82.37	137	64	270	112
2021-10-26	$38.72	$38.00	37.3%	10.7%	20.4%	20.0%	38.1%	0.6%	-3.6%	12.2K	-381.0K	-2.3K	0.60	85.53	143	86	273	129
2021-10-27	$38.10	$38.00	40.3%	11.5%	20.4%	23.6%	39.8%	2.1%	-8.5%	7.7K	-294.2K	-2.4K	0.61	90.59	142	86	279	156
2021-10-28	$37.59	$38.00	33.6%	9.6%	20.5%	15.7%	37.7%	-1.4%	6.8%	6.7K	-217.4K	-2.4K	0.57	78.89	142	81	280	156
2021-10-29	$37.86	$38.00	38.1%	10.9%	20.0%	21.0%	40.0%	6.5%	-4.7%	8.7K	-244.3K	-2.4K	0.39	73.50	142	55	280	161