SANM Options History — December 2021

In December 2021, SANM traded between $37.44 and $42.05. ATM implied volatility averaged 42.9%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 13.2% (HV 20d: 29.7%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2021-12-17: Highest Volume — 691 contracts
  • 2021-12-03: Largest IV spike — 85.0% change
  • 2021-12-03: Highest IV Rank — 76.8%
  • 2021-12-03: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.45$37.44$42.05$37.44$41.52
Max Pain$39.14$39.00$40.00$40.00$39.00
ATM IV42.9%23.7%84.9%39.7%25.5%
Expected Move10.7%6.8%24.3%11.4%7.3%
HV 20d29.7%24.2%46.2%46.2%24.5%
HV 60d32.5%31.4%33.1%32.3%32.7%
IV Rank26.8%3.9%76.8%23.0%6.0%
IV Percentile67.2%6.7%99.6%80.6%21.0%
Term Structure-1.5%-58.6%13.0%-4.2%13.0%
VWIV38.1%25.2%82.2%41.2%31.5%
Skew 25d8.0%-15.5%79.8%5.3%-1.7%
Skew 10d15.8%-12.9%50.3%-4.5%40.4%
Call IV 25d34.1%24.2%51.6%37.3%30.9%
Put IV 25d42.1%25.7%129.4%42.6%29.2%
Bid-Ask Spread %88.4967.89144.05100.63100.56
Gamma HHI0.230.180.300.240.19
Net GEX50.6K34.9K73.8K45.3K50.9K
Net DEX-927.2K-1.5M-429.7K-429.7K-1.4M
Net VEX-4.4K-5.0K-4.0K-4.1K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.240.530.360.39
Total Volume433.955293691378304
Total OI897.7277111,088956767

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$37.44$40.0039.7%11.4%46.2%23.0%41.2%5.3%-4.2%45.3K-429.7K-4.1K0.36100.63277101768188
2021-12-02$38.08$40.0045.9%13.2%40.0%30.3%61.0%24.2%-24.2%50.4K-801.2K-4.6K0.36125.03277101778188
2021-12-03$37.53$40.0084.9%24.3%40.1%76.8%82.2%79.8%-58.6%38.0K-807.2K-4.6K0.36144.05277101778188
2021-12-06$38.47$39.0042.3%10.7%38.7%26.1%38.0%6.4%1.3%53.6K-633.2K-4.2K0.4084.15254101778188
2021-12-07$39.16$39.0038.1%10.5%39.6%21.1%38.0%5.4%0.9%63.3K-800.9K-4.2K0.4086.52254101779188
2021-12-08$38.80$39.0065.7%13.8%26.3%53.9%42.5%17.5%-8.9%53.9K-772.3K-4.2K0.40114.82255101779188
2021-12-09$38.71$39.0038.8%9.8%26.1%21.9%33.9%4.8%2.3%59.2K-655.4K-4.0K0.2482.59414101780188
2021-12-10$38.53$39.0064.7%10.1%26.1%52.7%35.6%6.3%4.6%52.7K-688.0K-4.0K0.3386.79414138780188
2021-12-13$39.00$39.0080.4%9.6%26.4%71.4%36.2%5.3%3.2%56.3K-768.5K-4.3K0.2882.69492138780225
2021-12-14$38.60$39.0051.0%10.1%26.3%36.4%35.8%6.4%1.7%64.9K-723.5K-5.0K0.2867.89492138859225
2021-12-15$38.66$39.0034.9%10.0%25.3%17.2%35.7%5.0%1.1%56.4K-648.9K-4.8K0.2881.98504141859225
2021-12-16$39.17$39.0034.9%10.0%25.8%17.2%36.0%5.1%3.1%73.8K-900.3K-4.9K0.2870.35504141858228
2021-12-17$38.99$39.0035.3%10.1%25.5%17.6%39.3%3.3%5.9%48.1K-677.6K-4.7K0.3772.23504187858230
2021-12-20$37.97$39.0037.3%10.7%26.9%20.1%38.0%2.4%5.6%34.9K-670.4K-4.4K0.4176.71278113578133
2021-12-21$39.48$39.0033.6%9.6%29.6%15.7%33.9%-15.5%5.5%40.5K-961.2K-4.6K0.4777.22256121578133
2021-12-22$40.00$39.0031.4%9.0%29.9%13.1%32.3%3.0%7.2%41.6K-1.0M-4.5K0.4780.81256121588143
2021-12-23$40.70$39.0030.1%8.6%30.3%11.5%32.6%-2.9%8.1%43.0K-1.2M-4.5K0.4972.00248121590143
2021-12-27$41.40$39.0042.5%12.2%25.4%26.2%33.2%6.4%-14.1%42.4K-1.3M-4.4K0.5374.53218115594143
2021-12-28$41.70$39.0023.7%6.8%25.4%3.9%25.2%6.0%12.7%48.8K-1.5M-4.4K0.3489.2521974618143
2021-12-29$42.05$39.0028.7%8.2%24.2%9.8%28.2%4.5%9.3%48.3K-1.5M-4.4K0.3584.0322078621141
2021-12-30$41.85$39.0034.6%9.9%24.4%16.9%28.7%-1.2%-9.2%47.3K-1.5M-4.4K0.3691.8321978621145
2021-12-31$41.52$39.0025.5%7.3%24.5%6.0%31.5%-1.7%13.0%50.9K-1.4M-4.3K0.39100.5621985622145