SANM Options History — November 2021

In November 2021, SANM traded between $37.04 and $43.21. ATM implied volatility averaged 37.0%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 3.8% (HV 20d: 40.9%). Max pain ranged from $36.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.41.

Notable Days

2021-11-09: Highest Volume — 803 contracts
2021-11-26: Largest IV spike — 60.6% change
2021-11-08: Highest IV Rank — 43.0%
2021-11-26: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.81	$37.04	$43.21	$38.93	$37.04
Max Pain	$39.67	$36.00	$41.00	$38.00	$40.00
ATM IV	37.0%	27.5%	56.5%	44.1%	36.8%
Expected Move	9.9%	7.9%	14.5%	12.6%	10.6%
HV 20d	40.9%	22.2%	47.3%	22.4%	46.4%
HV 60d	29.8%	22.4%	32.2%	22.4%	32.2%
IV Rank	19.8%	8.4%	43.0%	28.2%	19.5%
IV Percentile	61.0%	29.0%	96.0%	89.3%	68.7%
Term Structure	-3.1%	-13.2%	1.4%	-9.8%	-4.1%
VWIV	35.7%	26.5%	61.3%	44.3%	42.2%
Skew 25d	4.4%	-3.0%	13.3%	3.0%	12.0%
Skew 10d	8.2%	-14.8%	35.3%	5.3%	4.5%
Call IV 25d	33.9%	26.4%	55.8%	44.7%	39.7%
Put IV 25d	38.3%	28.9%	62.7%	47.7%	51.7%
Bid-Ask Spread %	75.84	51.81	133.82	57.71	102.48
Gamma HHI	0.24	0.16	0.32	0.22	0.23
Net GEX	46.8K	10.3K	85.6K	10.3K	41.3K
Net DEX	-793.4K	-1.3M	-313.3K	-377.9K	-313.3K
Net VEX	-4.0K	-5.2K	-2.0K	-2.3K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.30	0.60	0.39	0.37
Total Volume	435.524	197	803	197	373
Total OI	932.905	442	1,358	442	956

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
2021-11-01	$38.93	$38.00	44.1%	12.6%	22.4%	28.2%	44.3%	3.0%	-9.8%	10.3K	-377.9K	-2.3K	0.39	57.71	142	55	280	162
2021-11-02	$39.53	$38.00	44.8%	12.8%	22.2%	29.0%	47.9%	3.8%	-10.4%	10.5K	-442.6K	-2.3K	0.38	51.81	145	55	281	162
2021-11-03	$42.09	$38.00	46.2%	13.2%	31.3%	30.6%	61.3%	-3.0%	-13.2%	13.5K	-701.6K	-2.0K	0.35	92.42	155	55	285	162
2021-11-04	$41.67	$36.00	47.8%	10.0%	31.6%	32.6%	34.7%	0.6%	-3.6%	15.8K	-695.0K	-2.1K	0.33	52.45	172	57	297	162
2021-11-05	$43.21	$37.00	49.5%	10.1%	33.7%	34.7%	42.8%	2.9%	-3.8%	16.4K	-833.7K	-2.0K	0.31	59.97	186	57	308	170
2021-11-08	$43.07	$37.00	56.5%	10.8%	33.6%	43.0%	38.9%	5.1%	-2.2%	23.7K	-932.1K	-2.1K	0.30	56.66	454	137	352	170
2021-11-09	$39.58	$41.00	39.0%	8.2%	46.0%	22.1%	29.9%	3.4%	-1.1%	39.4K	-562.8K	-3.8K	0.34	71.47	598	205	662	305
2021-11-10	$39.84	$41.00	28.3%	8.1%	45.8%	9.4%	28.3%	2.3%	-1.4%	59.6K	-946.2K	-4.7K	0.49	61.29	379	187	826	340
2021-11-11	$39.97	$41.00	28.4%	8.1%	45.1%	9.5%	30.8%	-0.1%	-2.0%	69.6K	-1.1M	-4.6K	0.43	69.44	381	162	837	343
2021-11-12	$40.20	$41.00	27.9%	8.0%	45.1%	8.9%	28.5%	1.6%	-0.2%	67.4K	-1.1M	-4.7K	0.44	69.71	360	157	852	357
2021-11-15	$40.54	$41.00	27.5%	7.9%	44.9%	8.4%	26.5%	3.4%	1.2%	80.2K	-1.3M	-4.3K	0.60	65.20	341	203	850	357
2021-11-16	$39.66	$41.00	27.9%	8.0%	45.3%	8.9%	28.2%	4.7%	1.4%	81.7K	-1.0M	-5.1K	0.54	59.14	363	195	922	402
2021-11-17	$39.66	$41.00	27.8%	8.0%	45.1%	8.8%	29.0%	4.8%	-0.6%	85.6K	-1.0M	-5.2K	0.55	72.31	353	195	950	402
2021-11-18	$39.14	$41.00	28.9%	8.3%	45.3%	10.1%	28.1%	4.4%	0.9%	55.7K	-784.7K	-5.2K	0.56	70.83	348	195	951	402
2021-11-19	$38.70	$41.00	28.9%	8.3%	45.1%	10.1%	31.4%	3.9%	0.8%	41.5K	-613.5K	-4.8K	0.51	78.55	391	199	956	402
2021-11-22	$39.47	$40.00	33.9%	9.7%	45.1%	16.0%	28.5%	7.1%	-4.7%	61.3K	-954.7K	-4.9K	0.35	85.53	282	99	747	190
2021-11-23	$39.43	$40.00	36.9%	10.6%	45.1%	19.6%	30.3%	10.6%	-8.6%	56.2K	-941.5K	-5.0K	0.36	88.68	281	101	753	189
2021-11-24	$39.14	$40.00	31.6%	9.0%	44.7%	13.2%	31.8%	5.1%	0.1%	59.0K	-840.3K	-4.8K	0.36	94.53	281	101	758	189
2021-11-26	$37.45	$40.00	50.7%	14.5%	47.3%	36.1%	49.2%	13.3%	-2.8%	45.5K	-673.5K	-4.7K	0.37	133.82	272	101	758	188
2021-11-29	$37.62	$40.00	34.4%	9.9%	47.3%	16.7%	37.4%	4.1%	-1.3%	48.2K	-497.1K	-4.3K	0.37	98.71	272	101	768	188
2021-11-30	$37.04	$40.00	36.8%	10.6%	46.4%	19.5%	42.2%	12.0%	-4.1%	41.3K	-313.3K	-3.9K	0.37	102.48	272	101	768	188