SANM Options History — January 2022

In January 2022, SANM traded between $36.01 and $42.49. ATM implied volatility averaged 45.3%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 21.9% (HV 20d: 23.4%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2022-01-19: Highest Volume — 477 contracts
2022-01-05: Largest IV spike — 120.4% change
2022-01-27: Highest IV Rank — 66.8%
2022-01-05: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.19	$36.01	$42.49	$41.82	$37.31
Max Pain	$40.85	$39.00	$42.00	$39.00	$39.00
ATM IV	45.3%	30.5%	67.2%	53.7%	51.9%
Expected Move	13.4%	8.7%	19.3%	15.4%	14.9%
HV 20d	23.4%	19.8%	27.6%	23.5%	24.4%
HV 60d	33.0%	30.9%	33.6%	32.7%	30.9%
IV Rank	31.5%	12.0%	66.8%	39.7%	48.8%
IV Percentile	80.4%	44.4%	98.0%	95.2%	94.8%
Term Structure	-6.5%	-28.6%	6.6%	-17.4%	-7.6%
VWIV	46.5%	32.3%	55.0%	32.3%	54.3%
Skew 25d	3.4%	-43.2%	19.9%	5.0%	8.2%
Skew 10d	12.7%	-70.4%	47.8%	11.5%	24.8%
Call IV 25d	45.6%	27.7%	79.0%	28.0%	52.2%
Put IV 25d	49.0%	32.9%	62.5%	32.9%	60.4%
Bid-Ask Spread %	78.92	56.50	128.75	104.25	72.66
Gamma HHI	0.22	0.16	0.30	0.19	0.18
Net GEX	34.0K	10.6K	50.6K	46.3K	13.1K
Net DEX	-834.3K	-1.6M	-205.5K	-1.4M	-354.5K
Net VEX	-3.7K	-4.4K	-3.3K	-4.3K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.33	1.70	0.39	1.70
Total Volume	343	286	477	304	380
Total OI	700.55	505	822	775	549

Daily Data (20 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
2022-01-03	$41.82	$39.00	53.7%	15.4%	23.5%	39.7%	32.3%	5.0%	-17.4%	46.3K	-1.4M	-4.3K	0.39	104.25	219	85	622	153
2022-01-04	$42.49	$39.00	30.5%	8.7%	22.7%	12.0%	34.6%	7.1%	3.4%	47.8K	-1.6M	-4.1K	0.41	99.32	220	91	622	153
2022-01-05	$41.99	$39.00	67.2%	19.3%	22.9%	55.7%	44.9%	-43.2%	-20.9%	39.3K	-1.5M	-4.4K	0.38	128.75	240	91	622	159
2022-01-06	$41.75	$42.00	30.8%	10.9%	22.7%	12.3%	46.4%	5.2%	2.3%	44.8K	-1.4M	-4.0K	0.36	84.20	250	91	594	159
2022-01-07	$40.92	$42.00	32.4%	11.7%	24.1%	14.2%	41.1%	-10.3%	-2.0%	46.3K	-1.3M	-4.0K	0.38	70.51	241	91	605	159
2022-01-10	$40.43	$42.00	35.4%	11.7%	24.6%	17.8%	44.0%	10.0%	-0.2%	46.8K	-1.2M	-3.8K	0.34	76.71	242	82	605	159
2022-01-11	$40.19	$42.00	34.3%	11.4%	24.5%	16.4%	41.1%	5.1%	-2.4%	47.6K	-1.1M	-3.8K	0.35	77.05	240	85	607	165
2022-01-12	$40.42	$42.00	38.8%	11.1%	24.1%	21.8%	42.7%	6.0%	-4.3%	50.0K	-1.1M	-3.7K	0.35	66.71	240	85	607	167
2022-01-13	$40.07	$42.00	42.4%	12.2%	24.4%	26.1%	43.7%	3.6%	-5.3%	50.1K	-1.1M	-3.7K	0.33	69.82	240	80	608	167
2022-01-14	$40.80	$42.00	41.3%	11.8%	24.8%	24.8%	44.1%	2.3%	-5.4%	50.6K	-1.3M	-3.6K	0.38	68.21	240	90	608	168
2022-01-18	$39.48	$42.00	43.6%	12.5%	27.6%	27.6%	47.6%	4.4%	-6.2%	45.6K	-949.3K	-3.5K	0.38	66.26	245	92	609	178
2022-01-19	$38.69	$42.00	44.1%	12.6%	26.9%	28.2%	47.5%	-4.1%	-6.9%	46.8K	-692.9K	-3.4K	0.39	69.67	343	134	611	180
2022-01-20	$37.95	$42.00	44.4%	12.7%	23.7%	28.5%	47.0%	9.0%	-10.0%	26.4K	-339.4K	-3.4K	0.69	56.50	249	172	559	223
2022-01-21	$37.60	$41.00	47.7%	13.7%	23.2%	32.5%	51.3%	8.3%	6.6%	23.8K	-216.8K	-3.6K	0.71	70.16	245	175	559	263
2022-01-24	$37.14	$40.00	50.5%	14.5%	22.1%	35.9%	54.8%	9.3%	-2.6%	10.8K	-327.0K	-3.5K	0.83	73.18	182	151	333	172
2022-01-25	$36.44	$40.00	52.1%	14.9%	21.1%	37.7%	52.5%	9.0%	-8.8%	10.7K	-270.4K	-3.4K	0.79	78.59	182	143	335	172
2022-01-26	$36.06	$40.00	50.5%	14.5%	20.5%	35.8%	52.8%	2.0%	-5.5%	10.6K	-205.5K	-3.3K	0.74	77.13	193	143	335	174
2022-01-27	$36.01	$40.00	63.5%	18.2%	19.8%	66.8%	55.0%	19.9%	-28.6%	10.7K	-234.3K	-3.4K	1.00	85.90	143	143	347	173
2022-01-28	$36.16	$40.00	51.0%	14.6%	20.2%	47.4%	51.5%	11.5%	-7.5%	11.7K	-224.8K	-3.3K	1.08	82.76	145	157	357	173
2022-01-31	$37.31	$39.00	51.9%	14.9%	24.4%	48.8%	54.3%	8.2%	-7.6%	13.1K	-354.5K	-3.5K	1.70	72.66	141	239	360	189